RegArchOptimParams::RegArchOptimParams(SEXP theSEXP, uint theNRegArchParam, const char* theMethod, double theLower, double theUpper)
{ mvMethod = new char[strlen(theMethod)+1];
strcpy(mvMethod, theMethod);
mvLower = theLower;
mvUpper = theUpper;
cRUtil myRUtil;
uint myParamNumber = length(theSEXP);
char** myNames = new char*[myParamNumber];
for (register uint i = 0; i < myParamNumber; i++)
myNames[i] = new char[16]; // Should be enough to store any parameter name
cDVector* myVal = new cDVector[myParamNumber];
uint* mySizes = new uint[myParamNumber];
myRUtil.GetListVectSizesSexp(theSEXP, 0, myParamNumber, mySizes);
for (register uint i = 0; i < myParamNumber; i++)
myVal[i] = cDVector(mySizes[i]);
myRUtil.GetListNamedVectSexp(theSEXP, 0, myParamNumber, myNames, myVal);
FetchParameters(myParamNumber, myNames, myVal, theNRegArchParam);
for (register uint i = 0; i < myParamNumber; i++)
delete[] myNames[i];
delete[] myNames;
delete[] myVal;
delete[] mySizes;
}
SEXP RRegArchFit(SEXP theInitPar, SEXP theNObs, SEXP theYt, SEXP theModel, SEXP theMethod, SEXP theLower, SEXP theUpper, SEXP theControl)
{SEXP myResSEXP;
#ifdef _GSL_
cRUtil myRUtil;
int myNObs = INTEGER(theNObs)[0];
cDVector myYt(myNObs);
myRUtil.GetVectSexp(theYt, 0, myYt);
cDMatrix myMatX;
cRegArchParam myParam;
SexpToRegArchParam(theModel, myParam, &myMatX);
cDVector myInitPar(myParam.GetNParam());
myRUtil.GetVectSexp(theInitPar, 0, myInitPar);
cDMatrix *myMat;
if ( (myMatX.GetNRow() > 0) && (myMatX.GetNCol() > 0) )
myMat = &myMatX;
else
myMat = NULL;
cRegArchValue myValue = cRegArchValue(&myYt, myMat);
const char* myMethod = CHAR(STRING_ELT(theMethod,0));
double myLower = REAL(theLower)[0];
double myUpper = REAL(theUpper)[0];
RegArchOptimParams myOptimParams(theControl, myParam.GetNParam(), myMethod, myLower, myUpper);
sRegArchOptimResult myRes = RegArchOptimize(myInitPar, myParam, myValue, myOptimParams);
char *myNames[3] = {"par", "value", "convergence"};
cDVector myResVect[3] = {myRes.mPar, cDVector(1, myRes.mValue), cDVector(1, myRes.mConvergence)};
myRUtil.SetListNamedVectSexp(myResVect, myNames, 3, myResSEXP);
myRUtil.EndProtect();
#endif
return(myResSEXP);
}
void LapackInvAndDet(cDMatrix& theMatrix, cDMatrix& theInvMatrix, double& theDet)
{
uint myNCol = theMatrix.GetNCols() ;
double *myAP = new double[myNCol*(myNCol + 1)/2],
*myW = new double[myNCol],
*myZ = new double[myNCol*myNCol],
*myWork = new double[myNCol * 3] ;
int myInfo,
myN = (int)(myNCol),
myldz = (int)(myNCol) ;
for (register int i = 0 ; i < myN ; i++)
for (register int j = i ; j < myldz ; j++)
myAP[i+(j+1)*j/2] = theMatrix[i][j] ;
F77_NAME(dspev)("V", "U", &myN, myAP, myW, myZ, &myldz, myWork, &myInfo) ;
if (myInfo != 0)
throw cOTError("Non inversible matrix") ;
theDet = 1.0L ;
cDVector myInvEigenValue = cDVector(myNCol) ;
cDMatrix myEigenVector(myNCol, myNCol) ;
for (register uint i = 0 ; i < myNCol ; i++)
{ theDet *= myW[i] ;
myInvEigenValue[i] = 1.0 /myW[i] ;
for (register int j = 0 ; j < myN ; j++)
myEigenVector[i][j] = myZ[i + j*myN] ;
}
theInvMatrix = myEigenVector ;
cDMatrix myAuxMat1 = Diag(myInvEigenValue), myAuxMat2 = Transpose(myEigenVector) ;
cDMatrix myAuxMat = myAuxMat1 * myAuxMat2 ;
theInvMatrix = theInvMatrix * myAuxMat ;
delete myAP ;
delete myW ;
delete myZ ;
delete myWork ;
}
