SparseMatrix::SparseMatrix(const SparseMatrix& mat, int num_rows, int num_cols, int first_row, int first_col) {
_allocate_SparseMatrix(num_rows, num_cols, num_rows, num_cols);
for (int row=0; row<num_rows; row++) {
// copy parts of rowvectors
*_rows[row] = SparseVector(*mat._rows[row+first_row], num_rows, first_row);
}
}
SparseVector TrigStateModel::observation_matrix(int t) const {
Vector trig(state_dimension());
for (int i = 0; i < frequencies_.size(); ++i) {
trig[2 * i] = cos(frequencies_[i] * t);
trig[2 * i + 1] = sin(frequencies_[i] * t);
}
return SparseVector(trig);
}
void DRSM::add_forecast_data(const Matrix &predictors) {
if (ncol(predictors) != xdim_) {
report_error("Forecast data has the wrong number of columns");
}
for (int i = 0; i < nrow(predictors); ++i) {
sparse_predictor_vectors_.push_back(SparseVector(predictors.row(i)));
sparse_predictor_matrices_.push_back(
new DenseMatrix(Matrix(1, xdim_, predictors.row(i))));
}
}
DRSM::DynamicRegressionStateModel(const Matrix &X)
: xdim_(ncol(X)),
initial_state_mean_(xdim_, 0.0),
initial_state_variance_(xdim_, 1.0),
transition_matrix_(new IdentityMatrix(xdim_)) {
setup_models_and_transition_variance_matrix();
sparse_predictor_vectors_.reserve(nrow(X));
for (int i = 0; i < nrow(X); ++i) {
sparse_predictor_vectors_.push_back(SparseVector(X.row(i)));
sparse_predictor_matrices_.push_back(
new DenseMatrix(Matrix(1, xdim_, X.row(i))));
}
compute_predictor_variance();
}
//============================================================================
DRSM::DynamicRegressionStateModel(const std::vector<Matrix> &predictors)
: xdim_(check_columns(predictors)),
initial_state_mean_(xdim_, 0.0),
initial_state_variance_(xdim_, 1.0),
transition_matrix_(new IdentityMatrix(xdim_)) {
setup_models_and_transition_variance_matrix();
for (int i = 0; i < predictors.size(); ++i) {
const Matrix &X(predictors[i]);
sparse_predictor_matrices_.push_back(new DenseMatrix(X));
for (int j = 0; j < X.nrow(); ++j) {
sparse_predictor_vectors_.push_back(SparseVector(X.row(j)));
}
}
compute_predictor_variance();
}
void DRSM::add_multiplexed_forecast_data(
const std::vector<Matrix> &predictors) {
if (predictors.empty()) {
report_error("Forecast data is empty.");
}
for (int t = 0; t < predictors.size(); ++t) {
NEW(DenseMatrix, predictor_matrix)(predictors[t]);
if (!sparse_predictor_matrices_.empty() &&
predictor_matrix->ncol() != sparse_predictor_matrices_[0]->ncol()) {
report_error(
"Multiplexed forecast data has the wrong "
"number of columns.");
}
sparse_predictor_matrices_.push_back(predictor_matrix);
sparse_predictor_vectors_.push_back(SparseVector(predictors[t].row(0)));
}
}
SparseVector multadd_ss(const SparseVector &a, const SparseVector &b, base_type factor)
{
vector<pair<size_t, base_type>> words;
SparseVector::const_iterator iter_a = a.begin();
SparseVector::const_iterator iter_b = b.begin();
while (iter_a!=a.end() && iter_b!=b.end())
{
if (iter_a->first > iter_b->first)
{
words.push_back(make_pair(iter_b->first, factor*iter_b->second));
iter_b++;
} else {
if (iter_a->first < iter_b->first)
{
words.push_back(*iter_a);
iter_a++;
} else {
// indices equal
base_type weight = iter_a->second + factor*iter_b->second;
if (weight!=0)
words.push_back(make_pair(iter_a->first, weight));
iter_a++;
iter_b++;
}
}
}
while (iter_b!=b.end())
{
words.push_back(make_pair(iter_b->first, factor*iter_b->second));
iter_b++;
}
while (iter_a!=a.end())
{
words.push_back(*iter_a);
iter_a++;
}
return(SparseVector(words));
}