def H(self):
k = self.neqs
Lk = tsa.elimination_matrix(k)
Kkk = tsa.commutation_matrix(k, k)
Ik = np.eye(k)
# B = chain_dot(Lk, np.eye(k**2) + commutation_matrix(k, k),
# np.kron(self.P, np.eye(k)), Lk.T)
# return np.dot(Lk.T, L.inv(B))
B = chain_dot(Lk,
np.dot(np.kron(Ik, self.P), Kkk) + np.kron(self.P, Ik),
Lk.T)
return np.dot(Lk.T, L.inv(B))
def H(self):
k = self.neqs
Lk = tsa.elimination_matrix(k)
Kkk = tsa.commutation_matrix(k, k)
Ik = np.eye(k)
# B = chain_dot(Lk, np.eye(k**2) + commutation_matrix(k, k),
# np.kron(self.P, np.eye(k)), Lk.T)
# return np.dot(Lk.T, L.inv(B))
B = chain_dot(Lk,
np.dot(np.kron(Ik, self.P), Kkk) + np.kron(self.P, Ik),
Lk.T)
return np.dot(Lk.T, L.inv(B))
def test_elimination_matrix():
for k in range(2, 10):
m = np.random.randn(k, k)
Lk = tools.elimination_matrix(k)
assert (np.array_equal(vech(m), np.dot(Lk, vec(m))))
def test_elimination_matrix():
for k in range(2, 10):
m = np.random.randn(k, k)
Lk = tools.elimination_matrix(k)
assert(np.array_equal(vech(m), np.dot(Lk, vec(m))))