65 lines
2.4 KiB
C++
65 lines
2.4 KiB
C++
/*
|
|
* Copyright (C) 2007-2012 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 <http://www.gnu.org/licenses/>.
|
|
*/
|
|
|
|
#ifndef BLOCK_KALMAN_FILTER
|
|
#define BLOCK_KALMAN_FILTER
|
|
|
|
#ifndef DEBUG_EX
|
|
# include <dynmex.h>
|
|
#else
|
|
# include "mex_interface.hh"
|
|
#endif
|
|
|
|
#include <dynblas.h>
|
|
#include <dynlapack.h>
|
|
using namespace std;
|
|
|
|
class BlockKalmanFilter
|
|
{
|
|
public:
|
|
mxArray *pT , *pR, *pQ, *pH, *pP, *pY, *pQQ, *pv, *pF, *piF, *p_P_t_t1, *pK, *p_K_P;
|
|
double *T , *R, *Q , *H, *Y, *mfd, *QQ, *v, *F, *iF;
|
|
int start, pure_obs, smpl, n, n_state, n_shocks, H_size;
|
|
double kalman_tol, riccati_tol, dF, LIK, Inf, pi;
|
|
lapack_int pp, lw, info;
|
|
|
|
double* nz_state_var;
|
|
int *i_nz_state_var, *mf;
|
|
int n_diag, t;
|
|
mxArray *M_;
|
|
mxArray* pa, *p_tmp, *p_tmp1, *plik;
|
|
double *tmp_a, *tmp1, *lik, *v_n, *w, *oldK;
|
|
bool notsteady, F_singular, missing_observations;
|
|
lapack_int *iw, *ipiv;
|
|
double anorm, rcond;
|
|
lapack_int size_d_index;
|
|
int no_more_missing_observations, number_of_observations;
|
|
const mxArray* pdata_index;
|
|
vector<int> d_index;
|
|
const mxArray* pd_index;
|
|
double* dd_index;
|
|
|
|
public:
|
|
BlockKalmanFilter(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[], double *P_mf[], double *v_pp[], double *K[], double *v_n[], double *a[], double *K_P[], double *P_t_t1[], double *tmp[], double *P[]);
|
|
bool block_kalman_filter(int nlhs, mxArray *plhs[], double *P_mf, double *v_pp, double *K, double *v_n, double *a, double *K_P, double *P_t_t1, double *tmp, double *P);
|
|
void block_kalman_filter_ss(double *P_mf, double *v_pp, double *K, double *v_n, double *a, double *K_P, double *P_t_t1, double *tmp, double *P);
|
|
void return_results_and_clean(int nlhs, mxArray *plhs[], double *P_mf[], double *v_pp[], double *K[], double *v_n[], double *a[], double *K_P[], double *P_t_t1[], double *tmp[], double *P[]);
|
|
};
|
|
#endif
|