function [QP,QPinv] = quadruplication(p) % Computes the Quadruplication Matrix QP (and its Moore-Penrose inverse) % such that for any p-dimensional vector x: % y=kron(kron(kron(x,x),x),x)=QP*z % where z is of dimension np=p*(p+1)*(p+2)*(p+3)/2 and is obtained from y % by removing each second and later occurence of the same element. % This is a generalization of the Duplication matrix. % Reference: Meijer (2005) - Matrix algebra for higher order moments. % Linear Algebra and its Applications, 410,pp. 112-134 % ========================================================================= % INPUTS % * p [integer] size of vector % ------------------------------------------------------------------------- % OUTPUTS % * QP [p^4 by np] Quadruplication matrix % * QPinv [np by np] Moore-Penrose inverse of QP % ------------------------------------------------------------------------- % This function is called by % * pruned_state_space_system.m % ------------------------------------------------------------------------- % This function calls % * mue (embedded) % * uperm % ========================================================================= % Copyright © 2020 Dynare Team % % This file is part of Dynare. % % Dynare is free software: you can redistribute it and/or modify % it under the terms of the GNU General Public License as published by % the Free Software Foundation, either version 3 of the License, or % (at your option) any later version. % % Dynare is distributed in the hope that it will be useful, % but WITHOUT ANY WARRANTY; without even the implied warranty of % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % GNU General Public License for more details. % % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . % ========================================================================= np = p*(p+1)*(p+2)*(p+3)/24; QP = spalloc(p^4,np,p^4); if nargout > 1 QPinv = spalloc(np,np,p^4); end counti = 1; for l=1:p for k=l:p for j=k:p for i=j:p idx = uperm([i j k l]); for r = 1:size(idx,1) ii = idx(r,1); jj= idx(r,2); kk=idx(r,3); ll=idx(r,4); n = ii + (jj-1)*p + (kk-1)*p^2 + (ll-1)*p^3; m = mue(p,i,j,k,l); QP(n,m)=1; if nargout > 1 if i==j && j==k && k==l QPinv(m,n)=1; elseif i==j && j==k && k>l QPinv(m,n)=1/4; elseif i>j && j==k && k==l QPinv(m,n)=1/4; elseif i==j && j>k && k==l QPinv(m,n) = 1/6; elseif i>j && j>k && k==l QPinv(m,n) = 1/12; elseif i>j && j==k && k>l QPinv(m,n) = 1/12; elseif i==j && j>k && k>l QPinv(m,n) = 1/12; elseif i>j && j>k && k>l QPinv(m,n) = 1/24; end end end counti = counti+1; end end end end %QPinv = (transpose(QP)*QP)\transpose(QP); function m = mue(p,i,j,k,l) % Auxiliary expression, see page 118 of Meijer (2005) m = i + (j-1)*p + 1/2*(k-1)*p^2 + 1/6*(l-1)*p^3 - 1/2*j*(j-1) + 1/6*k*(k-1)*(k-2) - 1/24*l*(l-1)*(l-2)*(l-3) - 1/2*(k-1)^2*p + 1/6*(l-1)^3*p - 1/4*(l-1)*(l-2)*p^2 - 1/4*l*(l-1)*p + 1/6*(l-1)*p; m = round(m); end end