TEST(OptimizationBfgsUpdate, bfgs_update_secant) {
typedef stan::optimization::BFGSUpdate_HInv<> QNUpdateT;
typedef QNUpdateT::VectorT VectorT;
const unsigned int nDim = 10;
QNUpdateT bfgsUp;
VectorT yk(nDim), sk(nDim), sdir(nDim);
// Construct a set of BFGS update vectors and check that
// the secant equation H*yk = sk is always satisfied.
for (unsigned int i = 0; i < nDim; i++) {
sk.setZero(nDim);
yk.setZero(nDim);
sk[i] = 1;
yk[i] = 1;
bfgsUp.update(yk,sk,i==0);
// Because the constructed update vectors are all orthogonal the secant
// equation should be exactlty satisfied for all nDim updates.
for (unsigned int j = 0; j <= i; j++) {
sk.setZero(nDim);
yk.setZero(nDim);
sk[i - j] = 1;
yk[i - j] = 1;
bfgsUp.search_direction(sdir,yk);
EXPECT_NEAR((sdir + sk).norm(),0.0,1e-10);
}
}
}
/// \brief Unscented transform of process Sigma points
void UnscentedKalmanFilter::utf(vnl_matrix<double> X, vnl_vector<double> u,
vnl_vector<double> &y, vnl_matrix<double> &Y, vnl_matrix<double> &P, vnl_matrix<double> &Y1)
{
// determine number of sigma points
unsigned int L = X.cols();
// zero output matrices
y.fill(0.0); Y.fill(0.0);
// transform the sigma points and put them as columns in a matrix Y
for( int k = 0; k < L; k++ )
{
vnl_vector<double> xk = X.get_column(k);
vnl_vector<double> yk(N);
f(xk,u,yk);
Y.set_column(k,yk);
// add each transformed point to the weighted mean
y = y + Wm.get(0,k)*yk;
}
// create a matrix with each column being the weighted mean
vnl_matrix<double> Ymean(N,L);
for( int k = 0; k < L; k++ )
Ymean.set_column(k,y);
// set the matrix of difference vectors
Y1 = Y-Ymean;
// calculate the covariance matrix output
vnl_matrix<double> WC(L,L,0.0);
WC.set_diagonal(Wc.get_row(0));
P = Y1*WC*Y1.transpose();
}
TEST(OptimizationBfgsUpdate, BFGSUpdate_HInv_update) {
typedef stan::optimization::BFGSUpdate_HInv<> QNUpdateT;
typedef QNUpdateT::VectorT VectorT;
const unsigned int nDim = 10;
QNUpdateT bfgsUp;
VectorT yk(nDim), sk(nDim), sdir(nDim);
for (unsigned int i = 0; i < nDim; i++) {
sk.setZero(nDim);
yk.setZero(nDim);
sk[i] = 1;
yk[i] = 1;
bfgsUp.update(yk,sk,i==0);
}
}
void testMat()
{
int k=FreqSys(1,1)/FreqSys(1,2);
//cout<<k<<endl;
math::matrix<double> yu(4,4);
for (int i=0;i<4;i++)
{
yu(0,i)=i+1;
yu(i,0)=i+1;
if (i==1)
{
yu(1,1)=5;yu(1,i+1)=9;yu(1,i+2)=10;
yu(1+i,1)=9;yu(i+2,1)=10;
}
yu(2,2)=22;yu(2,3)=20;
yu(3,2)=20;
yu(3,3)=37;
}
//cout<<yu<<endl;
math::matrix<double> yk(4,4);
math::matrix<double> ol(4,1);
math::matrix<double>* yyy=new math::matrix<double>[2];
for (int i=0;i<4;i++)
{
for (int j=0;j<1;j++)
{
ol(i,j)=(i+1.2)+j*0.2;
}
//math::matrix<double> ols(4,1);
}
yyy[0]=ol;
math::matrix<double>I(2,2);
//cout<<yu<<endl;
//cout<<InsertZeroCol(yu,0,1);
for (int i=0;i<2;i++)
{
I(i,i)=12.0;
}
//cout<<Kronecker(yu,I,2);
}
TEST(OptimizationBfgsUpdate, BFGSUpdate_HInv_search_direction) {
typedef stan::optimization::BFGSUpdate_HInv<> QNUpdateT;
typedef QNUpdateT::VectorT VectorT;
const unsigned int nDim = 10;
QNUpdateT bfgsUp;
VectorT yk(nDim), sk(nDim), sdir(nDim);
for (unsigned int i = 0; i < nDim; i++) {
for (unsigned int j = 0; j <= i; j++) {
sk.setZero(nDim);
yk.setZero(nDim);
sk[i - j] = 1;
yk[i - j] = 1;
bfgsUp.search_direction(sdir,yk);
}
}
}
void ChangeMasterKeyWidget::ykDetected(int slot, bool blocking)
{
YkChallengeResponseKey yk(slot, blocking);
m_ui->challengeResponseCombo->addItem(yk.getName(), QVariant(slot));
m_ui->challengeResponseGroup->setEnabled(true);
}
