KHL.h

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00001 #ifndef KHL_H_
00002 #define KHL_H_
00003 
00004 #include "miscfunc.h"
00005 #include "VecMat.h"
00006 #include <iostream>
00007 
00008 namespace ublas = boost::numeric::ublas;
00009 
00010 namespace gplib
00011   {
00012     void KHLExpand(const rvec &input, rmat &v, rvec &a)
00013       {
00014         //rvec autocorr(input);
00015         //Correl(input,input,autocorr);
00016         rmat corrmat(input.size(), input.size());
00017         for (int i = 0; i < input.size(); ++i)
00018           for (int j = 0; j < input.size(); ++j)
00019             corrmat(i, j) = input((i + j) % input.size());
00020         cmat vl(input.size(), input.size()), vr(input.size(), input.size());
00021         cvec evalues(input.size());
00022         boost::numeric::bindings::lapack::geev(corrmat, evalues, &vl, &vr,
00023             boost::numeric::bindings::lapack::optimal_workspace());
00024         v = real(vr);
00025         noalias(a) = prod(trans(v), input);
00026 
00027       }
00028   }
00029 #endif /*KHL_H_*/