// [[Rcpp::export]]
SEXP HandMadeKalmanFilterConstantCoeffCpp(NumericVector a0
, NumericMatrix P0, NumericMatrix T, NumericMatrix Z , NumericMatrix HH, NumericMatrix GG, NumericMatrix yt)
{
// convert data to Eigen class
Eigen::Map<Eigen::VectorXd > a0e(&a0[0], (size_t)(a0.size()));
Eigen::Map<Eigen::VectorXd > P0e(&P0[0], P0.rows(), P0.cols());
Eigen::Map<Eigen::MatrixXd > Te(&T[0], T.rows(), T.cols());
Eigen::Map<Eigen::MatrixXd > Ze(&Z[0], Z.rows(), Z.cols());
Eigen::Map<Eigen::MatrixXd > HHe(&HH[0], HH.rows(), HH.cols());
Eigen::Map<Eigen::MatrixXd > GGe(&GG[0], GG.rows(), GG.cols());
// HMKF initialization block
cout << T.rows() << " " << Z.rows() << " " << HH.rows() << " " << GG.rows() << endl;
HMKF kf = HMKF(T.rows(), Z.rows());
kf.setModel(Te, Ze, HHe, GGe);
kf.initialize(a0e, P0e);
// filtering steps
NumericVector x(yt.cols()), xp(yt.cols()), V(yt.cols());
for(int i=0; i!=yt.cols(); ++i){
kf.predict();
NumericMatrix::Column col = yt(_,i);
// std::cout << "y:" << col[0] << std::endl;
kf.filter(Map<Eigen::VectorXd >(&col[0], col.size()));
// xp[i]= (kf.getxp())(0);
x[i] = (kf.getx())(0);
// V[i] = (kf.getV())(0,0);
}
return List::create(_("x") = x, _("xp") = xp, _("V") = V);
}
void append( List fillVecs) {
// "append" fill oldmat w/
// we will loop through cols, filling retmat in with the vectors in list
// then update retmat_size to index the next free
// newLenths isn't used, added for compatibility
std::size_t sizeOld, sizeAdd, sizeNew, icol;
NumericVector fillTmp;
// check that number of vectors match
if ( nvec != fillVecs.size()) {
throw std::range_error("In append(): dimension mismatch");
}
for (icol = 0; icol<nvec; icol++){
// vector to append
fillTmp = fillVecs[icol];
// compute lengths
sizeOld = lengths[icol];
sizeAdd = fillTmp.size();
sizeNew = sizeOld + sizeAdd;
// grow data matrix as needed
if ( sizeNew > allocLen) {
grow(sizeNew);
}
// iterator for col to fill
NumericMatrix::Column dataCol = data(_, icol);
// fill row of return matrix, starting at first non-zero elem
std::copy( fillTmp.begin(), fillTmp.end(), dataCol.begin() + sizeOld);
// update size of retmat
lengths[icol] = sizeNew;
}
}
// [[Rcpp::export]]
double runit_NumericMatrix_column( NumericMatrix m ){
NumericMatrix::Column col = m.column(0) ;
return std::accumulate( col.begin(), col.end(), 0.0 ) ;
}