Mercurial > octave
annotate libinterp/corefcn/qz.cc @ 22964:0c12642be005
use F77_INT instead of octave_idx_type for libinterp QZ function
* qz.cc: Use F77_INT instead of octave_idx_type for integer data
passed to Fortran subroutines.
author | John W. Eaton <jwe@octave.org> |
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date | Tue, 27 Dec 2016 13:32:28 -0500 |
parents | 0b1e25cc4457 |
children | cd33c785e80e |
rev | line source |
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3183 | 1 /* |
2 | |
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3 Copyright (C) 1998-2016 A. S. Hodel |
3183 | 4 |
5 This file is part of Octave. | |
6 | |
7 Octave is free software; you can redistribute it and/or modify it | |
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8 under the terms of the GNU General Public License as published by |
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9 the Free Software Foundation; either version 3 of the License, or |
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10 (at your option) any later version. |
3183 | 11 |
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12 Octave is distributed in the hope that it will be useful, but |
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13 WITHOUT ANY WARRANTY; without even the implied warranty of |
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14 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
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15 GNU General Public License for more details. |
3183 | 16 |
17 You should have received a copy of the GNU General Public License | |
7016 | 18 along with Octave; see the file COPYING. If not, see |
19 <http://www.gnu.org/licenses/>. | |
3183 | 20 |
21 */ | |
22 | |
23 // Generalized eigenvalue balancing via LAPACK | |
3911 | 24 |
25 // Author: A. S. Hodel <scotte@eng.auburn.edu> | |
3183 | 26 |
27 #undef DEBUG | |
28 #undef DEBUG_SORT | |
29 #undef DEBUG_EIG | |
30 | |
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31 #if defined (HAVE_CONFIG_H) |
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32 # include "config.h" |
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33 #endif |
3183 | 34 |
35 #include <cfloat> | |
4051 | 36 |
3523 | 37 #include <iostream> |
4051 | 38 #include <iomanip> |
3183 | 39 |
4153 | 40 #include "f77-fcn.h" |
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41 #include "lo-lapack-proto.h" |
7231 | 42 #include "lo-math.h" |
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43 #include "qr.h" |
4153 | 44 #include "quit.h" |
45 | |
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46 #include "defun.h" |
3183 | 47 #include "error.h" |
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48 #include "errwarn.h" |
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49 #include "ovl.h" |
3183 | 50 #include "oct-map.h" |
51 #include "ov.h" | |
52 #include "pager.h" | |
3185 | 53 #if defined (DEBUG) || defined (DEBUG_SORT) |
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54 # include "pr-output.h" |
3183 | 55 #endif |
56 #include "symtab.h" | |
57 #include "utils.h" | |
58 #include "variables.h" | |
59 | |
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60 typedef F77_INT (*sort_function) (const F77_INT& LSIZE, |
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61 const double& ALPHA, const double& BETA, |
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62 const double& S, const double& P); |
3183 | 63 |
64 extern "C" | |
65 { | |
66 // Van Dooren's code (netlib.org: toms/590) for reordering | |
67 // GEP. Only processes Z, not Q. | |
4552 | 68 F77_RET_T |
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69 F77_FUNC (dsubsp, DSUBSP) (const F77_INT& NMAX, const F77_INT& N, |
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70 F77_DBLE* A, F77_DBLE* B, F77_DBLE* Z, |
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71 sort_function, const F77_DBLE& EPS, |
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72 F77_INT& NDIM, F77_INT& FAIL, F77_INT* IND); |
3183 | 73 } |
74 | |
75 // fcrhp, fin, fout, folhp: | |
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76 // Routines for ordering of generalized eigenvalues. |
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77 // Return 1 if test is passed, 0 otherwise. |
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78 // fin: |lambda| < 1 |
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79 // fout: |lambda| >= 1 |
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80 // fcrhp: real(lambda) >= 0 |
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81 // folhp: real(lambda) < 0 |
3183 | 82 |
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83 static F77_INT |
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84 fcrhp (const F77_INT& lsize, const double& alpha, const double& beta, |
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85 const double& s, const double&) |
3183 | 86 { |
3185 | 87 if (lsize == 1) |
10311 | 88 return (alpha * beta >= 0 ? 1 : -1); |
3185 | 89 else |
3183 | 90 return (s >= 0 ? 1 : -1); |
91 } | |
3185 | 92 |
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93 static F77_INT |
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94 fin (const F77_INT& lsize, const double& alpha, const double& beta, |
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95 const double&, const double& p) |
3183 | 96 { |
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97 F77_INT retval; |
3183 | 98 |
3185 | 99 if (lsize == 1) |
100 retval = (fabs (alpha) < fabs (beta) ? 1 : -1); | |
101 else | |
102 retval = (fabs (p) < 1 ? 1 : -1); | |
103 | |
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104 #if defined (DEBUG) |
3538 | 105 std::cout << "qz: fin: retval=" << retval << std::endl; |
3185 | 106 #endif |
107 | |
3183 | 108 return retval; |
109 } | |
3185 | 110 |
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111 static F77_INT |
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112 folhp (const F77_INT& lsize, const double& alpha, const double& beta, |
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113 const double& s, const double&) |
3183 | 114 { |
3185 | 115 if (lsize == 1) |
10311 | 116 return (alpha * beta < 0 ? 1 : -1); |
3185 | 117 else |
3183 | 118 return (s < 0 ? 1 : -1); |
119 } | |
3185 | 120 |
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121 static F77_INT |
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122 fout (const F77_INT& lsize, const double& alpha, const double& beta, |
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123 const double&, const double& p) |
3183 | 124 { |
3185 | 125 if (lsize == 1) |
126 return (fabs (alpha) >= fabs (beta) ? 1 : -1); | |
127 else | |
128 return (fabs (p) >= 1 ? 1 : -1); | |
3183 | 129 } |
130 | |
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131 //FIXME: Matlab does not produce lambda as the first output argument. |
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132 // Compatibility problem? |
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133 DEFUN (qz, args, nargout, |
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134 doc: /* -*- texinfo -*- |
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135 @deftypefn {} {@var{lambda} =} qz (@var{A}, @var{B}) |
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136 @deftypefnx {} {@var{lambda} =} qz (@var{A}, @var{B}, @var{opt}) |
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137 QZ@tie{}decomposition of the generalized eigenvalue problem |
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138 (@math{A x = s B x}). |
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139 |
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140 There are three ways to call this function: |
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141 @enumerate |
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142 @item @code{@var{lambda} = qz (@var{A}, @var{B})} |
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143 |
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144 Computes the generalized eigenvalues |
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145 @tex |
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146 $\lambda$ |
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147 @end tex |
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148 @ifnottex |
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149 @var{lambda} |
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150 @end ifnottex |
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151 of @math{(A - s B)}. |
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152 |
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153 @item @code{[AA, BB, Q, Z, V, W, @var{lambda}] = qz (@var{A}, @var{B})} |
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154 |
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155 Computes QZ@tie{}decomposition, generalized eigenvectors, and generalized |
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156 eigenvalues of @math{(A - s B)} |
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157 @tex |
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158 $$ AV = BV{ \rm diag }(\lambda) $$ |
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159 $$ W^T A = { \rm diag }(\lambda)W^T B $$ |
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160 $$ AA = Q^T AZ, BB = Q^T BZ $$ |
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161 @end tex |
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162 @ifnottex |
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163 |
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164 @example |
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165 @group |
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166 |
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167 A * V = B * V * diag (@var{lambda}) |
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168 W' * A = diag (@var{lambda}) * W' * B |
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169 AA = Q * A * Z, BB = Q * B * Z |
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170 |
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171 @end group |
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172 @end example |
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173 |
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174 @end ifnottex |
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175 with @var{Q} and @var{Z} orthogonal (unitary)= @var{I} |
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176 |
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177 @item @code{[AA,BB,Z@{, @var{lambda}@}] = qz (@var{A}, @var{B}, @var{opt})} |
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178 |
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179 As in form [2], but allows ordering of generalized eigenpairs for, e.g., |
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180 solution of discrete time algebraic Riccati equations. Form 3 is not |
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181 available for complex matrices, and does not compute the generalized |
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182 eigenvectors @var{V}, @var{W}, nor the orthogonal matrix @var{Q}. |
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183 |
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184 @table @var |
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185 @item opt |
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186 for ordering eigenvalues of the @nospell{GEP} pencil. The leading block of |
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187 the revised pencil contains all eigenvalues that satisfy: |
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188 |
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189 @table @asis |
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190 @item @qcode{"N"} |
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191 = unordered (default) |
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192 |
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193 @item @qcode{"S"} |
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194 = small: leading block has all |lambda| @leq{} 1 |
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195 |
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196 @item @qcode{"B"} |
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197 = big: leading block has all |lambda| @geq{} 1 |
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198 |
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199 @item @qcode{"-"} |
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200 = negative real part: leading block has all eigenvalues |
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201 in the open left half-plane |
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202 |
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203 @item @qcode{"+"} |
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204 = non-negative real part: leading block has all eigenvalues |
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205 in the closed right half-plane |
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206 @end table |
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207 @end table |
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208 @end enumerate |
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209 |
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210 Note: @code{qz} performs permutation balancing, but not scaling |
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211 (@pxref{XREFbalance}). The order of output arguments was selected for |
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212 compatibility with @sc{matlab}. |
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213 @seealso{eig, balance, lu, chol, hess, qr, qzhess, schur, svd} |
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214 @end deftypefn */) |
3183 | 215 { |
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216 volatile int nargin = args.length (); |
3183 | 217 |
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218 #if defined (DEBUG) |
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219 std::cout << "qz: nargin = " << nargin |
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220 << ", nargout = " << nargout << std::endl; |
3185 | 221 #endif |
3183 | 222 |
3185 | 223 if (nargin < 2 || nargin > 3 || nargout > 7) |
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224 print_usage (); |
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225 |
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226 if (nargin == 3 && (nargout < 3 || nargout > 4)) |
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227 error ("qz: invalid number of output arguments for form [3] call"); |
3183 | 228 |
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229 #if defined (DEBUG) |
3538 | 230 std::cout << "qz: determine ordering option" << std::endl; |
3185 | 231 #endif |
3183 | 232 |
10311 | 233 // Determine ordering option. |
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234 volatile char ord_job = 0; |
3183 | 235 static double safmin; |
3185 | 236 |
237 if (nargin == 2) | |
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238 ord_job = 'N'; |
3185 | 239 else |
240 { | |
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241 std::string tmp = args(2).xstring_value ("qz: OPT must be a string"); |
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242 |
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243 if (! tmp.empty ()) |
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244 ord_job = tmp[0]; |
3183 | 245 |
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246 if (! (ord_job == 'N' || ord_job == 'n' |
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247 || ord_job == 'S' || ord_job == 's' |
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248 || ord_job == 'B' || ord_job == 'b' |
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249 || ord_job == '+' || ord_job == '-')) |
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250 error ("qz: invalid order option"); |
3185 | 251 |
252 // overflow constant required by dlag2 | |
4552 | 253 F77_FUNC (xdlamch, XDLAMCH) (F77_CONST_CHAR_ARG2 ("S", 1), |
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254 safmin |
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255 F77_CHAR_ARG_LEN (1)); |
3183 | 256 |
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257 #if defined (DEBUG_EIG) |
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258 std::cout << "qz: initial value of safmin=" |
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259 << setiosflags (std::ios::scientific) |
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260 << safmin << std::endl; |
3185 | 261 #endif |
3183 | 262 |
10311 | 263 // Some machines (e.g., DEC alpha) get safmin = 0; |
264 // for these, use eps instead to avoid problems in dlag2. | |
3185 | 265 if (safmin == 0) |
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266 { |
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267 #if defined (DEBUG_EIG) |
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268 std::cout << "qz: DANGER WILL ROBINSON: safmin is 0!" << std::endl; |
3185 | 269 #endif |
3183 | 270 |
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271 F77_FUNC (xdlamch, XDLAMCH) (F77_CONST_CHAR_ARG2 ("E", 1), |
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272 safmin |
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273 F77_CHAR_ARG_LEN (1)); |
3185 | 274 |
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275 #if defined (DEBUG_EIG) |
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276 std::cout << "qz: safmin set to " |
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277 << setiosflags (std::ios::scientific) |
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278 << safmin << std::endl; |
3185 | 279 #endif |
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280 } |
3183 | 281 } |
282 | |
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283 #if defined (DEBUG) |
3538 | 284 std::cout << "qz: check argument 1" << std::endl; |
3185 | 285 #endif |
3183 | 286 |
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287 // Argument 1: check if it's okay dimensioned. |
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288 F77_INT nn = to_f77_int (args(0).rows ()); |
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289 F77_INT nc = to_f77_int (args(0).columns ()); |
3185 | 290 |
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291 #if defined (DEBUG) |
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292 std::cout << "argument 1 dimensions: (" |
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293 << nn << "," << nc << ")" |
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294 << std::endl; |
3185 | 295 #endif |
296 | |
20892 | 297 octave_value_list retval; |
298 | |
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299 if (args(0).is_empty ()) |
3185 | 300 { |
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301 warn_empty_arg ("qz: parameter 1; continuing"); |
3185 | 302 return octave_value_list (2, Matrix ()); |
303 } | |
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304 else if (nc != nn) |
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305 err_square_matrix_required ("qz", "A"); |
3183 | 306 |
10311 | 307 // Argument 1: dimensions look good; get the value. |
3183 | 308 Matrix aa; |
309 ComplexMatrix caa; | |
3185 | 310 |
311 if (args(0).is_complex_type ()) | |
3183 | 312 caa = args(0).complex_matrix_value (); |
3185 | 313 else |
3183 | 314 aa = args(0).matrix_value (); |
3185 | 315 |
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316 #if defined (DEBUG) |
3538 | 317 std::cout << "qz: check argument 2" << std::endl; |
3185 | 318 #endif |
3183 | 319 |
10311 | 320 // Extract argument 2 (bb, or cbb if complex). |
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321 F77_INT b_nr = to_f77_int (args(1).rows ()); |
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322 F77_INT b_nc = to_f77_int (args(1).columns ()); |
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323 |
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324 if (nn != b_nc || nn != b_nr) |
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325 err_nonconformant (); |
3185 | 326 |
3183 | 327 Matrix bb; |
328 ComplexMatrix cbb; | |
3185 | 329 |
330 if (args(1).is_complex_type ()) | |
3183 | 331 cbb = args(1).complex_matrix_value (); |
332 else | |
333 bb = args(1).matrix_value (); | |
3185 | 334 |
3183 | 335 // Both matrices loaded, now let's check what kind of arithmetic: |
10311 | 336 // declared volatile to avoid compiler warnings about long jumps, |
337 // vforks. | |
3185 | 338 |
10311 | 339 volatile int complex_case |
3185 | 340 = (args(0).is_complex_type () || args(1).is_complex_type ()); |
10311 | 341 |
3185 | 342 if (nargin == 3 && complex_case) |
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343 error ("qz: cannot re-order complex qz decomposition"); |
3183 | 344 |
10311 | 345 // First, declare variables used in both the real and complex case. |
3183 | 346 Matrix QQ(nn,nn), ZZ(nn,nn), VR(nn,nn), VL(nn,nn); |
347 RowVector alphar(nn), alphai(nn), betar(nn); | |
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348 ComplexRowVector xalpha(nn), xbeta(nn); |
3185 | 349 ComplexMatrix CQ(nn,nn), CZ(nn,nn), CVR(nn,nn), CVL(nn,nn); |
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350 F77_INT ilo, ihi, info; |
3185 | 351 char compq = (nargout >= 3 ? 'V' : 'N'); |
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352 char compz = ((nargout >= 4 || nargin == 3)? 'V' : 'N'); |
3183 | 353 |
10311 | 354 // Initialize Q, Z to identity if we need either of them. |
3185 | 355 if (compq == 'V' || compz == 'V') |
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356 for (F77_INT ii = 0; ii < nn; ii++) |
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357 for (F77_INT jj = 0; jj < nn; jj++) |
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358 { |
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359 octave_quit (); |
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360 |
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361 QQ(ii,jj) = ZZ(ii,jj) = (ii == jj ? 1.0 : 0.0); |
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362 } |
3183 | 363 |
10311 | 364 // Always perform permutation balancing. |
4552 | 365 const char bal_job = 'P'; |
10311 | 366 RowVector lscale (nn), rscale (nn), work (6 * nn), rwork (nn); |
3183 | 367 |
3185 | 368 if (complex_case) |
369 { | |
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370 #if defined (DEBUG) |
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371 if (compq == 'V') |
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372 std::cout << "qz: performing balancing; CQ=" << std::endl |
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373 << CQ << std::endl; |
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374 #endif |
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375 if (args(0).is_real_type ()) |
10311 | 376 caa = ComplexMatrix (aa); |
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377 |
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378 if (args(1).is_real_type ()) |
10311 | 379 cbb = ComplexMatrix (bb); |
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380 |
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381 if (compq == 'V') |
10311 | 382 CQ = ComplexMatrix (QQ); |
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383 |
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384 if (compz == 'V') |
10311 | 385 CZ = ComplexMatrix (ZZ); |
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386 |
10311 | 387 F77_XFCN (zggbal, ZGGBAL, |
388 (F77_CONST_CHAR_ARG2 (&bal_job, 1), | |
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389 nn, F77_DBLE_CMPLX_ARG (caa.fortran_vec ()), nn, |
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390 F77_DBLE_CMPLX_ARG (cbb.fortran_vec ()), |
10311 | 391 nn, ilo, ihi, lscale.fortran_vec (), |
392 rscale.fortran_vec (), work.fortran_vec (), info | |
393 F77_CHAR_ARG_LEN (1))); | |
3185 | 394 } |
3183 | 395 else |
3185 | 396 { |
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397 #if defined (DEBUG) |
3185 | 398 if (compq == 'V') |
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399 std::cout << "qz: performing balancing; QQ=" << std::endl |
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400 << QQ << std::endl; |
3185 | 401 #endif |
3183 | 402 |
3185 | 403 F77_XFCN (dggbal, DGGBAL, |
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404 (F77_CONST_CHAR_ARG2 (&bal_job, 1), |
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405 nn, aa.fortran_vec (), nn, bb.fortran_vec (), |
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406 nn, ilo, ihi, lscale.fortran_vec (), |
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407 rscale.fortran_vec (), work.fortran_vec (), info |
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408 F77_CHAR_ARG_LEN (1))); |
3185 | 409 } |
3183 | 410 |
411 // Since we just want the balancing matrices, we can use dggbal | |
10311 | 412 // for both the real and complex cases; left first |
3185 | 413 |
10311 | 414 #if 0 |
415 if (compq == 'V') | |
3185 | 416 { |
417 F77_XFCN (dggbak, DGGBAK, | |
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418 (F77_CONST_CHAR_ARG2 (&bal_job, 1), |
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419 F77_CONST_CHAR_ARG2 ("L", 1), |
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420 nn, ilo, ihi, lscale.data (), rscale.data (), |
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421 nn, QQ.fortran_vec (), nn, info |
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422 F77_CHAR_ARG_LEN (1) |
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423 F77_CHAR_ARG_LEN (1))); |
3183 | 424 |
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425 #if defined (DEBUG) |
3185 | 426 if (compq == 'V') |
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427 std::cout << "qz: balancing done; QQ=" << std::endl << QQ << std::endl; |
3185 | 428 #endif |
3183 | 429 } |
430 | |
431 // then right | |
3185 | 432 if (compz == 'V') |
433 { | |
4552 | 434 F77_XFCN (dggbak, DGGBAK, |
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435 (F77_CONST_CHAR_ARG2 (&bal_job, 1), |
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436 F77_CONST_CHAR_ARG2 ("R", 1), |
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437 nn, ilo, ihi, lscale.data (), rscale.data (), |
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438 nn, ZZ.fortran_vec (), nn, info |
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439 F77_CHAR_ARG_LEN (1) |
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440 F77_CHAR_ARG_LEN (1))); |
3183 | 441 |
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442 #if defined (DEBUG) |
3185 | 443 if (compz == 'V') |
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444 std::cout << "qz: balancing done; ZZ=" << std::endl << ZZ << std::endl; |
3185 | 445 #endif |
10311 | 446 } |
447 #endif | |
3183 | 448 |
449 static char qz_job; | |
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450 qz_job = (nargout < 2 ? 'E' : 'S'); |
3185 | 451 |
3183 | 452 if (complex_case) |
3185 | 453 { |
10311 | 454 // Complex case. |
455 | |
456 // The QR decomposition of cbb. | |
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457 octave::math::qr<ComplexMatrix> cbqr (cbb); |
10311 | 458 // The R matrix of QR decomposition for cbb. |
459 cbb = cbqr.R (); | |
460 // (Q*)caa for following work. | |
461 caa = (cbqr.Q ().hermitian ()) * caa; | |
462 CQ = CQ * cbqr.Q (); | |
463 | |
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464 F77_XFCN (zgghrd, ZGGHRD, |
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465 (F77_CONST_CHAR_ARG2 (&compq, 1), |
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466 F77_CONST_CHAR_ARG2 (&compz, 1), |
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467 nn, ilo, ihi, F77_DBLE_CMPLX_ARG (caa.fortran_vec ()), |
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468 nn, F77_DBLE_CMPLX_ARG (cbb.fortran_vec ()), nn, |
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469 F77_DBLE_CMPLX_ARG (CQ.fortran_vec ()), nn, |
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470 F77_DBLE_CMPLX_ARG (CZ.fortran_vec ()), nn, info |
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471 F77_CHAR_ARG_LEN (1) |
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472 F77_CHAR_ARG_LEN (1))); |
10311 | 473 |
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474 ComplexRowVector cwork (1 * nn); |
10311 | 475 |
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476 F77_XFCN (zhgeqz, ZHGEQZ, |
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477 (F77_CONST_CHAR_ARG2 (&qz_job, 1), |
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478 F77_CONST_CHAR_ARG2 (&compq, 1), |
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479 F77_CONST_CHAR_ARG2 (&compz, 1), |
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480 nn, ilo, ihi, |
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481 F77_DBLE_CMPLX_ARG (caa.fortran_vec ()), nn, |
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482 F77_DBLE_CMPLX_ARG (cbb.fortran_vec ()), nn, |
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483 F77_DBLE_CMPLX_ARG (xalpha.fortran_vec ()), |
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484 F77_DBLE_CMPLX_ARG (xbeta.fortran_vec ()), |
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485 F77_DBLE_CMPLX_ARG (CQ.fortran_vec ()), nn, |
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486 F77_DBLE_CMPLX_ARG (CZ.fortran_vec ()), nn, |
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487 F77_DBLE_CMPLX_ARG (cwork.fortran_vec ()), nn, rwork.fortran_vec (), info |
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488 F77_CHAR_ARG_LEN (1) |
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489 F77_CHAR_ARG_LEN (1) |
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490 F77_CHAR_ARG_LEN (1))); |
3185 | 491 |
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492 if (compq == 'V') |
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493 { |
10311 | 494 // Left eigenvector. |
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495 F77_XFCN (zggbak, ZGGBAK, |
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496 (F77_CONST_CHAR_ARG2 (&bal_job, 1), |
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497 F77_CONST_CHAR_ARG2 ("L", 1), |
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498 nn, ilo, ihi, lscale.data (), rscale.data (), |
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499 nn, F77_DBLE_CMPLX_ARG (CQ.fortran_vec ()), nn, info |
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500 F77_CHAR_ARG_LEN (1) |
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501 F77_CHAR_ARG_LEN (1))); |
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502 } |
3185 | 503 |
10311 | 504 // Right eigenvector. |
3185 | 505 if (compz == 'V') |
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506 { |
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507 F77_XFCN (zggbak, ZGGBAK, |
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508 (F77_CONST_CHAR_ARG2 (&bal_job, 1), |
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509 F77_CONST_CHAR_ARG2 ("R", 1), |
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510 nn, ilo, ihi, lscale.data (), rscale.data (), |
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511 nn, F77_DBLE_CMPLX_ARG (CZ.fortran_vec ()), nn, info |
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512 F77_CHAR_ARG_LEN (1) |
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513 F77_CHAR_ARG_LEN (1))); |
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514 } |
3185 | 515 |
516 } | |
10311 | 517 else |
3185 | 518 { |
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519 #if defined (DEBUG) |
3538 | 520 std::cout << "qz: peforming qr decomposition of bb" << std::endl; |
3185 | 521 #endif |
3183 | 522 |
10311 | 523 // Compute the QR factorization of bb. |
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524 octave::math::qr<Matrix> bqr (bb); |
3185 | 525 |
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526 #if defined (DEBUG) |
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527 std::cout << "qz: qr (bb) done; now peforming qz decomposition" |
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528 << std::endl; |
3185 | 529 #endif |
3183 | 530 |
3185 | 531 bb = bqr.R (); |
532 | |
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533 #if defined (DEBUG) |
3538 | 534 std::cout << "qz: extracted bb" << std::endl; |
3185 | 535 #endif |
3183 | 536 |
10311 | 537 aa = (bqr.Q ()).transpose () * aa; |
3185 | 538 |
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539 #if defined (DEBUG) |
3538 | 540 std::cout << "qz: updated aa " << std::endl; |
541 std::cout << "bqr.Q () = " << std::endl << bqr.Q () << std::endl; | |
3183 | 542 |
3185 | 543 if (compq == 'V') |
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544 std::cout << "QQ =" << QQ << std::endl; |
3185 | 545 #endif |
3183 | 546 |
3185 | 547 if (compq == 'V') |
10311 | 548 QQ = QQ * bqr.Q (); |
3183 | 549 |
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550 #if defined (DEBUG) |
3538 | 551 std::cout << "qz: precursors done..." << std::endl; |
3185 | 552 #endif |
3183 | 553 |
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554 #if defined (DEBUG) |
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555 std::cout << "qz: compq = " << compq << ", compz = " << compz |
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556 << std::endl; |
3185 | 557 #endif |
3183 | 558 |
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559 // Reduce to generalized Hessenberg form. |
3185 | 560 F77_XFCN (dgghrd, DGGHRD, |
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561 (F77_CONST_CHAR_ARG2 (&compq, 1), |
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562 F77_CONST_CHAR_ARG2 (&compz, 1), |
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563 nn, ilo, ihi, aa.fortran_vec (), |
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564 nn, bb.fortran_vec (), nn, QQ.fortran_vec (), nn, |
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565 ZZ.fortran_vec (), nn, info |
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566 F77_CHAR_ARG_LEN (1) |
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567 F77_CHAR_ARG_LEN (1))); |
3183 | 568 |
10311 | 569 // Check if just computing generalized eigenvalues or if we're |
570 // actually computing the decomposition. | |
3183 | 571 |
10311 | 572 // Reduce to generalized Schur form. |
3185 | 573 F77_XFCN (dhgeqz, DHGEQZ, |
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574 (F77_CONST_CHAR_ARG2 (&qz_job, 1), |
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575 F77_CONST_CHAR_ARG2 (&compq, 1), |
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576 F77_CONST_CHAR_ARG2 (&compz, 1), |
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577 nn, ilo, ihi, aa.fortran_vec (), nn, bb.fortran_vec (), |
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578 nn, alphar.fortran_vec (), alphai.fortran_vec (), |
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579 betar.fortran_vec (), QQ.fortran_vec (), nn, |
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580 ZZ.fortran_vec (), nn, work.fortran_vec (), nn, info |
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581 F77_CHAR_ARG_LEN (1) |
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582 F77_CHAR_ARG_LEN (1) |
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583 F77_CHAR_ARG_LEN (1))); |
10311 | 584 |
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585 if (compq == 'V') |
10311 | 586 { |
587 F77_XFCN (dggbak, DGGBAK, | |
588 (F77_CONST_CHAR_ARG2 (&bal_job, 1), | |
589 F77_CONST_CHAR_ARG2 ("L", 1), | |
590 nn, ilo, ihi, lscale.data (), rscale.data (), | |
591 nn, QQ.fortran_vec (), nn, info | |
592 F77_CHAR_ARG_LEN (1) | |
593 F77_CHAR_ARG_LEN (1))); | |
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594 |
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595 #if defined (DEBUG) |
10311 | 596 if (compq == 'V') |
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597 std::cout << "qz: balancing done; QQ=" << std::endl |
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598 << QQ << std::endl; |
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599 #endif |
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600 } |
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601 |
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602 // then right |
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603 if (compz == 'V') |
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604 { |
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605 F77_XFCN (dggbak, DGGBAK, |
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606 (F77_CONST_CHAR_ARG2 (&bal_job, 1), |
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607 F77_CONST_CHAR_ARG2 ("R", 1), |
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608 nn, ilo, ihi, lscale.data (), rscale.data (), |
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609 nn, ZZ.fortran_vec (), nn, info |
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610 F77_CHAR_ARG_LEN (1) |
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611 F77_CHAR_ARG_LEN (1))); |
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612 |
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613 #if defined (DEBUG) |
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614 if (compz == 'V') |
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615 std::cout << "qz: balancing done; ZZ=" << std::endl |
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616 << ZZ << std::endl; |
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617 #endif |
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618 } |
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619 |
3185 | 620 } |
3183 | 621 |
10311 | 622 // Order the QZ decomposition? |
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623 if (! (ord_job == 'N' || ord_job == 'n')) |
3183 | 624 { |
3185 | 625 if (complex_case) |
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626 // Probably not needed, but better be safe. |
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627 error ("qz: cannot re-order complex qz decomposition"); |
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628 |
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629 #if defined (DEBUG_SORT) |
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630 std::cout << "qz: ordering eigenvalues: ord_job = " |
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631 << ord_job << std::endl; |
3185 | 632 #endif |
3183 | 633 |
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634 // Declared static to avoid vfork/long jump compiler complaints. |
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635 static sort_function sort_test; |
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636 sort_test = 0; |
3183 | 637 |
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638 switch (ord_job) |
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639 { |
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640 case 'S': |
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641 case 's': |
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642 sort_test = &fin; |
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643 break; |
3183 | 644 |
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645 case 'B': |
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646 case 'b': |
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647 sort_test = &fout; |
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648 break; |
3183 | 649 |
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650 case '+': |
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651 sort_test = &fcrhp; |
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652 break; |
3183 | 653 |
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654 case '-': |
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655 sort_test = &folhp; |
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656 break; |
3185 | 657 |
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658 default: |
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659 // Invalid order option (should never happen, since we |
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660 // checked the options at the top). |
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661 panic_impossible (); |
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662 break; |
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663 } |
3183 | 664 |
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665 double inf_norm; |
3185 | 666 |
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667 F77_XFCN (xdlange, XDLANGE, |
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668 (F77_CONST_CHAR_ARG2 ("I", 1), |
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669 nn, nn, aa.data (), nn, work.fortran_vec (), inf_norm |
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670 F77_CHAR_ARG_LEN (1))); |
3185 | 671 |
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672 double eps = std::numeric_limits<double>::epsilon () * inf_norm * nn; |
3185 | 673 |
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674 #if defined (DEBUG_SORT) |
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675 std::cout << "qz: calling dsubsp: aa=" << std::endl; |
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676 octave_print_internal (std::cout, aa, 0); |
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677 std::cout << std::endl << "bb=" << std::endl; |
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678 octave_print_internal (std::cout, bb, 0); |
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679 if (compz == 'V') |
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680 { |
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681 std::cout << std::endl << "ZZ=" << std::endl; |
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682 octave_print_internal (std::cout, ZZ, 0); |
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683 } |
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684 std::cout << std::endl; |
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685 std::cout << "alphar = " << std::endl; |
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686 octave_print_internal (std::cout, (Matrix) alphar, 0); |
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687 std::cout << std::endl << "alphai = " << std::endl; |
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688 octave_print_internal (std::cout, (Matrix) alphai, 0); |
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689 std::cout << std::endl << "beta = " << std::endl; |
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690 octave_print_internal (std::cout, (Matrix) betar, 0); |
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691 std::cout << std::endl; |
3185 | 692 #endif |
693 | |
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694 Array<F77_INT> ind (dim_vector (nn, 1)); |
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695 |
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696 F77_INT ndim, fail; |
3550 | 697 |
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698 F77_XFCN (dsubsp, DSUBSP, |
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699 (nn, nn, aa.fortran_vec (), bb.fortran_vec (), |
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700 ZZ.fortran_vec (), sort_test, eps, ndim, fail, |
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701 ind.fortran_vec ())); |
3185 | 702 |
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703 #if defined (DEBUG) |
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704 std::cout << "qz: back from dsubsp: aa=" << std::endl; |
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705 octave_print_internal (std::cout, aa, 0); |
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706 std::cout << std::endl << "bb=" << std::endl; |
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707 octave_print_internal (std::cout, bb, 0); |
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708 if (compz == 'V') |
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709 { |
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710 std::cout << std::endl << "ZZ=" << std::endl; |
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711 octave_print_internal (std::cout, ZZ, 0); |
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712 } |
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713 std::cout << std::endl; |
3185 | 714 #endif |
715 | |
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716 // Manually update alphar, alphai, betar. |
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717 static F77_INT jj; |
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718 |
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719 jj = 0; |
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720 while (jj < nn) |
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721 { |
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722 #if defined (DEBUG_EIG) |
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723 std::cout << "computing gen eig #" << jj << std::endl; |
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724 #endif |
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725 |
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726 // Number of zeros in this block. |
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727 static F77_INT zcnt; |
3185 | 728 |
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729 if (jj == (nn-1)) |
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730 zcnt = 1; |
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731 else if (aa(jj+1,jj) == 0) |
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732 zcnt = 1; |
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733 else zcnt = 2; |
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734 |
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735 if (zcnt == 1) |
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736 { |
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737 // Real zero. |
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738 #if defined (DEBUG_EIG) |
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739 std::cout << " single gen eig:" << std::endl; |
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740 std::cout << " alphar(" << jj << ") = " << aa(jj,jj) |
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741 << std::endl; |
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742 std::cout << " betar(" << jj << ") = " << bb(jj,jj) |
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743 << std::endl; |
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744 std::cout << " alphai(" << jj << ") = 0" << std::endl; |
3185 | 745 #endif |
746 | |
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747 alphar(jj) = aa(jj,jj); |
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748 alphai(jj) = 0; |
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749 betar(jj) = bb(jj,jj); |
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750 } |
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751 else |
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752 { |
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753 // Complex conjugate pair. |
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754 #if defined (DEBUG_EIG) |
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755 std::cout << "qz: calling dlag2:" << std::endl; |
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756 std::cout << "safmin=" |
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757 << setiosflags (std::ios::scientific) |
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758 << safmin << std::endl; |
3185 | 759 |
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760 for (F77_INT idr = jj; idr <= jj+1; idr++) |
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761 { |
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762 for (F77_INT idc = jj; idc <= jj+1; idc++) |
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763 { |
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|
764 std::cout << "aa(" << idr << "," << idc << ")=" |
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765 << aa(idr,idc) << std::endl; |
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766 std::cout << "bb(" << idr << "," << idc << ")=" |
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767 << bb(idr,idc) << std::endl; |
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768 } |
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|
769 } |
3185 | 770 #endif |
771 | |
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772 // FIXME: probably should be using |
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773 // fortran_vec instead of &aa(jj,jj) here. |
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774 |
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775 double scale1, scale2, wr1, wr2, wi; |
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776 const double *aa_ptr = aa.data () + jj * nn + jj; |
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777 const double *bb_ptr = bb.data () + jj * nn + jj; |
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778 F77_XFCN (dlag2, DLAG2, |
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779 (aa_ptr, nn, bb_ptr, nn, safmin, |
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780 scale1, scale2, wr1, wr2, wi)); |
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781 |
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782 #if defined (DEBUG_EIG) |
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783 std::cout << "dlag2 returns: scale1=" << scale1 |
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784 << "\tscale2=" << scale2 << std::endl |
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785 << "\twr1=" << wr1 << "\twr2=" << wr2 |
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|
786 << "\twi=" << wi << std::endl; |
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787 #endif |
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|
788 |
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789 // Just to be safe, check if it's a real pair. |
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790 if (wi == 0) |
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|
791 { |
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792 alphar(jj) = wr1; |
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793 alphai(jj) = 0; |
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794 betar(jj) = scale1; |
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795 alphar(jj+1) = wr2; |
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796 alphai(jj+1) = 0; |
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797 betar(jj+1) = scale2; |
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798 } |
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799 else |
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800 { |
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|
801 alphar(jj) = alphar(jj+1) = wr1; |
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802 alphai(jj) = -(alphai(jj+1) = wi); |
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803 betar(jj) = betar(jj+1) = scale1; |
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804 } |
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|
805 } |
3185 | 806 |
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807 // Advance past this block. |
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808 jj += zcnt; |
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|
809 } |
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810 |
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811 #if defined (DEBUG_SORT) |
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812 std::cout << "qz: back from dsubsp: aa=" << std::endl; |
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813 octave_print_internal (std::cout, aa, 0); |
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814 std::cout << std::endl << "bb=" << std::endl; |
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815 octave_print_internal (std::cout, bb, 0); |
3185 | 816 |
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817 if (compz == 'V') |
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818 { |
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819 std::cout << std::endl << "ZZ=" << std::endl; |
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820 octave_print_internal (std::cout, ZZ, 0); |
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821 } |
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822 std::cout << std::endl << "qz: ndim=" << ndim << std::endl |
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823 << "fail=" << fail << std::endl; |
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824 std::cout << "alphar = " << std::endl; |
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825 octave_print_internal (std::cout, (Matrix) alphar, 0); |
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826 std::cout << std::endl << "alphai = " << std::endl; |
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827 octave_print_internal (std::cout, (Matrix) alphai, 0); |
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828 std::cout << std::endl << "beta = " << std::endl; |
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829 octave_print_internal (std::cout, (Matrix) betar, 0); |
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830 std::cout << std::endl; |
3185 | 831 #endif |
3183 | 832 } |
3185 | 833 |
10311 | 834 // Compute generalized eigenvalues? |
3183 | 835 ComplexColumnVector gev; |
3185 | 836 |
837 if (nargout < 2 || nargout == 7 || (nargin == 3 && nargout == 4)) | |
3183 | 838 { |
3185 | 839 if (complex_case) |
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840 { |
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841 F77_INT cnt = 0; |
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842 |
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843 for (F77_INT ii = 0; ii < nn; ii++) |
10311 | 844 cnt++; |
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845 |
10311 | 846 ComplexColumnVector tmp (cnt); |
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847 |
10311 | 848 cnt = 0; |
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849 for (F77_INT ii = 0; ii < nn; ii++) |
10311 | 850 tmp(cnt++) = xalpha(ii) / xbeta(ii); |
851 | |
852 gev = tmp; | |
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853 } |
3185 | 854 else |
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855 { |
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856 #if defined (DEBUG) |
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857 std::cout << "qz: computing generalized eigenvalues" << std::endl; |
3185 | 858 #endif |
3183 | 859 |
10311 | 860 // Return finite generalized eigenvalues. |
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861 F77_INT cnt = 0; |
3185 | 862 |
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863 for (F77_INT ii = 0; ii < nn; ii++) |
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864 if (betar(ii) != 0) |
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865 cnt++; |
3185 | 866 |
10311 | 867 ComplexColumnVector tmp (cnt); |
3185 | 868 |
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869 cnt = 0; |
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870 for (F77_INT ii = 0; ii < nn; ii++) |
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871 if (betar(ii) != 0) |
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872 tmp(cnt++) = Complex(alphar(ii), alphai(ii))/betar(ii); |
10311 | 873 |
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874 gev = tmp; |
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875 } |
3183 | 876 } |
877 | |
10311 | 878 // Right, left eigenvector matrices. |
3185 | 879 if (nargout >= 5) |
3183 | 880 { |
10311 | 881 // Which side to compute? |
882 char side = (nargout == 5 ? 'R' : 'B'); | |
883 // Compute all of them and backtransform | |
884 char howmny = 'B'; | |
885 // Dummy pointer; select is not used. | |
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886 F77_INT *select = 0; |
3185 | 887 |
888 if (complex_case) | |
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889 { |
10311 | 890 CVL = CQ; |
891 CVR = CZ; | |
892 ComplexRowVector cwork2 (2 * nn); | |
893 RowVector rwork2 (8 * nn); | |
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894 F77_INT m; |
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895 |
10311 | 896 F77_XFCN (ztgevc, ZTGEVC, |
897 (F77_CONST_CHAR_ARG2 (&side, 1), | |
898 F77_CONST_CHAR_ARG2 (&howmny, 1), | |
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899 select, nn, F77_DBLE_CMPLX_ARG (caa.fortran_vec ()), nn, |
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900 F77_DBLE_CMPLX_ARG (cbb.fortran_vec ()), |
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901 nn, F77_DBLE_CMPLX_ARG (CVL.fortran_vec ()), nn, |
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902 F77_DBLE_CMPLX_ARG (CVR.fortran_vec ()), nn, nn, |
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903 m, F77_DBLE_CMPLX_ARG (cwork2.fortran_vec ()), rwork2.fortran_vec (), info |
10311 | 904 F77_CHAR_ARG_LEN (1) |
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905 F77_CHAR_ARG_LEN (1))); |
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906 } |
3185 | 907 else |
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908 { |
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909 #if defined (DEBUG) |
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910 std::cout << "qz: computing generalized eigenvectors" << std::endl; |
3185 | 911 #endif |
912 | |
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913 VL = QQ; |
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914 VR = ZZ; |
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915 F77_INT m; |
10311 | 916 |
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917 F77_XFCN (dtgevc, DTGEVC, |
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918 (F77_CONST_CHAR_ARG2 (&side, 1), |
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919 F77_CONST_CHAR_ARG2 (&howmny, 1), |
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920 select, nn, aa.fortran_vec (), nn, bb.fortran_vec (), |
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921 nn, VL.fortran_vec (), nn, VR.fortran_vec (), nn, nn, |
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922 m, work.fortran_vec (), info |
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923 F77_CHAR_ARG_LEN (1) |
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924 F77_CHAR_ARG_LEN (1))); |
3185 | 925 |
10311 | 926 // Now construct the complex form of VV, WW. |
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927 F77_INT jj = 0; |
3185 | 928 |
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929 while (jj < nn) |
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930 { |
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931 octave_quit (); |
4153 | 932 |
10311 | 933 // See if real or complex eigenvalue. |
934 | |
935 // Column increment; assume complex eigenvalue. | |
936 int cinc = 2; | |
3185 | 937 |
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938 if (jj == (nn-1)) |
10311 | 939 // Single column. |
940 cinc = 1; | |
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941 else if (aa(jj+1,jj) == 0) |
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942 cinc = 1; |
3185 | 943 |
10311 | 944 // Now copy the eigenvector (s) to CVR, CVL. |
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945 if (cinc == 1) |
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946 { |
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947 for (F77_INT ii = 0; ii < nn; ii++) |
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948 CVR(ii,jj) = VR(ii,jj); |
3185 | 949 |
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950 if (side == 'B') |
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951 for (F77_INT ii = 0; ii < nn; ii++) |
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952 CVL(ii,jj) = VL(ii,jj); |
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953 } |
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954 else |
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955 { |
10311 | 956 // Double column; complex vector. |
3185 | 957 |
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958 for (F77_INT ii = 0; ii < nn; ii++) |
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959 { |
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960 CVR(ii,jj) = Complex (VR(ii,jj), VR(ii,jj+1)); |
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961 CVR(ii,jj+1) = Complex (VR(ii,jj), -VR(ii,jj+1)); |
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962 } |
3183 | 963 |
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964 if (side == 'B') |
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965 for (F77_INT ii = 0; ii < nn; ii++) |
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966 { |
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967 CVL(ii,jj) = Complex (VL(ii,jj), VL(ii,jj+1)); |
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968 CVL(ii,jj+1) = Complex (VL(ii,jj), -VL(ii,jj+1)); |
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969 } |
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970 } |
3185 | 971 |
10311 | 972 // Advance to next eigenvectors (if any). |
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973 jj += cinc; |
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974 } |
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975 } |
3183 | 976 } |
3185 | 977 |
978 switch (nargout) | |
979 { | |
980 case 7: | |
981 retval(6) = gev; | |
982 | |
10311 | 983 case 6: |
984 // Return eigenvectors. | |
3185 | 985 retval(5) = CVL; |
986 | |
10311 | 987 case 5: |
988 // Return eigenvectors. | |
3185 | 989 retval(4) = CVR; |
990 | |
991 case 4: | |
992 if (nargin == 3) | |
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993 { |
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994 #if defined (DEBUG) |
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995 std::cout << "qz: sort: retval(3) = gev = " << std::endl; |
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996 octave_print_internal (std::cout, gev); |
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997 std::cout << std::endl; |
3185 | 998 #endif |
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999 retval(3) = gev; |
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1000 } |
3185 | 1001 else |
10311 | 1002 { |
1003 if (complex_case) | |
1004 retval(3) = CZ; | |
1005 else | |
1006 retval(3) = ZZ; | |
1007 } | |
3185 | 1008 |
1009 case 3: | |
1010 if (nargin == 3) | |
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1011 { |
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1012 if (complex_case) |
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1013 retval(2) = CZ; |
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1014 else |
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1015 retval(2) = ZZ; |
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1016 } |
3185 | 1017 else |
10311 | 1018 { |
1019 if (complex_case) | |
1020 retval(2) = CQ.hermitian (); | |
1021 else | |
1022 retval(2) = QQ.transpose (); | |
1023 } | |
1024 | |
3185 | 1025 case 2: |
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1026 { |
10311 | 1027 if (complex_case) |
1028 { | |
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1029 #if defined (DEBUG) |
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1030 std::cout << "qz: retval(1) = cbb = " << std::endl; |
10311 | 1031 octave_print_internal (std::cout, cbb, 0); |
1032 std::cout << std::endl << "qz: retval(0) = caa = " <<std::endl; | |
1033 octave_print_internal (std::cout, caa, 0); | |
1034 std::cout << std::endl; | |
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1035 #endif |
10311 | 1036 retval(1) = cbb; |
1037 retval(0) = caa; | |
1038 } | |
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1039 else |
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1040 { |
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1041 #if defined (DEBUG) |
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1042 std::cout << "qz: retval(1) = bb = " << std::endl; |
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1043 octave_print_internal (std::cout, bb, 0); |
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1044 std::cout << std::endl << "qz: retval(0) = aa = " <<std::endl; |
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1045 octave_print_internal (std::cout, aa, 0); |
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1046 std::cout << std::endl; |
3185 | 1047 #endif |
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1048 retval(1) = bb; |
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1049 retval(0) = aa; |
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1050 } |
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1051 } |
10311 | 1052 break; |
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1053 |
3185 | 1054 case 1: |
1055 case 0: | |
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1056 #if defined (DEBUG) |
3538 | 1057 std::cout << "qz: retval(0) = gev = " << gev << std::endl; |
3185 | 1058 #endif |
1059 retval(0) = gev; | |
1060 break; | |
1061 | |
1062 default: | |
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1063 error ("qz: too many return arguments"); |
3185 | 1064 break; |
3183 | 1065 } |
1066 | |
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1067 #if defined (DEBUG) |
3538 | 1068 std::cout << "qz: exiting (at long last)" << std::endl; |
3185 | 1069 #endif |
3183 | 1070 |
1071 return retval; | |
1072 } | |
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1073 |
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1074 /* |
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1075 %!shared a, b, c |
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1076 %! a = [1 2; 0 3]; |
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1077 %! b = [1 0; 0 0]; |
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1078 %! c = [0 1; 0 0]; |
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1079 %!assert (qz (a,b), 1) |
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1080 %!assert (isempty (qz (a,c))) |
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1081 |
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1082 ## Exaple 7.7.3 in Golub & Van Loan |
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1083 %!test |
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1084 %! a = [ 10 1 2; |
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1085 %! 1 2 -1; |
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1086 %! 1 1 2]; |
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1087 %! b = reshape (1:9,3,3); |
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1088 %! [aa, bb, q, z, v, w, lambda] = qz (a, b); |
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1089 %! sz = length (lambda); |
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1090 %! observed = (b * v * diag ([lambda;0])) (:, 1:sz); |
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1091 %! assert ((a*v)(:, 1:sz), observed, norm (observed) * 1e-14); |
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1092 %! observed = (diag ([lambda;0]) * w' * b) (1:sz, :); |
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1093 %! assert ((w'*a)(1:sz, :) , observed, norm (observed) * 1e-13); |
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1094 %! assert (q * a * z, aa, norm (aa) * 1e-14); |
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1095 %! assert (q * b * z, bb, norm (bb) * 1e-14); |
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1096 |
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1097 %!test |
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1098 %! A = [0, 0, -1, 0; 1, 0, 0, 0; -1, 0, -2, -1; 0, -1, 1, 0]; |
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1099 %! B = [0, 0, 0, 0; 0, 1, 0, 0; 0, 0, 1, 0; 0, 0, 0, 1]; |
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1100 %! [AA, BB, Q, Z1] = qz (A, B); |
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1101 %! [AA, BB, Z2] = qz (A, B, '-'); |
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1102 %! assert (Z1, Z2); |
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1103 */ |
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1104 |