bool CAR_DKW_o::SetParameters_InitializeABOmega()
{
if (!CAR_DKW::SetParameters_InitializeABOmega())
return false;
TDenseMatrix lambda1 = SIGMA_inverse * SIGMAlambda1;
TDenseVector KAPPAtheta = KAPPA * theta;
TDenseVector theta_Q;
aI_Q.Zeros(dataP->MATgrid_options.Dimension());
bI_Q.Zeros(dataP->MATgrid_options.Dimension(), Nfac);
for (int i=0; i<dataP->MATgrid_options.Dimension(); i++)
{
double MAT = dataP->MATgrid_options(i);
TDenseVector temp_ay;
TDenseMatrix temp_by;
if (!YieldFacLoad(temp_ay, temp_by, KAPPA_rn, Inv_KAPPA_rn, Inv_Kron_KAPPA_rn, SIGMA, KAPPAtheta, rho0, rho1, lambda0,TDenseVector(1,MAT)))
return false;
TDenseVector temp_by_vector = temp_by.RowVector(0); // -MAT * temp_by.RowVector(0);
theta_Q = Multiply(Inv_KAPPA_rn, KAPPAtheta-SIGMA*lambda0+MultiplyTranspose(SIGMA,SIGMA)*temp_by_vector);
double rho0_Q = rho0_pi - InnerProduct(lambda0, sigq)+InnerProduct(sigq, TransposeMultiply(SIGMA,temp_by_vector));
TDenseVector rho1_Q = rho1_pi - TransposeMultiply(lambda1, sigq);
double temp_aI_Q;
TDenseVector temp_bI_Q;
InfExpFacLoad(temp_aI_Q, temp_bI_Q, KAPPA_rn, Inv_KAPPA_rn, Inv_Kron_KAPPA_rn, SIGMA, theta_Q, sigq, sigqx, rho0_Q, rho1_Q, MAT);
aI_Q(i) = temp_aI_Q;
bI_Q.InsertRowMatrix(i, 0, temp_bI_Q);
}
return true;
}
void MatrixRmn::ComputeInverse( MatrixRmn& R) const
{
assert ( this->NumRows==this->NumCols );
MatrixRmn U(this->NumRows, this->NumCols);
VectorRn w(this->NumRows);
MatrixRmn V(this->NumRows, this->NumCols);
this->ComputeSVD(U, w, V);
assert(this->DebugCheckSVD(U, w , V));
double PseudoInverseThresholdFactor = 0.01;
double pseudoInverseThreshold = PseudoInverseThresholdFactor*w.MaxAbs();
MatrixRmn VD(this->NumRows, this->NumCols);
MatrixRmn D(this->NumRows, this->NumCols);
D.SetZero();
long diagLength = w.GetLength();
double* wPtr = w.GetPtr();
for ( long i = 0; i < diagLength; ++i ) {
double alpha = *(wPtr++);
if ( fabs(alpha)>pseudoInverseThreshold ) {
D.Set(i, i, 1.0/alpha);
}
}
Multiply(V,D,VD);
MultiplyTranspose(VD,U,R);
}
void MultiplyAdjoint
( int maxRank, Real alpha,
const Dense<Real>& A,
const Dense<Real>& B,
LowRank<Real>& C )
{
#ifndef RELEASE
CallStackEntry entry("hmat_tools::MultiplyAdjoint (F := D D^H)");
#endif
MultiplyTranspose( maxRank, alpha, A, B, C );
}
