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自己实现矩阵计算库

我们知道在 C++ 里面系统是没有矩阵计算的，你需要用一些第三方的库才可以。
这里我们自己来写一个，当然这里用的是 python 来实现，但是 C++ 来实现的话也是很类似的。

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# Write a function 'kalman_filter' that implements a multi-
# dimensional Kalman Filter for the example given

from math import *

class matrix:
    
    # implements basic operations of a matrix class
    
    def __init__(self, value):
        self.value = value
        self.dimx = len(value)
        self.dimy = len(value[0])
        if value == [[]]:
            self.dimx = 0

我们用面向对象的一个 matrix 类来代表一个矩阵。 value 应该是一个二位数组。

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    def zero(self, dimx, dimy):
        # check if valid dimensions
        if dimx < 1 or dimy < 1:
            raise ValueError, "Invalid size of matrix"
        else:
            self.dimx = dimx
            self.dimy = dimy
            self.value = [[0 for row in range(dimy)] for col in range(dimx)]

重设为一个大小为 dimx , dimy 的全部为 0 的 matrix

---

  
    def identity(self, dim):
        # check if valid dimension
        if dim < 1:
            raise ValueError, "Invalid size of matrix"
        else:
            self.dimx = dim
            self.dimy = dim
            self.value = [[0 for row in range(dim)] for col in range(dim)]
            for i in range(dim):
                self.value[i][i] = 1

单位矩阵，必须是方阵

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    def show(self):
        for i in range(self.dimx):
            print(self.value[i])
        print(' ')

打印矩阵

---

  
    def __add__(self, other):
        # check if correct dimensions
        if self.dimx != other.dimx or self.dimy != other.dimy:
            raise ValueError, "Matrices must be of equal dimensions to add"
        else:
            # add if correct dimensions
            res = matrix([[]])
            res.zero(self.dimx, self.dimy)
            for i in range(self.dimx):
                for j in range(self.dimy):
                    res.value[i][j] = self.value[i][j] + other.value[i][j]
            return res
  

重载加法，被加数与加数大小一致，返回一个新的矩阵

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    def __sub__(self, other):
        # check if correct dimensions
        if self.dimx != other.dimx or self.dimy != other.dimy:
            raise ValueError, "Matrices must be of equal dimensions to subtract"
        else:
            # subtract if correct dimensions
            res = matrix([[]])
            res.zero(self.dimx, self.dimy)
            for i in range(self.dimx):
                for j in range(self.dimy):
                    res.value[i][j] = self.value[i][j] - other.value[i][j]
            return res

重载减法，被加数与加数大小一致，返回一个新的矩阵

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    def __mul__(self, other):
        # check if correct dimensions
        if self.dimy != other.dimx:
            raise ValueError, "Matrices must be m*n and n*p to multiply"
        else:
            # multiply if correct dimensions
            res = matrix([[]])
            res.zero(self.dimx, other.dimy)
            for i in range(self.dimx):
                for j in range(other.dimy):
                    for k in range(self.dimy):
                        res.value[i][j] += self.value[i][k] * other.value[k][j]
            return res

矩阵乘法

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    def transpose(self):
        # compute transpose
        res = matrix([[]])
        res.zero(self.dimy, self.dimx)
        for i in range(self.dimx):
            for j in range(self.dimy):
                res.value[j][i] = self.value[i][j]
        return res
    
    # Thanks to Ernesto P. Adorio for use of Cholesky and CholeskyInverse functions

矩阵转置

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    def Cholesky(self, ztol = 1.0e-5):
        # Computes the upper triangular Cholesky factorization of
        # a positive definite matrix.
        res = matrix([[]])
        res.zero(self.dimx, self.dimx)
        
        for i in range(self.dimx):
            S = sum([(res.value[k][i])**2 for k in range(i)])
            d = self.value[i][i] - S
            if abs(d) < ztol:
                res.value[i][i] = 0.0
            else:
                if d < 0.0:
                    raise ValueError, "Matrix not positive-definite"
                res.value[i][i] = sqrt(d)
            for j in range(i+1, self.dimx):
                S = sum([res.value[k][i] * res.value[k][j] for k in range(self.dimx)])
                if abs(S) < ztol:
                    S = 0.0
                res.value[i][j] = (self.value[i][j] - S)/res.value[i][i]
        return res
    
    def CholeskyInverse(self):
        # Computes inverse of matrix given its Cholesky upper Triangular
        # decomposition of matrix.
        res = matrix([[]])
        res.zero(self.dimx, self.dimx)
        
        # Backward step for inverse.
        for j in reversed(range(self.dimx)):
            tjj = self.value[j][j]
            S = sum([self.value[j][k]*res.value[j][k] for k in range(j+1, self.dimx)])
            res.value[j][j] = 1.0/tjj**2 - S/tjj
            for i in reversed(range(j)):
                res.value[j][i] = res.value[i][j] = -sum([self.value[i][k]*res.value[k][j] for k in range(i+1, self.dimx)])/self.value[i][i]
        return res
    
    def inverse(self):
        aux = self.Cholesky()
        res = aux.CholeskyInverse()
        return res

cholesky 分解来计算逆矩阵，矩阵必须是正定矩阵。 Cholesky 矩阵分解 另外一个中文的文档

A = L * L.T
这里 L 是一个下三角矩阵，而且矩阵的对角元都是正的。 比如，


Cholesky() 可以得到一个分解之后的下三角矩阵。
之后通过这个下三角矩阵，来计算原本矩阵的逆矩阵。 中间用到了对三角矩阵的求逆运算。

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    def __repr__(self):
        return repr(self.value)

获取矩阵的值-- 字符串形式

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