65 lines
2.4 KiB
C++
65 lines
2.4 KiB
C++
/*
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* Copyright (C) 2007-2017 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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#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 <dynblas.h>
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#include <dynlapack.h>
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using namespace std;
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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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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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double *tmp_a, *tmp1, *lik, *v_n, *w, *oldK;
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bool notsteady, F_singular, missing_observations;
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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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vector<int> d_index;
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const mxArray *pd_index;
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double *dd_index;
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public:
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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[]);
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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);
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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);
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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[]);
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};
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#endif
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