1 files changed, 100 insertions, 0 deletions
diff --git a/Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/CholeskyDecomposition.cpp b/Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/CholeskyDecomposition.cpp
new file mode 100644
index 0000000..f74c99c
--- /dev/null
+++ b/Master/Modellbildung_und_Simulation/Aufgabenblatt2/Aufgabe2und3/src/CholeskyDecomposition.cpp
@@ -0,0 +1,100 @@
+/*
+ * CholeskyDecomposition.cpp
+ *
+ *  Created on: 20.05.2011
+ *      Author: sven
+ */
+#ifndef PARAMETRISATION_H_
+	#include "Parametrisation.h"
+#endif
+
+#include <iostream>
+#include <iomanip>
+#include <cmath>
+
+#include "CholeskyDecomposition.h"
+
+CholeskyDecomposition::CholeskyDecomposition()
+{
+	for (UInt32 c = nenDaimler; c < nenEndOfCompanies ; c++)
+	{
+		mCholeskyMatrixOneDay.push_back(std::vector<double>(nenEndOfCompanies));
+		mCholeskyMatrixTenDays.push_back(std::vector<double>(nenEndOfCompanies));
+	}
+}
+
+CholeskyDecomposition::~CholeskyDecomposition() {
+}
+
+void CholeskyDecomposition::dumpCholeskyMatrices()
+{
+	std::cout << "Cholesky Matrix for one day" << std::endl;
+	int width = 12;
+	int prec = 6;
+	for(UInt32 i = 0; i < nenEndOfCompanies ; i++)
+	{
+		for (UInt32 j = 0; j < nenEndOfCompanies ; j++)
+		{
+			std::cout << std::setw(width) << std::setprecision(prec) << std::fixed << mCholeskyMatrixOneDay.at(i).at(j);
+		}
+		std::cout << std::endl;
+	}
+	std::cout << "Cholesky Matrix for ten days" << std::endl;
+	for(UInt32 i = 0; i < nenEndOfCompanies ; i++)
+	{
+		for (UInt32 j = 0; j < nenEndOfCompanies ; j++)
+		{
+			std::cout << std::setw(width) << std::setprecision(prec) << std::fixed << mCholeskyMatrixTenDays.at(i).at(j);
+		}
+		std::cout << std::endl;
+	}
+}
+
+void CholeskyDecomposition::calcCholeskyMatrix(CholeskyMatrix& d, const CovarianceMatrix& b)
+{
+	double sum,dp,diff;
+	for(int i = 0; i < nenEndOfCompanies ; i++)
+	{
+		for (int j = 0; j < nenEndOfCompanies ; j++)
+		{
+			if ( i < j)
+			{
+				d.at(i).at(j) = 0.0;
+			}
+			else if (i == j)
+			{
+				sum = 0.0;
+				int k=0;
+				while ( k < (i-1) )
+				{
+					dp = d.at(i).at(k);
+					sum += dp*dp;
+					k++;
+				}
+				diff = b.at(i).at(i) - sum;
+				d.at(i).at(j) = std::sqrt(diff);
+			}
+			else if (i > j)
+			{
+				sum = 0.0;
+				int k=0;
+				while (k < (i-1) )
+				{
+					sum += d.at(i).at(k) * d.at(j).at(k);
+					k++;
+				}
+				diff = b.at(i).at(j) - sum;
+				d.at(i).at(j) = (1.0 / d.at(j).at(j) ) * diff;
+			}
+		}
+	}
+}
+
+void CholeskyDecomposition::calcCholeskyDecompostions(const Parametrisation& params)
+{
+	calcCholeskyMatrix(mCholeskyMatrixOneDay,params.getCovarianceMatrix(nenOneDay));
+	calcCholeskyMatrix(mCholeskyMatrixTenDays,params.getCovarianceMatrix(nenTenDays));
+	dumpCholeskyMatrices();
+}
+
+