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/*
* 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();
}
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