Example #1
0
Matrix gamma_exp(const SMatrix& S,const vector<double>& D,double alpha,double beta) {
    const int n = S.size1();

    std::vector<double> DP(n);
    std::vector<double> DN(n);
    for(int i=0; i<D.size(); i++) {
        DP[i] = sqrt(D[i]);
        DN[i] = 1.0/DP[i];
    }

    SMatrix S2 = S;
    for(int i=0; i<S2.size1(); i++)
        for(int j=0; j<=i; j++)
            S2(i,j) *= DP[i]*DP[j];

    Matrix E = gamma_exp(S2,alpha,beta);

    //  E = prod(DN,prod<Matrix>(E,DP));
    for(int i=0; i<E.size1(); i++)
        for(int j=0; j<E.size2(); j++)
            E(i,j) *= DN[i]*DP[j];

    for(int i=0; i<E.size1(); i++)
        for(int j=0; j<E.size2(); j++) {
            assert(E(i,j) >= -1.0e-13);
            if (E(i,j)<0)
                E(i,j)=0;
        }

    return E;
}
Example #2
0
Matrix exp(const SMatrix& S,const vector<double>& D,double t)
{
    const int n = S.size1();

    // compute S2 = D^1/2 * S * D^1/2
    std::vector<double> DP(n);
    std::vector<double> DN(n);

    for(int i=0; i<D.size(); i++) {
        DP[i] = sqrt(D[i]);
        DN[i] = 1.0/DP[i];
    }

    //SMatrix S2 = prod(DP,prod<Matrix>(S,DP));
    SMatrix S2 = S;
    for(int i=0; i<S2.size1(); i++)
        for(int j=0; j<=i; j++)
            S2(i,j) *= DP[i]*DP[j];


    // compute E = exp(S2)
    Matrix E = exp(S2,t);

    for(int i=0; i<E.size1(); i++)
        for(int j=0; j<E.size2(); j++)
            E(i,j) *= DN[i]*DP[j];


    // Double-check that E(i,j) is always positive
    for(int i=0; i<E.size1(); i++)
        for(int j=0; j<E.size2(); j++) {
            assert(E(i,j) >= -1.0e-13);
            if (E(i,j)<0)
                E(i,j)=0;
        }

    return E;
}