69 lines
2.0 KiB
C++
69 lines
2.0 KiB
C++
/*
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* Copyright © 2007-2022 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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*/
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#ifndef BLOCK_KALMAN_FILTER
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#define BLOCK_KALMAN_FILTER
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#ifndef DEBUG_EX
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# include <dynmex.h>
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#else
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# include "mex_interface.hh"
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#endif
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#include <vector>
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#include <memory>
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#include <dynblas.h>
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#include <dynlapack.h>
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class BlockKalmanFilter
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{
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public:
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mxArray *pT, *pR, *pQ, *pH, *pP, *pY, *pQQ, *pv, *pF, *piF, *p_P_t_t1, *pK, *p_K_P;
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double *T, *R, *Q, *H, *Y, *mfd, *QQ, *v, *F, *iF;
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int start, pure_obs, smpl, n, n_state, n_shocks, H_size;
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double kalman_tol, riccati_tol, dF, LIK, Inf, pi;
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lapack_int pp, lw, info;
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double *nz_state_var;
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std::unique_ptr<int[]> i_nz_state_var, mf;
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int n_diag, t;
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mxArray *M_;
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mxArray *pa, *p_tmp, *p_tmp1, *plik;
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std::unique_ptr<double[]> tmp_a;
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double *tmp1, *lik;
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std::unique_ptr<double[]> v_n, v_pp, w, oldK, P_mf;
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bool notsteady, F_singular, missing_observations;
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std::unique_ptr<lapack_int[]> iw, ipiv;
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double anorm, rcond;
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lapack_int size_d_index;
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int no_more_missing_observations, number_of_observations;
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const mxArray *pdata_index;
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std::vector<int> d_index;
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const mxArray *pd_index;
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double *dd_index;
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double *K, *a, *K_P, *P_t_t1, *tmp, *P;
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public:
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BlockKalmanFilter(int nrhs, const mxArray *prhs[]);
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bool block_kalman_filter(int nlhs, mxArray *plhs[]);
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void block_kalman_filter_ss();
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void return_results_and_clean(int nlhs, mxArray *plhs[]);
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};
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#endif
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