77 lines
3.1 KiB
C++
77 lines
3.1 KiB
C++
/*
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* Copyright (C) 2010 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 <http://www.gnu.org/licenses/>.
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*/
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///////////////////////////////////////////////////////////
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// InitializeKalmanFilter.h
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// Implementation of the Class InitializeKalmanFilter
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// Created on: 02-Feb-2010 12:25:28
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///////////////////////////////////////////////////////////
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#if !defined(C3D996B8_22AB_4b77_B693_BA4777AFB091__INCLUDED_)
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#define C3D996B8_22AB_4b77_B693_BA4777AFB091__INCLUDED_
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#include "DetrendData.hh"
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#include "ModelSolution.hh"
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#include "DiscLyapFast.hh"
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#include <string>
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/**
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* if model is declared stationary ?compute covariance matrix of endogenous
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* variables () by doubling algorithm
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*
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*/
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class InitializeKalmanFilter
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{
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public:
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/*!
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\param[in] zeta_varobs_back_mixed_arg The union of indices of observed, backward and mixed variables
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*/
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InitializeKalmanFilter(const std::string& dynamicDllFile, size_t n_endo, size_t n_exo, const std::vector<size_t> &zeta_fwrd_arg,
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const std::vector<size_t> &zeta_back_arg, const std::vector<size_t> &zeta_mixed_arg, const std::vector<size_t> &zeta_static_arg,
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const std::vector<size_t> &zeta_varobs_back_mixed_arg,
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double qz_criterium_arg, double lyapunov_tol_arg, int &info);
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virtual ~InitializeKalmanFilter();
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// initialise all KF matrices
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void initialize(VectorView &steadyState, const Vector &deepParams, Matrix &R, const Matrix &Q, Matrix &RQRt,
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Matrix &T, Matrix &Pstar, Matrix &Pinf, double &penalty, const MatrixConstView &dataView, MatrixView &detrendedDataView, int &info);
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// initialise parameter dependent KF matrices only but not Ps
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void initialize(VectorView &steadyState, const Vector &deepParams, Matrix &R, const Matrix &Q, Matrix &RQRt,
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Matrix &T, double &penalty, const MatrixConstView &dataView, MatrixView &detrendedDataView, int &info);
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private:
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const double lyapunov_tol;
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const std::vector<size_t> zeta_varobs_back_mixed;
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//! Indices of back+mixed zetas inside varobs+back+mixed zetas
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std::vector<size_t> pi_bm_vbm;
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DetrendData detrendData;
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ModelSolution modelSolution;
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DiscLyapFast discLyapFast; //Lyapunov solver
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Matrix g_x;
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Matrix g_u;
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Matrix Rt, RQ;
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void setT(Matrix &T, int &info);
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void setRQR(Matrix &R, const Matrix &Q, Matrix &RQRt, int &info);
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void setPstar(Matrix &Pstar, Matrix &Pinf, const Matrix &T, const Matrix &RQRt, int &info);
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};
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#endif // !defined(C3D996B8_22AB_4b77_B693_BA4777AFB091__INCLUDED_)
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