@Override
public void save(final int t, final AugmentedPredictionErrors pe) {
DataBlock U = pe.getTransformedPredictionErrors();
Matrix L = pe.getCholeskyFactor();
DataBlock D = L.diagonal();
Matrix E = pe.E();
int nvars = E.getColumnsCount();
n += nvars;
LogSign sld = D.sumLog();
det += sld.value;
Q.subMatrix(0, nd, nd + 1, nd + 1 + nvars).copy(E.subMatrix());
Q.row(nd).range(nd + 1, nd + 1 + nvars).copy(U);
ec.tstoolkit.maths.matrices.ElementaryTransformations.fastGivensTriangularize(Q.subMatrix());
}
@Override
public boolean collapse(AugmentedState state) {
if (state.getInfo() != StateInfo.Forecast) {
return false;
}
if (!isPositive(Q.diagonal().drop(0, 1))) {
return false;
}
// update the state vector
Matrix A = new Matrix(state.B());
int d = A.getColumnsCount();
Matrix S = new Matrix(a());
LowerTriangularMatrix.rsolve(S, A.subMatrix().transpose());
DataBlock D = b().deepClone();
LowerTriangularMatrix.lsolve(S, D);
for (int i = 0; i < d; ++i) {
DataBlock col = A.column(i);
state.a().addAY(-Q.get(d, i), col);
state.P().addXaXt(1, col);
}
state.dropAllConstraints();
return true;
}