148 lines
3.9 KiB
C++
148 lines
3.9 KiB
C++
/*
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* Copyright © 2005 Ondra Kamenik
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* Copyright © 2019 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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#include "vector_function.hh"
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#include <dynlapack.h>
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#include <cmath>
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#include <algorithm>
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/* Just an easy constructor of sequence of booleans defaulting to change
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everywhere. */
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ParameterSignal::ParameterSignal(int n)
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: data(n, true)
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{
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}
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/* This sets ‘false’ (no change) before a given parameter, and ‘true’ (change)
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after the given parameter (including). */
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void
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ParameterSignal::signalAfter(int l)
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{
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for (size_t i = 0; i < std::min(static_cast<size_t>(l), data.size()); i++)
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data[i] = false;
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for (size_t i = l; i < data.size(); i++)
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data[i] = true;
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}
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/* This constructs a function set hardcopying also the first. */
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VectorFunctionSet::VectorFunctionSet(const VectorFunction &f, int n)
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: funcs(n)
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{
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for (int i = 0; i < n; i++)
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{
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func_copies.push_back(f.clone());
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funcs[i] = func_copies.back().get();
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}
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}
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/* This constructs a function set with shallow copy in the first and hard
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copies in others. */
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VectorFunctionSet::VectorFunctionSet(VectorFunction &f, int n)
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: funcs(n)
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{
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if (n > 0)
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funcs[0] = &f;
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for (int i = 1; i < n; i++)
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{
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func_copies.push_back(f.clone());
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funcs[i] = func_copies.back().get();
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}
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}
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/* Here we construct the object from the given function f and given
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variance-covariance matrix Σ=vcov. The matrix A is calculated as lower
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triangular and yields Σ=AAᵀ. */
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GaussConverterFunction::GaussConverterFunction(VectorFunction &f, const GeneralMatrix &vcov)
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: VectorFunction(f), func(&f), A(vcov.nrows(), vcov.nrows()),
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multiplier(calcMultiplier())
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{
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// TODO: raise if A.nrows() ≠ indim()
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calcCholeskyFactor(vcov);
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}
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GaussConverterFunction::GaussConverterFunction(std::unique_ptr<VectorFunction> f, const GeneralMatrix &vcov)
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: VectorFunction(*f), func_storage{move(f)}, func{func_storage.get()}, A(vcov.nrows(), vcov.nrows()),
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multiplier(calcMultiplier())
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{
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// TODO: raise if A.nrows() ≠ indim()
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calcCholeskyFactor(vcov);
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}
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GaussConverterFunction::GaussConverterFunction(const GaussConverterFunction &f)
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: VectorFunction(f), func_storage{f.func->clone()}, func{func_storage.get()}, A(f.A),
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multiplier(f.multiplier)
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{
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}
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/* Here we evaluate the function
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g(y) = 1/√(πⁿ) f(√2·Ay).
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Since the matrix A is lower triangular, the change signal for the function f
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will look like (0,…,0,1,…,1) where the first 1 is in the same position as
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the first change in the given signal ‘sig’ of the input y=point. */
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void
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GaussConverterFunction::eval(const Vector &point, const ParameterSignal &sig, Vector &out)
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{
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ParameterSignal s(sig);
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int i = 0;
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while (i < indim() && !sig[i])
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i++;
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s.signalAfter(i);
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Vector x(indim());
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x.zeros();
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A.multaVec(x, point);
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x.mult(sqrt(2.0));
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func->eval(x, s, out);
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out.mult(multiplier);
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}
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/* This returns 1/√(πⁿ). */
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double
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GaussConverterFunction::calcMultiplier() const
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{
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return sqrt(pow(M_PI, -1*indim()));
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}
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void
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GaussConverterFunction::calcCholeskyFactor(const GeneralMatrix &vcov)
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{
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A = vcov;
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lapack_int rows = A.nrows(), lda = A.getLD();
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for (int i = 0; i < rows; i++)
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for (int j = i+1; j < rows; j++)
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A.get(i, j) = 0.0;
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lapack_int info;
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dpotrf("L", &rows, A.base(), &lda, &info);
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// TODO: raise if info≠1
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}
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