/// <summary>
/// This function computes the the multiplication of the transpose of the trajectory matrix H by an arbitrary vector v, i.e. H' * v.
/// Since the trajectory matrix is a Hankel matrix, using the Discrete Fourier Transform,
/// the multiplication is carried out in O(N.log(N)) instead of O(N^2), wheere N is the series length.
/// For details, refer to Algorithm 3 in http://arxiv.org/pdf/0911.4498.pdf.
/// </summary>
/// <param name="vector">The input vector</param>
/// <param name="result">The output vector allocated by the caller</param>
/// <param name="add">Whether the multiplication result should be added to the current value in result</param>
/// <param name="srcIndex">The starting index for the vector argument</param>
/// <param name="dstIndex">The starting index for the result</param>
private void FftMultiplyTranspose(Single[] vector, Single[] result, bool add = false, int srcIndex = 0, int dstIndex = 0)
{
_ectx.Assert(srcIndex >= 0);
_ectx.Assert(dstIndex >= 0);
_ectx.Assert(Utils.Size(vector) >= _windowSize + srcIndex);
_ectx.Assert(Utils.Size(result) >= _k + dstIndex);
int i;
// Computing the FFT of the trajectory matrix
if (!_isSeriesFftCached)
{
CacheInputSeriesFft();
}
// Computing the FFT of the input vector
for (i = 0; i < _k - 1; ++i)
{
_inputRe[i] = 0;
}
for (i = _k - 1; i < _seriesLength; ++i)
{
_inputRe[i] = vector[_seriesLength - i - 1 + srcIndex];
}
FftUtils.ComputeForwardFft(_inputRe, _allZerosIm, _outputRe, _outputIm, _inputRe.Length);
// Computing the element-by-element product in the Fourier space
double re;
double im;
for (i = 0; i < _seriesLength; ++i)
{
re = _outputRe[i];
im = _outputIm[i];
_outputRe[i] = _cachedSeriesFftRe[i] * re - _cachedSeriesFftIm[i] * im;
_outputIm[i] = _cachedSeriesFftRe[i] * im + _cachedSeriesFftIm[i] * re;
}
// Computing the inverse FFT of the result
FftUtils.ComputeBackwardFft(_outputRe, _outputIm, _outputRe, _outputIm, _inputRe.Length);
// Generating the output
if (add)
{
for (i = 0; i < _k; ++i)
{
result[i + dstIndex] += RoundUpToReal(_outputRe[_windowSize - 1 + i], _outputIm[_windowSize - 1 + i]);
}
}
else
{
for (i = 0; i < _k; ++i)
{
result[i + dstIndex] = RoundUpToReal(_outputRe[_windowSize - 1 + i], _outputIm[_windowSize - 1 + i]);
}
}
}
/// <summary>
/// Sets the value of the underlying series to new values.
/// </summary>
/// <param name="data">The new series</param>
public void SetSeries(Single[] data)
{
_ectx.Check(Utils.Size(data) >= _seriesLength, "The length of the input series cannot be less than that of the original series.");
_data = data;
if (_isSeriesFftCached)
{
int i;
for (i = _k - 1; i < _seriesLength; ++i)
{
_inputRe[i - _k + 1] = _data[i];
}
for (i = 0; i < _k - 1; ++i)
{
_inputRe[_windowSize + i] = _data[i];
}
FftUtils.ComputeForwardFft(_inputRe, _allZerosIm, _cachedSeriesFftRe, _cachedSeriesFftIm, _inputRe.Length);
}
}
private void CacheInputSeriesFft()
{
int i;
_cachedSeriesFftRe = new Double[_seriesLength];
_cachedSeriesFftIm = new Double[_seriesLength];
_allZerosIm = new Double[_seriesLength];
_inputRe = new Double[_seriesLength];
_outputIm = new Double[_seriesLength];
_outputRe = new Double[_seriesLength];
for (i = _k - 1; i < _seriesLength; ++i)
{
_inputRe[i - _k + 1] = _data[i];
}
for (i = 0; i < _k - 1; ++i)
{
_inputRe[_windowSize + i] = _data[i];
}
FftUtils.ComputeForwardFft(_inputRe, _allZerosIm, _cachedSeriesFftRe, _cachedSeriesFftIm, _inputRe.Length);
_isSeriesFftCached = true;
}
/// <summary>
/// This function computes the efficient Hankelization of the matrix sigma * u * v' using Fast Fourier Transform in in O((L + K) * log(L + K)).
/// For details, refer to Algorithm 4 in http://arxiv.org/pdf/0911.4498.pdf.
/// </summary>
/// <param name="u">The u vector</param>
/// <param name="v">The v vector</param>
/// <param name="sigma">The scalar coefficient</param>
/// <param name="result">The output series</param>
/// <param name="add">Whether the hankelization result should be added to the current value in result</param>
/// <param name="uIndex">The starting index for the u vector argument</param>
/// <param name="vIndex">The starting index for the v vector argument</param>
/// <param name="dstIndex">The starting index for the result</param>
/// <param name="start">The staring index of the series to be reconstructed (by default zero)</param>
/// <param name="end">The ending index of the series to be reconstructed (by default series length)</param>
private void FftRankOneHankelization(Single[] u, Single[] v, Single sigma, Single[] result, bool add = false,
int uIndex = 0, int vIndex = 0, int dstIndex = 0, int?start = null, int?end = null)
{
int s;
int e;
int us;
int ue;
int vs;
int ve;
int i;
s = start ?? 0;
e = end ?? _seriesLength - 1;
ComputeBoundryIndices(s, e, out us, out ue, out vs, out ve);
_ectx.Assert(0 <= ue && ue < _windowSize);
_ectx.Assert(0 <= us && us <= ue);
_ectx.Assert(0 <= ve && ve < _k);
_ectx.Assert(0 <= vs && vs <= ve);
var len = e - s + 1;
_ectx.Assert(uIndex >= 0);
_ectx.Assert(vIndex >= 0);
_ectx.Assert(dstIndex >= 0);
_ectx.Assert(Utils.Size(u) >= _windowSize + uIndex);
_ectx.Assert(Utils.Size(v) >= _k + vIndex);
_ectx.Assert(Utils.Size(result) >= len + dstIndex);
_ectx.Assert(!Single.IsNaN(sigma));
_ectx.Assert(!Single.IsInfinity(sigma));
if (!_isSeriesFftCached)
{
CacheInputSeriesFft();
}
// Computing the FFT of u
for (i = us; i <= ue; ++i)
{
_inputRe[i - us] = u[i + uIndex];
}
for (i = ue + 1; i < len + us; ++i)
{
_inputRe[i - us] = 0;
}
FftUtils.ComputeForwardFft(_inputRe, _allZerosIm, _outputRe, _outputIm, len);
// Computing the FFT of v
for (i = vs; i <= ve; ++i)
{
_inputRe[i - vs] = v[i + vIndex];
}
for (i = ve + 1; i < len + vs; ++i)
{
_inputRe[i - vs] = 0;
}
FftUtils.ComputeForwardFft(_inputRe, _allZerosIm, _inputRe, _allZerosIm, len);
// Computing the element-by-element product in the Fourier space
double re;
double im;
for (i = 0; i < len; ++i)
{
re = _outputRe[i];
im = _outputIm[i];
_outputRe[i] = _inputRe[i] * re - _allZerosIm[i] * im;
_outputIm[i] = _inputRe[i] * im + _allZerosIm[i] * re;
}
// Setting _allZerosIm to 0's again
for (i = 0; i < _seriesLength; ++i)
{
_allZerosIm[i] = 0;
}
// Computing the inverse FFT of the result
FftUtils.ComputeBackwardFft(_outputRe, _outputIm, _outputRe, _outputIm, len);
// Generating the output
int a = Math.Min(ue - us + 1, ve - vs + 1);
if (add)
{
for (i = 0; i < a; ++i)
{
result[i + dstIndex] += RoundUpToReal(_outputRe[i], _outputIm[i], sigma / (i + 1));
}
for (i = a; i < len - a + 1; ++i)
{
result[i + dstIndex] += RoundUpToReal(_outputRe[i], _outputIm[i], sigma / a);
}
for (i = len - a + 1; i < len; ++i)
{
result[i + dstIndex] += RoundUpToReal(_outputRe[i], _outputIm[i], sigma / (len - i));
}
}
else
{
for (i = 0; i < a; ++i)
{
result[i + dstIndex] = RoundUpToReal(_outputRe[i], _outputIm[i], sigma / (i + 1));
}
for (i = a; i < len - a + 1; ++i)
{
result[i + dstIndex] = RoundUpToReal(_outputRe[i], _outputIm[i], sigma / a);
}
for (i = len - a + 1; i < len; ++i)
{
result[i + dstIndex] = RoundUpToReal(_outputRe[i], _outputIm[i], sigma / (len - i));
}
}
}