void matinverse
( std::vector< std::vector<double> > mat,
// double mat[3][3],
int order,
std::vector< std::vector<double> > &matinv
// double matinv[3][3]
)
{
int i, j;
std::vector< int > indexx(order+1);
//std::vector< std::vector<double> > lu(order+1,order+1);
//std::vector< std::vector<double> > b(order+1,2);
std::vector< std::vector<double> > lu(order+1,std::vector<double>(order+1,0.0)); //DEBUG: updated the vector<vector<double>> constructor.
std::vector< std::vector<double> > b(order+1,std::vector<double>(2,0.0)); //DEBUG: updated the vector<vector<double>> constructor.
matinv.resize(order); // rows
for (std::vector< std::vector<double> >::iterator it=matinv.begin(); it != matinv.end();++it)
it->resize(order);
for (i = 1; i <= order; i++)
{
indexx[i] = i;
for (j = 1; j <= order; j++)
lu[i][j] = mat[i-1][j-1];
}
ludecomp(lu, indexx, order);
for (j = 1; j <= order; j++)
{
for (i = 1; i <= order; i++)
{
if (i == j)
b[i][1] = 1.0;
else
b[i][1] = 0.0;
}
lubksub(lu, indexx, order, b);
for (i = 1; i <= order; i++)
matinv[i-1][j-1] = b[i][1];
}
} // procedure matinverse
void lu_mtrinv( double *a, int n )
{
int i,j,k;
int *pivot;
double s;
pivot = (int *)ALLOCMEM(n*sizeof(int));
/*
* AP = LU
*/
ludecomp( a,n,pivot );
for( i=0; i<n; i++ )
{
if ( ABS(A(i,i))<AEPS )
{
fprintf( stderr, "Inv: Matrix is singular.\n" );
return;
}
A(i,i) = 1.0/A(i,i);
}
/*
* INV(U)
*/
for( i=n-2; i>=0; i-- )
for( j=n-1; j>i; j-- )
{
s = -A(i,j);
for( k=i+1; k<j; k++ ) s -= A(i,k)*A(k,j);
A(i,j) = s;
}
/*
* INV(L)
*/
for( i=n-2; i>=0; i-- )
for( j=n-1; j>i; j-- )
{
s = 0.0;
for( k=i+1; k<=j; k++ ) s -= A(j,k)*A(k,i);
A(j,i) = A(i,i)*s;
}
/*
* A = INV(AP)
*/
for( i=0; i<n; i++ )
for( j=0; j<n; j++ )
{
s = 0.0;
for( k=MAX(i,j); k<n; k++ )
{
if ( k!=i )
s += A(i,k)*A(k,j);
else
s += A(k,j);
A(i,j) = s;
}
}
/*
* A = INV(A) (at last)
*/
for( i=n-1; i>=0; i-- )
if ( pivot[i]!=i )
for( j=0; j<n; j++ )
{
s = A(i,j);
A(i,j) = A(pivot[i],j);
A(pivot[i],j) = s;
}
FREEMEM((char *)pivot);
}
int as154_seas(double *inp, int N, int optmethod, int p, int d, int q, int s, int P, int D, int Q,
double *phi, double *theta, double *PHI, double *THETA, double *wmean,double *var,double *loglik,double *hess) {
int i, pq, retval, length, offset,ret;
double *b, *tf, *x,*inp2,*dx,*thess;
int *ipiv;
double maxstep;
alik_seas_object obj;
custom_function as154_min;
obj = alik_seas_init(p, d, q, s, P, D, Q, N);
inp2 = (double*)malloc(sizeof(double)* (N - s*D));
pq = obj->pq;
b = (double*)malloc(sizeof(double)* pq);
tf = (double*)malloc(sizeof(double)* pq);
thess = (double*)malloc(sizeof(double)* pq*pq);
dx = (double*)malloc(sizeof(double)* pq);
ipiv = (int*)malloc(sizeof(int)* pq);
length = N;
maxstep = 1.0;
css_seas(inp, N, optmethod, p, d, q, s, P, D, Q, phi, theta, PHI, THETA, wmean, var,loglik,hess);
/*
*/
if (D > 0) {
N = diffs(inp, N, D, s, inp2);
}
else {
for (i = 0; i < N; ++i) {
inp2[i] = inp[i];
}
}
x = (double*)malloc(sizeof(double)* (N - d));
if (d > 0) {
N = diff(inp2, N, d, x); // No need to demean x
}
else {
for (i = 0; i < N; ++i) {
x[i] = inp2[i];
}
}
obj->N = N;
offset = obj->offset;
for (i = 0; i < p; ++i) {
b[i] = phi[i];
}
for (i = 0; i < q; ++i) {
b[p + i] = -theta[i];
}
for (i = 0; i < P; ++i) {
b[p + q + i] = PHI[i];
}
for (i = 0; i < Q; ++i) {
b[p + q + P + i] = -THETA[i];
}
if (obj->M == 1) {
b[p + q + P + Q] = *wmean;
}
obj->mean = *wmean;
//mdisplay(b, 1, p + q + P + Q);
for (i = 0; i < N; ++i) {
obj->x[offset + i] = obj->x[offset + 2 * N + i] = x[i];
}
for (i = N; i < 2 * N; ++i) {
obj->x[offset + i] = 0.0;
}
//printf("\n %d %g ", pq,maxstep);
// custom_function as154_min = { fas154_seas, obj };
as154_min.funcpt = fas154_seas;
as154_min.params = obj;
retval = fminunc(&as154_min, NULL, pq, b, maxstep, optmethod, tf);
if (retval == 0) {
ret = 0;
}
else if (retval == 15) {
ret = 15;
}
else if (retval == 4) {
ret = 4;
}
else {
ret = 1;
}
for (i = 0; i < pq; ++i) {
dx[i] = 1.0;
}
hessian_fd(&as154_min, tf, pq, dx, obj->eps, hess);
mtranspose(hess, pq, pq, thess);
for (i = 0; i < pq*pq; ++i) {
thess[i] = (N - d - s*D) * 0.5 * (hess[i] + thess[i]);
}
ludecomp(thess, pq, ipiv);
minverse(thess, pq, ipiv, hess);
for (i = 0; i < p; ++i) {
phi[i] = tf[i];
}
for (i = 0; i < q; ++i) {
theta[i] = -tf[p + i];
}
for (i = 0; i < P; ++i) {
PHI[i] = tf[p + q + i];
}
for (i = 0; i < Q; ++i) {
THETA[i] = -tf[p + q + P + i];
}
if (obj->M == 1) {
*wmean = tf[p + q + Q + P];
}
else {
*wmean = 0.0;
}
*var = (obj->ssq) / (double) N;
*loglik = obj->loglik;
//printf("MEAN %g \n", mean(obj->x+N,N));
//mdisplay(obj->x + N, 1, N);
free(b);
free(tf);
free(inp2);
free(x);
free(dx);
free(thess);
free(ipiv);
free_alik_seas(obj);
return ret;
}
int as154(double *inp, int N, int optmethod, int p, int d, int q, double *phi, double *theta, double *wmean, double *var,double *resid,double *loglik,double *hess) {
int i,pq,retval,length,ret;
double *b,*tf,*x,*dx,*thess;
int *ipiv;
double maxstep;
alik_object obj;
custom_function as154_min;
x = (double*)malloc(sizeof(double)* (N - d));
length = N;
maxstep = 1.0;
obj = alik_init(p, d, q, N);
css(inp, N, optmethod, p, d, q, phi, theta, wmean, var,resid,loglik,hess);
if (d > 0) {
N = diff(inp, N, d, x); // No need to demean x
}
else {
for (i = 0; i < N; ++i) {
x[i] = inp[i];
}
}
obj->N = N;
obj->mean = *wmean;
pq = obj->pq;
b = (double*)malloc(sizeof(double)* pq);
tf = (double*)malloc(sizeof(double)* pq);
thess = (double*)malloc(sizeof(double)* pq*pq);
dx = (double*)malloc(sizeof(double)* pq);
ipiv = (int*)malloc(sizeof(int)* pq);
for (i = 0; i < p; ++i) {
b[i] = phi[i];
}
for (i = 0; i < q; ++i) {
b[p + i] = -theta[i];
}
if (obj->M == 1) {
b[p + q] = obj->mean;
}
for (i = 0; i < N; ++i) {
obj->x[i] = obj->x[2 * N + i] = x[i];
}
for (i = N; i < 2 * N; ++i) {
obj->x[i] = 0.0;
}
//20141121ÐÞ¸Ä
//custom_function as154_min = { fas154, obj };
as154_min.funcpt = fas154;
as154_min.params = obj;
retval = fminunc(&as154_min, NULL, pq, b,maxstep, optmethod, tf);
if (retval == 0) {
ret = 0;
}
else if (retval == 15) {
ret = 15;
}
else if (retval == 4) {
ret = 4;
}
else {
ret = 1;
}
for (i = 0; i < pq; ++i) {
dx[i] = 1.0;
}
hessian_fd(&as154_min, tf, pq, dx, obj->eps, hess);
mtranspose(hess, pq, pq, thess);
for (i = 0; i < pq*pq; ++i) {
thess[i] = (N-d) * 0.5 * (hess[i] + thess[i]);
}
ludecomp(thess, pq, ipiv);
minverse(thess, pq, ipiv, hess);
for (i = 0; i < p; ++i) {
phi[i] = tf[i];
}
for (i = 0; i < q; ++i) {
theta[i] = -tf[p + i];
}
if (obj->M == 1) {
*wmean = tf[p + q];
}
else {
*wmean = 0.0;
}
/*
wmean = 0.0;
for (i = 0; i < N; ++i) {
wmean += (obj->x[N + i] * obj->x[N + i]);
}*/
*var = (obj->ssq) / (double) N;
for (i = 0; i < N - d; ++i) {
resid[i] = obj->x[N + i];
}
*loglik = obj->loglik;
//printf("MEAN %g \n", mean(obj->x+N,N));
//mdisplay(obj->x + N, 1, N);
free(b);
free(tf);
free(x);
free(thess);
free(ipiv);
free(dx);
free_alik(obj);
return ret;
}
