kalman_helper.h

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/* MLPACK 0.2
 *
 * Copyright (c) 2008, 2009 Alexander Gray,
 *                          Garry Boyer,
 *                          Ryan Riegel,
 *                          Nikolaos Vasiloglou,
 *                          Dongryeol Lee,
 *                          Chip Mappus, 
 *                          Nishant Mehta,
 *                          Hua Ouyang,
 *                          Parikshit Ram,
 *                          Long Tran,
 *                          Wee Chin Wong
 *
 * Copyright (c) 2008, 2009 Georgia Institute of Technology
 *
 * This program 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 2 of the
 * License, or (at your option) any later version.
 *
 * This program 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 this program; if not, write to the Free Software
 * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
 * 02110-1301, USA.
 */
#ifndef KALMAN_HELPER_H
#define KALMAN_HELPER_H
#include "fastlib/fastlib.h"

struct ssm {
  Matrix a_mat; 
  Matrix b_mat; 
  Matrix c_mat; 
  Matrix q_mat; 
  Matrix r_mat; 
  Matrix s_mat; 
};

void propagate_one_step(const Matrix& a_mat, const Vector& x, 
                        const Vector& w, Vector* v);

void propagate_one_step(const Matrix& a_mat, const Matrix& b_mat, 
                        const Vector& x, const Vector &u, const Vector& w,
                        Vector* v);

void schur(const Matrix& a_mat, const Matrix& b_mat, const Matrix& c_mat, 
           const Matrix& d_mat, Matrix* mat);


void print_matrix(const Matrix& a_mat, const char* name);


void matrix_concatenate_col_init(const Matrix& a_mat, const Matrix& b_mat, 
                                 Matrix* x_mat);


void matrix_concatenate_row_init(const Matrix& a_mat, const Matrix& b_mat, 
                                 Matrix* x_mat);


void extract_sub_matrix_init(const Matrix& a_mat, const int& r_in, 
                             const int& r_out, const int& c_in, 
                             const int& c_out, Matrix* x_mat);


void extract_sub_vector_of_vector_init(const Vector& v, const int& r_in, 
                                       const int& r_out, Vector* x);

void extract_sub_vector_of_vector(const Vector& v, const int& r_in, 
                                  const int& r_out, Vector* x);


void set_portion_of_matrix(const Matrix& a_mat, const int& r_in,
                           const int& r_out, const int& c_in, 
                           const int& c_out, Matrix* x_mat);


void set_portion_of_matrix(const Vector& a_mat, const int& r_in, 
                           const int& r_out, const int& c, Matrix* x_mat);

void RandVector(Vector &v);

void RandVector(const Matrix& noise_mat, Vector &v);   

#endif