- adding assignment operator to PLUFact,
- refactoring class constructors from kalman loop and - tidying up multInvRight in GeneralMatrix git-svn-id: https://www.dynare.org/svn/dynare/trunk@2831 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
george
parent
631c4f8794
commit
d448eb4e71
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@ -683,12 +683,12 @@ BasicKalmanTask::filterNonDiffuse(const Vector&a,const GeneralMatrix&P,
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int inc =1;
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const int rcols= Rt.numCols();
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GeneralMatrix Ft (Ht.numRows(), Ht.numCols() );
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PLUFact Ftinv(Ht.numRows(), Ht.numCols());
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GeneralMatrix Lt(Tt);
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GeneralMatrix PtLttrans(m,m);
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GeneralMatrix Mt(m,n);
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GeneralMatrix Kt(m,n);
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GeneralMatrix QtRttrans(rcols,Rt.numRows());
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// PLUFact Ftinv(Ft);
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bool isTunit=0;// Tt->isUnit();
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bool isQzero= Qt.isZero();
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@ -702,13 +702,14 @@ BasicKalmanTask::filterNonDiffuse(const Vector&a,const GeneralMatrix&P,
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int nonsteady=1;
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for(;t<=data.numCols()&&nonsteady;++t)
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{
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ConstVector yt(data,t-1);
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// ConstVector yt(data,t-1);
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/*****************
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This calculates $$v_t = y_t - Z_t*a_t.$$
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*****************/
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// Vector vt(yt);
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vt=yt;
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// vt=yt;
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memcpy(vt.base(), &(data.get(0,t-1)), n*sizeof(double));
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// Zt.multsVec(vt,at);
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BLAS_dgemv("N", &n, &m, &neg_alpha, Zt.base(), &n, at.base(),
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&inc, &alpha, vt.base(), &inc);
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@ -727,10 +728,10 @@ BasicKalmanTask::filterNonDiffuse(const Vector&a,const GeneralMatrix&P,
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BLAS_dgemm("N", "N", &n, &n, &m, &alpha, Zt.base(), &n,
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Mt.base(), &m, &alpha, Ft.base(), &n);
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PLUFact Ftinv(Ft); // Ftinv=Ft;
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if(!Ftinv.isRegular())
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return 0.0;
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// PLUFact Ftinv(Ft);
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// if(!Ftinv.isRegular())
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// return 0.0;
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Ftinv=Ft;
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/*****************
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This calculates $$K_t = T_tP_tZ_t^TF_t^{-1}.$$
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*****************/
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@ -738,6 +739,7 @@ BasicKalmanTask::filterNonDiffuse(const Vector&a,const GeneralMatrix&P,
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BLAS_dgemm("N", "N", &m, &n, &m, &alpha, Tt.base(), &m,
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Mt.base(), &m, &omega, Kt.base(), &m);
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Ftinv.multInvRight(Kt);
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// Kt.multInvRight(Ft);
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/*****************
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This calculates $$L_t = T_t-K_tZ_t.$$
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@ -824,112 +826,112 @@ BasicKalmanTask::filterNonDiffuse(const Vector&a,const GeneralMatrix&P,
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}
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/*****************
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This runs a non-diffuse filter with the given $t$, $a_t$ and
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$P_t$. It fills the |FilterResults|.
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First we check that the passed $P_t$ is positive definite by checking
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that it has not negative diagonal and is symmetric diagonally
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dominant. This is not equivalent to positive definitness but it excludes
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``much'' of indefinite matrices. This check is important since this
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routine is called from a diffuse filter and it is possible due to a
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wrong guess/calculation of a number of diffuse periods that numerical
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instability and roundoff errors make the matrix $P_*$ broken.
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Then we cycle until the end of period and perform a classical Kalman
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filter operations.
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*****************/
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void
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KalmanTask::filterNonDiffuse(const Vector&a,const GeneralMatrix&P,
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int first,FilterResults&fres)const
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/*****************
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This runs a non-diffuse filter with the given $t$, $a_t$ and
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$P_t$. It fills the |FilterResults|.
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First we check that the passed $P_t$ is positive definite by checking
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that it has not negative diagonal and is symmetric diagonally
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dominant. This is not equivalent to positive definitness but it excludes
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``much'' of indefinite matrices. This check is important since this
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routine is called from a diffuse filter and it is possible due to a
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wrong guess/calculation of a number of diffuse periods that numerical
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instability and roundoff errors make the matrix $P_*$ broken.
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Then we cycle until the end of period and perform a classical Kalman
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filter operations.
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*****************/
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void
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KalmanTask::filterNonDiffuse(const Vector&a,const GeneralMatrix&P,
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int first,FilterResults&fres)const
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{
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Vector at(a);
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GeneralMatrix Pt(P);
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if(TSUtils::hasNegativeDiagonal(Pt)||!TSUtils::isSymDiagDominant(Pt))
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return;
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for(int t= first;t<=data.numCols();t++)
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{
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Vector at(a);
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GeneralMatrix Pt(P);
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if(TSUtils::hasNegativeDiagonal(Pt)||!TSUtils::isSymDiagDominant(Pt))
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ConstVector yt(data,t-1);
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ConstGeneralMatrix Zt(((const TMatrix&)*ssf.Z)[t]);
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ConstGeneralMatrix Ht(((const TMatrix&)*ssf.H)[t]);
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ConstGeneralMatrix Tt(((const TMatrix&)*ssf.T)[t]);
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ConstGeneralMatrix Qt(((const TMatrix&)*ssf.Q)[t]);
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ConstGeneralMatrix Rt(((const TMatrix&)*ssf.R)[t]);
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bool isTunit= ssf.T->isUnit(t);
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bool isQzero= ssf.Q->isZero(t);
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bool isRzero= ssf.R->isZero(t);
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/*****************
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This calculates $$v_t = y_t - Z_t*a_t.$$
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*****************/
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Vector vt(yt);
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Zt.multsVec(vt,at);
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/*****************
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This calculates $$F_t = Z_tP_tZ_t^T+H_t.$$
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*****************/
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GeneralMatrix Mt(Pt,Zt,"trans");
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GeneralMatrix Ft(Ht);
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Ft.multAndAdd(Zt,ConstGeneralMatrix(Mt));
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PLUFact Ftinv(Ft);
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if(!Ftinv.isRegular())
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return;
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for(int t= first;t<=data.numCols();t++)
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/*****************
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This calculates $$K_t = T_tP_tZ_t^TF_t^{-1}.$$
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*****************/
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GeneralMatrix Kt(Tt,Mt);
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Ftinv.multInvRight(Kt);
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/*****************
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This calculates $$L_t = T_t-K_tZ_t.$$
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*****************/
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GeneralMatrix Lt(Tt);
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Lt.multAndAdd(ConstGeneralMatrix(Kt),Zt,-1.0);
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/*****************
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Here we calc likelihood and store results.
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*****************/
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double ll= calcStepLogLik(Ftinv,vt);
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fres.set(t,Ftinv,vt,Lt,at,Pt,ll);
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if(t<data.numCols())
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{
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ConstVector yt(data,t-1);
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ConstGeneralMatrix Zt(((const TMatrix&)*ssf.Z)[t]);
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ConstGeneralMatrix Ht(((const TMatrix&)*ssf.H)[t]);
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ConstGeneralMatrix Tt(((const TMatrix&)*ssf.T)[t]);
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ConstGeneralMatrix Qt(((const TMatrix&)*ssf.Q)[t]);
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ConstGeneralMatrix Rt(((const TMatrix&)*ssf.R)[t]);
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bool isTunit= ssf.T->isUnit(t);
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bool isQzero= ssf.Q->isZero(t);
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bool isRzero= ssf.R->isZero(t);
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/*****************
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This calculates $$v_t = y_t - Z_t*a_t.$$
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This calculates $$a_{t+1} = T_ta_t + K_tv_t.$$
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*****************/
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Vector vt(yt);
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Zt.multsVec(vt,at);
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/*****************
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This calculates $$F_t = Z_tP_tZ_t^T+H_t.$$
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*****************/
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GeneralMatrix Mt(Pt,Zt,"trans");
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GeneralMatrix Ft(Ht);
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Ft.multAndAdd(Zt,ConstGeneralMatrix(Mt));
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PLUFact Ftinv(Ft);
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if(!Ftinv.isRegular())
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return;
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/*****************
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This calculates $$K_t = T_tP_tZ_t^TF_t^{-1}.$$
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*****************/
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GeneralMatrix Kt(Tt,Mt);
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Ftinv.multInvRight(Kt);
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/*****************
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This calculates $$L_t = T_t-K_tZ_t.$$
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*****************/
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GeneralMatrix Lt(Tt);
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Lt.multAndAdd(ConstGeneralMatrix(Kt),Zt,-1.0);
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/*****************
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Here we calc likelihood and store results.
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*****************/
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double ll= calcStepLogLik(Ftinv,vt);
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fres.set(t,Ftinv,vt,Lt,at,Pt,ll);
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if(t<data.numCols())
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if(!isTunit)
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{
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/*****************
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This calculates $$a_{t+1} = T_ta_t + K_tv_t.$$
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*****************/
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if(!isTunit)
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{
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Vector atsave((const Vector&)at);
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Tt.multVec(0.0,at,1.0,atsave);
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}
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Kt.multVec(1.0,at,1.0,ConstVector(vt));
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/*****************
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This calculates $$P_{t+1} = T_tP_tL_t^T + R_tQ_tR_t^T.$$
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*****************/
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GeneralMatrix PtLttrans(Pt,Lt,"trans");
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if(!isTunit)
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{
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Pt.zeros();
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Pt.multAndAdd(Tt,ConstGeneralMatrix(PtLttrans));
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}
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else
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{
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Pt= (const GeneralMatrix&)PtLttrans;
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}
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if(!isRzero&&!isQzero)
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{
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GeneralMatrix QtRttrans(Qt,Rt,"trans");
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Pt.multAndAdd(Rt,ConstGeneralMatrix(QtRttrans));
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}
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Vector atsave((const Vector&)at);
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Tt.multVec(0.0,at,1.0,atsave);
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}
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Kt.multVec(1.0,at,1.0,ConstVector(vt));
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/*****************
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This calculates $$P_{t+1} = T_tP_tL_t^T + R_tQ_tR_t^T.$$
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*****************/
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GeneralMatrix PtLttrans(Pt,Lt,"trans");
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if(!isTunit)
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{
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Pt.zeros();
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Pt.multAndAdd(Tt,ConstGeneralMatrix(PtLttrans));
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}
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else
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{
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Pt= (const GeneralMatrix&)PtLttrans;
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}
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if(!isRzero&&!isQzero)
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{
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GeneralMatrix QtRttrans(Qt,Rt,"trans");
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Pt.multAndAdd(Rt,ConstGeneralMatrix(QtRttrans));
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}
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}
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}
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}
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/*****************
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This runs a diffuse filter. Similarly as for
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@ -83,23 +83,17 @@ NormCholesky::NormCholesky(const GeneralMatrix&a)
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TS_RAISE_IF(info<0,
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"Internal error in NormCholesky constructor");
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;
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for(int i= 0;i<L.numRows();i++)
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for(int j= i+1;j<L.numCols();j++)
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L.get(i,j)= 0.0;
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;
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for(int j= 0;j<L.numCols();j++){
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double d= L.get(j,j);
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Vector Lj(L,j);
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Lj.mult(1.0/d);
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D[j]= d*d;
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}
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;
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for(int j= 0;j<L.numCols();j++){
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double d= L.get(j,j);
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Vector Lj(L,j);
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Lj.mult(1.0/d);
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D[j]= d*d;
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}
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}
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;
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@ -132,7 +126,6 @@ rows(m.numRows())
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calcDetSign();
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}
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;
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PLUFact::PLUFact(const PLUFact&fact)
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:inv(fact.inv),ipiv(new int[fact.rows]),
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@ -141,6 +134,41 @@ rows(fact.rows),rcond(fact.rcond),detsign(fact.detsign),info(fact.info)
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memcpy(ipiv,fact.ipiv,rows*sizeof(int));
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}
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PLUFact::PLUFact(const int nc,const int nr )
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:inv(nr*nc),ipiv(new int[nr]),rows(nr)
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{
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TS_RAISE_IF(nr!=nc,
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"Matrix not square in PLUFact constructor");
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}
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const PLUFact&
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PLUFact::operator = (const GeneralMatrix&m)
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{
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TS_RAISE_IF(!m.isFinite(),
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"Matrix is not finite in PLUFact assignement");
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TS_RAISE_IF(m.numRows()!=m.numCols(),
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"Matrix not square in PLUFact assignement");
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TS_RAISE_IF(m.numRows()!=rows,
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"Matrix not matching PLUFact size for assignement");
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inv= m.getData();
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LAPACK_dgetrf(&rows,&rows,inv.base(),&rows,ipiv,&info);
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TS_RAISE_IF(info<0,
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"Internal error in PLUFact assignement");
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double mnorm= m.getNormInf();
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double*work= new double[4*rows];
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int*iwork= new int[rows];
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int infotmp;
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LAPACK_dgecon("I",&rows,inv.base(),&rows,&mnorm,&rcond,work,
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iwork,&infotmp);
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delete[]iwork;
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delete[]work;
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TS_RAISE_IF(infotmp<0,
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"Internal error in PLUFact assignement");
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calcDetSign();
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return *this;
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}
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;
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void PLUFact::PL_dgetrs(const char*trans,double*b,int ldb,int bcols)const
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@ -230,13 +258,10 @@ void PLUFact::calcDetSign()
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if(ipiv[i]!=i+1)
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detsign*= -1;
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;
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for(int i= 0;i<rows;i++)
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if(inv[i*(rows+1)]<0)
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detsign*= -1;
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for(int i= 0;i<rows;i++)
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if(inv[i*(rows+1)]<0)
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detsign*= -1;
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;
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}
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;
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@ -61,8 +61,10 @@ class PLUFact{
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public:
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PLUFact(const GeneralMatrix&m);
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PLUFact(const PLUFact&plu);
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PLUFact(const int nc,const int nr );
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virtual~PLUFact()
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{delete[]ipiv;}
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const PLUFact& operator = (const GeneralMatrix&m);
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void multInvLeft(GeneralMatrix&a)const;
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void multInvRight(GeneralMatrix&a)const;
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void multInvLeft(Vector&a)const;
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@ -85,8 +85,6 @@ GeneralMatrix::GeneralMatrix(const GeneralMatrix& a, const char* dum1,
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GeneralMatrix::~GeneralMatrix()
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{
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if(tmpGMp)
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delete tmpGMp;
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}
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@ -180,13 +178,15 @@ void
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GeneralMatrix::multInvRight( GeneralMatrix&A)
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{
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// check or allocate tmp space for Transpose *this
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/**
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if (tmpGMp)
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{
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if (tmpGMp->numCols()!=rows || tmpGMp->numRows()!=cols)
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delete (tmpGMp);
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}
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if (!tmpGMp)
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tmpGMp= new GeneralMatrix(cols,rows); // allocate space only once if and when needed!
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********/
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tmpGMp= new GeneralMatrix(cols,rows); // allocate space only once if and when needed!
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// tmpGMp=(*this)' i.e. Transpose (*this)
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for (int i = 0; i < rows; i++)
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@ -216,7 +216,7 @@ GeneralMatrix::multInvRight( GeneralMatrix&A)
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for (int j = 0; j < cols; j++)
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get(i,j) = tmpGMp->get(j,i);
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}
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delete tmpGMp;
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}
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