updated and fixed em derivation

This commit is contained in:
rowanc1
2014-02-13 18:16:57 -08:00
parent ea81e40ef7
commit 847070f1a2
+70 -9
View File
@@ -83,14 +83,14 @@ where
\mathbf{A} =
\left[
\begin{array}{cc}
\frac{1}{\delta t} \mathbf{I} & \dcurl \\
\frac{1}{\delta t} \MfMui & \MfMui\dcurl \\
\dcurl^\top \MfMui & -\MeSig
\end{array}
\right] \\
\mathbf{B} =
\left[
\begin{array}{cc}
-\frac{1}{\delta t} \mathbf{I} & 0 \\
-\frac{1}{\delta t} \MfMui & 0 \\
0 & 0
\end{array}
\right] \\
@@ -108,6 +108,10 @@ where
\right]
\end{align}
.. note::
Here we have multiplied through by \\(\\MfMui\\) to make A and B symmetric!
The entire time dependent system can be written in a single matrix expression
.. math::
@@ -256,7 +260,7 @@ First time step
.. math::
\begin{align}
\dcurl \vec{y}_{e}^{(1)} + \frac{1}{\delta t} \vec{y}_{b}^{(1)} = \vec{p}_b^{(1)} \\
\frac{1}{\delta t} \MfMui \vec{y}_{b}^{(1)} + \MfMui \dcurl \vec{y}_{e}^{(1)} = \vec{p}_b^{(1)} \\
\dcurl^\top \MfMui \vec{y}_b^{(1)} - \MeSig \vec{y}_e^{(1)} = \vec{p}_e^{(1)}
\end{align}
@@ -264,7 +268,7 @@ First time step
.. math::
\begin{align}
\left( \MfMui \dcurl \MeSig^{-1} \dcurl^\top \MfMui + \frac{1}{\delta t} \MfMui \right) \vec{y}_{b}^{(1)} = \MfMui \dcurl \MeSig^{-1} \vec{p}_e^{(1)} + \MfMui \vec{p}_b^{(1)} \\
\left( \MfMui \dcurl \MeSig^{-1} \dcurl^\top \MfMui + \frac{1}{\delta t} \MfMui \right) \vec{y}_{b}^{(1)} = \MfMui \dcurl \MeSig^{-1} \vec{p}_e^{(1)} + \vec{p}_b^{(1)} \\
\vec{y}_e^{(1)} = \MeSig^{-1} \dcurl^\top \MfMui \vec{y}_b^{(1)} - \MeSig^{-1} \vec{p}_e^{(1)}
\end{align}
@@ -274,8 +278,8 @@ Remaining time steps:
.. math::
\begin{align}
\dcurl \vec{y}_{e}^{(t+1)} + \frac{1}{\delta t} \vec{y}_{b}^{(t+1)}
- \frac{1}{\delta t} \vec{y}_{b}^{(t)}
\frac{1}{\delta t} \MfMui\vec{y}_{b}^{(t+1)} + \MfMui\dcurl \vec{y}_{e}^{(t+1)}
- \frac{1}{\delta t} \MfMui \vec{y}_{b}^{(t)}
= \vec{p}_b^{(t+1)} \\
\dcurl^\top \MfMui \vec{y}_b^{(t+1)} - \MeSig \vec{y}_e^{(t+1)} = \vec{p}_e^{(t+1)}
\end{align}
@@ -287,7 +291,7 @@ and
\begin{align}
\left( \MfMui \dcurl \MeSig^{-1} \dcurl^\top \MfMui + \frac{1}{\delta t} \MfMui \right) \vec{y}_{b}^{(t+1)} =
\frac{1}{\delta t} \MfMui \vec{y}_b^{(t)}
+ \MfMui \dcurl \MeSig^{-1} \vec{p}_e^{(t+1)} + \MfMui \vec{p}_b^{(t+1)} \\
+ \MfMui \dcurl \MeSig^{-1} \vec{p}_e^{(t+1)} + \vec{p}_b^{(t+1)} \\
\vec{y}_e^{(t+1)} = \MeSig^{-1} \dcurl^\top \MfMui \vec{y}_b^{(t+1)} - \MeSig^{-1} \vec{p}_e^{(t+1)}
\end{align}
@@ -299,6 +303,63 @@ Implementing \\(\\mathbf{J}^\\top\\) times a vector
Multiplying \\(\\mathbf{J}^\\top\\) onto a vector can be broken into three steps
* Compute \\(\\vec{u} = \\mathbf{Q}^\\top \\vec{v}\\)
* Solve \\(\\hat{\\mathbf{A}}^\\top \\vec{y} = \\vec{u}\\)
* Compute \\(\\vec{p} = \\mathbf{Q}^\\top \\vec{v}\\)
* Solve \\(\\hat{\\mathbf{A}}^\\top \\vec{y} = \\vec{p}\\)
* Compute \\(\\vec{w} = -\\mathbf{G}^\\top y\\)
.. math::
\mathbf{\hat{A}}^\top = \left[
\begin{array}{cccc}
A & B & & \\
& \ddots & \ddots & \\
& & A & B \\
& & 0 & A
\end{array}
\right]
For the last time-step \\(t=N\\):
.. math::
\begin{align}
\frac{1}{\delta t} \MfMui \vec{y}_{b}^{(N)} + \MfMui \dcurl \vec{y}_{e}^{(N)} = \vec{p}_b^{(N)} \\
\dcurl^\top \MfMui \vec{y}_b^{(N)} - \MeSig \vec{y}_e^{(N)} = \vec{p}_e^{(N)}
\end{align}
.. math::
\begin{align}
\left( \MfMui \dcurl \MeSig^{-1} \dcurl^\top \MfMui + \frac{1}{\delta t} \MfMui \right) \vec{y}_{b}^{(N)} = \MfMui \dcurl \MeSig^{-1} \vec{p}_e^{(N)} + \vec{p}_b^{(N)} \\
\vec{y}_e^{(N)} = \MeSig^{-1} \dcurl^\top \MfMui \vec{y}_b^{(N)} - \MeSig^{-1} \vec{p}_e^{(N)}
\end{align}
For the rest of the time-steps (going backwards in time)
.. math::
A \vec{y}^{(t-1)} + B \vec{y}^{(t)} = \vec{p}^{(t-1)}
.. math::
\begin{align}
\frac{1}{\delta t} \MfMui\vec{y}_{b}^{(t-1)} + \MfMui\dcurl \vec{y}_{e}^{(t-1)}
- \frac{1}{\delta t} \MfMui \vec{y}_{b}^{(t)}
= \vec{p}_b^{(t-1)} \\
\dcurl^\top \MfMui \vec{y}_b^{(t-1)} - \MeSig \vec{y}_e^{(t-1)} = \vec{p}_e^{(t-1)}
\end{align}
and
.. math::
\begin{align}
\left( \MfMui \dcurl \MeSig^{-1} \dcurl^\top \MfMui + \frac{1}{\delta t} \MfMui \right) \vec{y}_{b}^{(t-1)} =
\frac{1}{\delta t} \MfMui \vec{y}_b^{(t)}
+ \MfMui \dcurl \MeSig^{-1} \vec{p}_e^{(t-1)} + \vec{p}_b^{(t-1)} \\
\vec{y}_e^{(t-1)} = \MeSig^{-1} \dcurl^\top \MfMui \vec{y}_b^{(t-1)} - \MeSig^{-1} \vec{p}_e^{(t-1)}
\end{align}