- 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-bf33cf982152

mex/sources/kalman/cc/kalman.cpp

@@ -683,12 +683,12 @@ BasicKalmanTask::filterNonDiffuse(const Vector&a,const GeneralMatrix&P,
   int inc =1;
   const int rcols= Rt.numCols();
   GeneralMatrix Ft (Ht.numRows(), Ht.numCols()  );
+  PLUFact Ftinv(Ht.numRows(), Ht.numCols()); 
   GeneralMatrix Lt(Tt);
   GeneralMatrix PtLttrans(m,m);
   GeneralMatrix Mt(m,n);
   GeneralMatrix Kt(m,n);
   GeneralMatrix QtRttrans(rcols,Rt.numRows());
-//  PLUFact Ftinv(Ft);
 
   bool isTunit=0;// Tt->isUnit();
   bool isQzero= Qt.isZero();
@@ -702,13 +702,14 @@ BasicKalmanTask::filterNonDiffuse(const Vector&a,const GeneralMatrix&P,
   int nonsteady=1;
   for(;t<=data.numCols()&&nonsteady;++t)
     {
-    ConstVector yt(data,t-1);
+//    ConstVector yt(data,t-1);
     
     /*****************
     This calculates  $$v_t = y_t - Z_t*a_t.$$
     *****************/   
 //    Vector vt(yt);
-    vt=yt;
+//    vt=yt;
+    memcpy(vt.base(), &(data.get(0,t-1)), n*sizeof(double));
 //    Zt.multsVec(vt,at);
 	  BLAS_dgemv("N",  &n,  &m, &neg_alpha, Zt.base(), &n, at.base(), 
         &inc, &alpha, vt.base(), &inc);
@@ -727,10 +728,10 @@ BasicKalmanTask::filterNonDiffuse(const Vector&a,const GeneralMatrix&P,
 		BLAS_dgemm("N", "N", &n, &n, &m, &alpha, Zt.base(), &n,
 				   Mt.base(), &m, &alpha, Ft.base(), &n); 
     
-    PLUFact Ftinv(Ft); //    Ftinv=Ft;
-    if(!Ftinv.isRegular())
-      return 0.0;
-    
+//    PLUFact Ftinv(Ft); 
+//    if(!Ftinv.isRegular())
+//      return 0.0;
+    Ftinv=Ft;
     /*****************
     This calculates $$K_t = T_tP_tZ_t^TF_t^{-1}.$$
     *****************/   
@@ -738,6 +739,7 @@ BasicKalmanTask::filterNonDiffuse(const Vector&a,const GeneralMatrix&P,
 		BLAS_dgemm("N", "N", &m, &n, &m, &alpha, Tt.base(), &m,
 				   Mt.base(), &m, &omega, Kt.base(), &m); 
     Ftinv.multInvRight(Kt);
+//    Kt.multInvRight(Ft);
     
     /*****************
     This calculates  $$L_t = T_t-K_tZ_t.$$

mex/sources/kalman/cc/utils.cpp

@@ -83,14 +83,10 @@ NormCholesky::NormCholesky(const GeneralMatrix&a)
   TS_RAISE_IF(info<0,
     "Internal error in NormCholesky constructor");
   
-  ;
-  
   for(int i= 0;i<L.numRows();i++)
     for(int j= i+1;j<L.numCols();j++)
       L.get(i,j)= 0.0;
     
-    ;
-    
   for(int j= 0;j<L.numCols();j++){
     double d= L.get(j,j);
     Vector Lj(L,j);
@@ -98,8 +94,6 @@ NormCholesky::NormCholesky(const GeneralMatrix&a)
     D[j]= d*d;
     }
   
-    
-    ;
   }
 
 ;
@@ -132,7 +126,6 @@ rows(m.numRows())
   calcDetSign();
   }
 
-;
 
 PLUFact::PLUFact(const PLUFact&fact)
 :inv(fact.inv),ipiv(new int[fact.rows]),
@@ -141,6 +134,41 @@ rows(fact.rows),rcond(fact.rcond),detsign(fact.detsign),info(fact.info)
   memcpy(ipiv,fact.ipiv,rows*sizeof(int));
   }
 
+PLUFact::PLUFact(const int nc,const int nr )
+    :inv(nr*nc),ipiv(new int[nr]),rows(nr)
+  {
+  TS_RAISE_IF(nr!=nc,
+    "Matrix not square in PLUFact constructor");
+  }
+
+const PLUFact&
+PLUFact::operator = (const GeneralMatrix&m)
+  {
+  TS_RAISE_IF(!m.isFinite(),
+    "Matrix is not finite in PLUFact assignement");
+  TS_RAISE_IF(m.numRows()!=m.numCols(),
+    "Matrix not square in PLUFact assignement");
+  TS_RAISE_IF(m.numRows()!=rows,
+    "Matrix not matching PLUFact size for assignement");
+  inv= m.getData();
+  LAPACK_dgetrf(&rows,&rows,inv.base(),&rows,ipiv,&info);
+  TS_RAISE_IF(info<0,
+    "Internal error in PLUFact assignement");
+  
+  double mnorm= m.getNormInf();
+  double*work= new double[4*rows];
+  int*iwork= new int[rows];
+  int infotmp;
+  LAPACK_dgecon("I",&rows,inv.base(),&rows,&mnorm,&rcond,work,
+    iwork,&infotmp);
+  delete[]iwork;
+  delete[]work;
+  TS_RAISE_IF(infotmp<0,
+    "Internal error in PLUFact assignement");
+  calcDetSign();
+  return *this;
+  }
+
 ;
 
 void PLUFact::PL_dgetrs(const char*trans,double*b,int ldb,int bcols)const
@@ -230,13 +258,10 @@ void PLUFact::calcDetSign()
     if(ipiv[i]!=i+1)
       detsign*= -1;
     
-    ;
-    
   for(int i= 0;i<rows;i++)
     if(inv[i*(rows+1)]<0)
       detsign*= -1;
       
-      ;
   }
 
 ;

mex/sources/kalman/cc/utils.h

@@ -61,8 +61,10 @@ class PLUFact{
   public:
     PLUFact(const GeneralMatrix&m);
     PLUFact(const PLUFact&plu);
+    PLUFact(const int nc,const int nr );
     virtual~PLUFact()
       {delete[]ipiv;}
+    const PLUFact& operator = (const GeneralMatrix&m);
     void multInvLeft(GeneralMatrix&a)const;
     void multInvRight(GeneralMatrix&a)const;
     void multInvLeft(Vector&a)const;

mex/sources/kalman/sylv/cc/GeneralMatrix.cpp

@@ -85,8 +85,6 @@ GeneralMatrix::GeneralMatrix(const GeneralMatrix& a, const char* dum1,
 
 GeneralMatrix::~GeneralMatrix()
   {
-     if(tmpGMp)
-       delete tmpGMp;
   }
 
 
@@ -180,12 +178,14 @@ void
 GeneralMatrix::multInvRight( GeneralMatrix&A)
   {
   // check or allocate tmp space for Transpose *this
+  /**
   if (tmpGMp)
     {
     if (tmpGMp->numCols()!=rows || tmpGMp->numRows()!=cols)
       delete (tmpGMp);
     }
   if (!tmpGMp) 
+  ********/
   tmpGMp= new GeneralMatrix(cols,rows); // allocate space only once if and when needed!
 
   // tmpGMp=(*this)' i.e. Transpose (*this)
@@ -216,7 +216,7 @@ GeneralMatrix::multInvRight( GeneralMatrix&A)
       for (int j = 0; j < cols; j++)
         get(i,j) = tmpGMp->get(j,i);
     }
-
+  delete tmpGMp;  
   }