Mercurial > octave
annotate libinterp/corefcn/qz.cc @ 23429:b976347c1341
maint: Merge stable to default.
author | Rik <rik@octave.org> |
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date | Sat, 22 Apr 2017 20:56:13 -0700 |
parents | 092078913d54 1bc0e610e293 |
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rev | line source |
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3183 | 1 /* |
2 | |
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3 Copyright (C) 1998-2017 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{AA}, @var{BB}, @var{Q}, @var{Z}, @var{V}, @var{W}, @var{lambda}] =} qz (@var{A}, @var{B}) |
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137 @deftypefnx {} {[@var{AA}, @var{BB}, @var{Z}] =} qz (@var{A}, @var{B}, @var{opt}) |
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138 @deftypefnx {} {[@var{AA}, @var{BB}, @var{Z}, @var{lambda}] =} qz (@var{A}, @var{B}, @var{opt}) |
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139 QZ@tie{}decomposition of the generalized eigenvalue problem |
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140 @tex |
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141 $$A x = \lambda B x$$ |
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142 @end tex |
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143 @ifnottex |
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144 |
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145 @math{A x = @var{lambda} B x} |
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146 |
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147 @end ifnottex |
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148 |
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149 There are three calling forms of the function: |
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150 |
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151 @enumerate |
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152 @item @code{@var{lambda} = qz (@var{A}, @var{B})} |
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153 |
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154 Compute the generalized eigenvalues |
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155 @tex |
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156 $\lambda.$ |
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157 @end tex |
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158 @ifnottex |
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159 @var{lambda}. |
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160 @end ifnottex |
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161 |
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162 @item @code{[@var{AA}, @var{BB}, @var{Q}, @var{Z}, @var{V}, @var{W}, @var{lambda}] = qz (@var{A}, @var{B})} |
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163 |
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164 Compute QZ@tie{}decomposition, generalized eigenvectors, and generalized |
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165 eigenvalues. |
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166 @tex |
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167 $$ AV = BV{ \rm diag }(\lambda) $$ |
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168 $$ W^T A = { \rm diag }(\lambda)W^T B $$ |
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169 $$ AA = Q^T AZ, BB = Q^T BZ $$ |
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170 @end tex |
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171 @ifnottex |
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172 |
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173 @example |
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174 @group |
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175 |
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176 @var{A} * @var{V} = @var{B} * @var{V} * diag (@var{lambda}) |
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177 @var{W}' * @var{A} = diag (@var{lambda}) * @var{W}' * @var{B} |
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178 @var{AA} = @var{Q} * @var{A} * @var{Z}, @var{BB} = @var{Q} * @var{B} * @var{Z} |
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179 |
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180 @end group |
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181 @end example |
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182 |
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183 @end ifnottex |
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184 with @var{Q} and @var{Z} orthogonal (unitary for complex case). |
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185 |
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186 @item @code{[@var{AA}, @var{BB}, @var{Z} @{, @var{lambda}@}] = qz (@var{A}, @var{B}, @var{opt})} |
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187 |
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188 As in form 2 above, but allows ordering of generalized eigenpairs for, e.g., |
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189 solution of discrete time algebraic Riccati equations. Form 3 is not available |
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190 for complex matrices, and does not compute the generalized eigenvectors |
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191 @var{V}, @var{W}, nor the orthogonal matrix @var{Q}. |
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192 |
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193 @table @var |
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194 @item opt |
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195 for ordering eigenvalues of the @nospell{GEP} pencil. The leading block of |
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196 the revised pencil contains all eigenvalues that satisfy: |
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197 |
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198 @table @asis |
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199 @item @qcode{"N"} |
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200 unordered (default) |
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201 |
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202 @item @qcode{"S"} |
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203 small: leading block has all |
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204 @tex |
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205 $|\lambda| < 1$ |
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206 @end tex |
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207 @ifnottex |
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208 |@var{lambda}| < 1 |
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209 @end ifnottex |
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210 |
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211 @item @qcode{"B"} |
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212 big: leading block has all |
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213 @tex |
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214 $|\lambda| \geq 1$ |
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215 @end tex |
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216 @ifnottex |
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217 |@var{lambda}| @geq{} 1 |
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218 @end ifnottex |
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219 |
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220 @item @qcode{"-"} |
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221 negative real part: leading block has all eigenvalues in the open left |
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222 half-plane |
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223 |
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224 @item @qcode{"+"} |
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225 non-negative real part: leading block has all eigenvalues in the closed right |
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226 half-plane |
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227 @end table |
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228 @end table |
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229 @end enumerate |
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230 |
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231 Note: @code{qz} performs permutation balancing, but not scaling |
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232 (@pxref{XREFbalance}), which may be lead to less accurate results than |
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233 @code{eig}. The order of output arguments was selected for compatibility with |
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234 @sc{matlab}. |
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235 @seealso{eig, balance, lu, chol, hess, qr, qzhess, schur, svd} |
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236 @end deftypefn */) |
3183 | 237 { |
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238 volatile int nargin = args.length (); |
3183 | 239 |
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240 #if defined (DEBUG) |
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241 std::cout << "qz: nargin = " << nargin |
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242 << ", nargout = " << nargout << std::endl; |
3185 | 243 #endif |
3183 | 244 |
3185 | 245 if (nargin < 2 || nargin > 3 || nargout > 7) |
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246 print_usage (); |
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247 |
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248 if (nargin == 3 && (nargout < 3 || nargout > 4)) |
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249 error ("qz: invalid number of output arguments for form [3] call"); |
3183 | 250 |
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251 #if defined (DEBUG) |
3538 | 252 std::cout << "qz: determine ordering option" << std::endl; |
3185 | 253 #endif |
3183 | 254 |
10311 | 255 // Determine ordering option. |
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256 volatile char ord_job = 0; |
3183 | 257 static double safmin; |
3185 | 258 |
259 if (nargin == 2) | |
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260 ord_job = 'N'; |
3185 | 261 else |
262 { | |
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263 std::string tmp = args(2).xstring_value ("qz: OPT must be a string"); |
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264 |
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265 if (! tmp.empty ()) |
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266 ord_job = tmp[0]; |
3183 | 267 |
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268 if (! (ord_job == 'N' || ord_job == 'n' |
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269 || ord_job == 'S' || ord_job == 's' |
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270 || ord_job == 'B' || ord_job == 'b' |
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271 || ord_job == '+' || ord_job == '-')) |
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272 error ("qz: invalid order option"); |
3185 | 273 |
274 // overflow constant required by dlag2 | |
4552 | 275 F77_FUNC (xdlamch, XDLAMCH) (F77_CONST_CHAR_ARG2 ("S", 1), |
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276 safmin |
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277 F77_CHAR_ARG_LEN (1)); |
3183 | 278 |
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279 #if defined (DEBUG_EIG) |
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280 std::cout << "qz: initial value of safmin=" |
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281 << setiosflags (std::ios::scientific) |
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282 << safmin << std::endl; |
3185 | 283 #endif |
3183 | 284 |
10311 | 285 // Some machines (e.g., DEC alpha) get safmin = 0; |
286 // for these, use eps instead to avoid problems in dlag2. | |
3185 | 287 if (safmin == 0) |
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288 { |
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289 #if defined (DEBUG_EIG) |
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290 std::cout << "qz: DANGER WILL ROBINSON: safmin is 0!" << std::endl; |
3185 | 291 #endif |
3183 | 292 |
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293 F77_FUNC (xdlamch, XDLAMCH) (F77_CONST_CHAR_ARG2 ("E", 1), |
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294 safmin |
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295 F77_CHAR_ARG_LEN (1)); |
3185 | 296 |
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297 #if defined (DEBUG_EIG) |
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298 std::cout << "qz: safmin set to " |
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299 << setiosflags (std::ios::scientific) |
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300 << safmin << std::endl; |
3185 | 301 #endif |
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302 } |
3183 | 303 } |
304 | |
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305 #if defined (DEBUG) |
3538 | 306 std::cout << "qz: check argument 1" << std::endl; |
3185 | 307 #endif |
3183 | 308 |
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309 // Argument 1: check if it's okay dimensioned. |
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310 F77_INT nn = octave::to_f77_int (args(0).rows ()); |
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311 F77_INT nc = octave::to_f77_int (args(0).columns ()); |
3185 | 312 |
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313 #if defined (DEBUG) |
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314 std::cout << "argument 1 dimensions: (" |
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315 << nn << "," << nc << ")" |
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316 << std::endl; |
3185 | 317 #endif |
318 | |
20892 | 319 octave_value_list retval; |
320 | |
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321 if (args(0).is_empty ()) |
3185 | 322 { |
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323 warn_empty_arg ("qz: parameter 1; continuing"); |
3185 | 324 return octave_value_list (2, Matrix ()); |
325 } | |
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326 else if (nc != nn) |
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327 err_square_matrix_required ("qz", "A"); |
3183 | 328 |
10311 | 329 // Argument 1: dimensions look good; get the value. |
3183 | 330 Matrix aa; |
331 ComplexMatrix caa; | |
3185 | 332 |
333 if (args(0).is_complex_type ()) | |
3183 | 334 caa = args(0).complex_matrix_value (); |
3185 | 335 else |
3183 | 336 aa = args(0).matrix_value (); |
3185 | 337 |
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338 #if defined (DEBUG) |
3538 | 339 std::cout << "qz: check argument 2" << std::endl; |
3185 | 340 #endif |
3183 | 341 |
10311 | 342 // Extract argument 2 (bb, or cbb if complex). |
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343 F77_INT b_nr = octave::to_f77_int (args(1).rows ()); |
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344 F77_INT b_nc = octave::to_f77_int (args(1).columns ()); |
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345 |
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346 if (nn != b_nc || nn != b_nr) |
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347 err_nonconformant (); |
3185 | 348 |
3183 | 349 Matrix bb; |
350 ComplexMatrix cbb; | |
3185 | 351 |
352 if (args(1).is_complex_type ()) | |
3183 | 353 cbb = args(1).complex_matrix_value (); |
354 else | |
355 bb = args(1).matrix_value (); | |
3185 | 356 |
3183 | 357 // Both matrices loaded, now let's check what kind of arithmetic: |
10311 | 358 // declared volatile to avoid compiler warnings about long jumps, |
359 // vforks. | |
3185 | 360 |
10311 | 361 volatile int complex_case |
3185 | 362 = (args(0).is_complex_type () || args(1).is_complex_type ()); |
10311 | 363 |
3185 | 364 if (nargin == 3 && complex_case) |
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365 error ("qz: cannot re-order complex qz decomposition"); |
3183 | 366 |
10311 | 367 // First, declare variables used in both the real and complex case. |
3183 | 368 Matrix QQ(nn,nn), ZZ(nn,nn), VR(nn,nn), VL(nn,nn); |
369 RowVector alphar(nn), alphai(nn), betar(nn); | |
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370 ComplexRowVector xalpha(nn), xbeta(nn); |
3185 | 371 ComplexMatrix CQ(nn,nn), CZ(nn,nn), CVR(nn,nn), CVL(nn,nn); |
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372 F77_INT ilo, ihi, info; |
3185 | 373 char compq = (nargout >= 3 ? 'V' : 'N'); |
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374 char compz = ((nargout >= 4 || nargin == 3)? 'V' : 'N'); |
3183 | 375 |
10311 | 376 // Initialize Q, Z to identity if we need either of them. |
3185 | 377 if (compq == 'V' || compz == 'V') |
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378 for (F77_INT ii = 0; ii < nn; ii++) |
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379 for (F77_INT jj = 0; jj < nn; jj++) |
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380 { |
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381 octave_quit (); |
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382 |
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383 QQ(ii,jj) = ZZ(ii,jj) = (ii == jj ? 1.0 : 0.0); |
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384 } |
3183 | 385 |
10311 | 386 // Always perform permutation balancing. |
4552 | 387 const char bal_job = 'P'; |
10311 | 388 RowVector lscale (nn), rscale (nn), work (6 * nn), rwork (nn); |
3183 | 389 |
3185 | 390 if (complex_case) |
391 { | |
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392 #if defined (DEBUG) |
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393 if (compq == 'V') |
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394 std::cout << "qz: performing balancing; CQ=" << std::endl |
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395 << CQ << std::endl; |
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396 #endif |
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397 if (args(0).is_real_type ()) |
10311 | 398 caa = ComplexMatrix (aa); |
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399 |
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400 if (args(1).is_real_type ()) |
10311 | 401 cbb = ComplexMatrix (bb); |
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402 |
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403 if (compq == 'V') |
10311 | 404 CQ = ComplexMatrix (QQ); |
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405 |
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406 if (compz == 'V') |
10311 | 407 CZ = ComplexMatrix (ZZ); |
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408 |
10311 | 409 F77_XFCN (zggbal, ZGGBAL, |
410 (F77_CONST_CHAR_ARG2 (&bal_job, 1), | |
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411 nn, F77_DBLE_CMPLX_ARG (caa.fortran_vec ()), nn, |
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412 F77_DBLE_CMPLX_ARG (cbb.fortran_vec ()), |
10311 | 413 nn, ilo, ihi, lscale.fortran_vec (), |
414 rscale.fortran_vec (), work.fortran_vec (), info | |
415 F77_CHAR_ARG_LEN (1))); | |
3185 | 416 } |
3183 | 417 else |
3185 | 418 { |
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419 #if defined (DEBUG) |
3185 | 420 if (compq == 'V') |
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421 std::cout << "qz: performing balancing; QQ=" << std::endl |
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422 << QQ << std::endl; |
3185 | 423 #endif |
3183 | 424 |
3185 | 425 F77_XFCN (dggbal, DGGBAL, |
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426 (F77_CONST_CHAR_ARG2 (&bal_job, 1), |
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427 nn, aa.fortran_vec (), nn, bb.fortran_vec (), |
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428 nn, ilo, ihi, lscale.fortran_vec (), |
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429 rscale.fortran_vec (), work.fortran_vec (), info |
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430 F77_CHAR_ARG_LEN (1))); |
3185 | 431 } |
3183 | 432 |
433 // Since we just want the balancing matrices, we can use dggbal | |
10311 | 434 // for both the real and complex cases; left first |
3185 | 435 |
10311 | 436 #if 0 |
437 if (compq == 'V') | |
3185 | 438 { |
439 F77_XFCN (dggbak, DGGBAK, | |
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440 (F77_CONST_CHAR_ARG2 (&bal_job, 1), |
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441 F77_CONST_CHAR_ARG2 ("L", 1), |
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442 nn, ilo, ihi, lscale.data (), rscale.data (), |
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443 nn, QQ.fortran_vec (), nn, info |
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444 F77_CHAR_ARG_LEN (1) |
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445 F77_CHAR_ARG_LEN (1))); |
3183 | 446 |
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447 #if defined (DEBUG) |
3185 | 448 if (compq == 'V') |
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449 std::cout << "qz: balancing done; QQ=" << std::endl << QQ << std::endl; |
3185 | 450 #endif |
3183 | 451 } |
452 | |
453 // then right | |
3185 | 454 if (compz == 'V') |
455 { | |
4552 | 456 F77_XFCN (dggbak, DGGBAK, |
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457 (F77_CONST_CHAR_ARG2 (&bal_job, 1), |
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458 F77_CONST_CHAR_ARG2 ("R", 1), |
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459 nn, ilo, ihi, lscale.data (), rscale.data (), |
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460 nn, ZZ.fortran_vec (), nn, info |
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461 F77_CHAR_ARG_LEN (1) |
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462 F77_CHAR_ARG_LEN (1))); |
3183 | 463 |
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464 #if defined (DEBUG) |
3185 | 465 if (compz == 'V') |
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466 std::cout << "qz: balancing done; ZZ=" << std::endl << ZZ << std::endl; |
3185 | 467 #endif |
10311 | 468 } |
469 #endif | |
3183 | 470 |
471 static char qz_job; | |
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472 qz_job = (nargout < 2 ? 'E' : 'S'); |
3185 | 473 |
3183 | 474 if (complex_case) |
3185 | 475 { |
10311 | 476 // Complex case. |
477 | |
478 // The QR decomposition of cbb. | |
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479 octave::math::qr<ComplexMatrix> cbqr (cbb); |
10311 | 480 // The R matrix of QR decomposition for cbb. |
481 cbb = cbqr.R (); | |
482 // (Q*)caa for following work. | |
483 caa = (cbqr.Q ().hermitian ()) * caa; | |
484 CQ = CQ * cbqr.Q (); | |
485 | |
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486 F77_XFCN (zgghrd, ZGGHRD, |
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487 (F77_CONST_CHAR_ARG2 (&compq, 1), |
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488 F77_CONST_CHAR_ARG2 (&compz, 1), |
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489 nn, ilo, ihi, F77_DBLE_CMPLX_ARG (caa.fortran_vec ()), |
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490 nn, F77_DBLE_CMPLX_ARG (cbb.fortran_vec ()), nn, |
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491 F77_DBLE_CMPLX_ARG (CQ.fortran_vec ()), nn, |
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492 F77_DBLE_CMPLX_ARG (CZ.fortran_vec ()), nn, info |
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493 F77_CHAR_ARG_LEN (1) |
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494 F77_CHAR_ARG_LEN (1))); |
10311 | 495 |
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496 ComplexRowVector cwork (1 * nn); |
10311 | 497 |
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498 F77_XFCN (zhgeqz, ZHGEQZ, |
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499 (F77_CONST_CHAR_ARG2 (&qz_job, 1), |
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500 F77_CONST_CHAR_ARG2 (&compq, 1), |
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501 F77_CONST_CHAR_ARG2 (&compz, 1), |
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502 nn, ilo, ihi, |
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503 F77_DBLE_CMPLX_ARG (caa.fortran_vec ()), nn, |
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504 F77_DBLE_CMPLX_ARG (cbb.fortran_vec ()), nn, |
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505 F77_DBLE_CMPLX_ARG (xalpha.fortran_vec ()), |
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506 F77_DBLE_CMPLX_ARG (xbeta.fortran_vec ()), |
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507 F77_DBLE_CMPLX_ARG (CQ.fortran_vec ()), nn, |
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508 F77_DBLE_CMPLX_ARG (CZ.fortran_vec ()), nn, |
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509 F77_DBLE_CMPLX_ARG (cwork.fortran_vec ()), nn, rwork.fortran_vec (), info |
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510 F77_CHAR_ARG_LEN (1) |
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511 F77_CHAR_ARG_LEN (1) |
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512 F77_CHAR_ARG_LEN (1))); |
3185 | 513 |
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514 if (compq == 'V') |
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515 { |
10311 | 516 // Left eigenvector. |
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517 F77_XFCN (zggbak, ZGGBAK, |
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518 (F77_CONST_CHAR_ARG2 (&bal_job, 1), |
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519 F77_CONST_CHAR_ARG2 ("L", 1), |
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520 nn, ilo, ihi, lscale.data (), rscale.data (), |
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521 nn, F77_DBLE_CMPLX_ARG (CQ.fortran_vec ()), nn, info |
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522 F77_CHAR_ARG_LEN (1) |
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523 F77_CHAR_ARG_LEN (1))); |
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524 } |
3185 | 525 |
10311 | 526 // Right eigenvector. |
3185 | 527 if (compz == 'V') |
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528 { |
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529 F77_XFCN (zggbak, ZGGBAK, |
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530 (F77_CONST_CHAR_ARG2 (&bal_job, 1), |
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531 F77_CONST_CHAR_ARG2 ("R", 1), |
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532 nn, ilo, ihi, lscale.data (), rscale.data (), |
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533 nn, F77_DBLE_CMPLX_ARG (CZ.fortran_vec ()), nn, info |
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534 F77_CHAR_ARG_LEN (1) |
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535 F77_CHAR_ARG_LEN (1))); |
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536 } |
3185 | 537 |
538 } | |
10311 | 539 else |
3185 | 540 { |
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541 #if defined (DEBUG) |
3538 | 542 std::cout << "qz: peforming qr decomposition of bb" << std::endl; |
3185 | 543 #endif |
3183 | 544 |
10311 | 545 // Compute the QR factorization of bb. |
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546 octave::math::qr<Matrix> bqr (bb); |
3185 | 547 |
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548 #if defined (DEBUG) |
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549 std::cout << "qz: qr (bb) done; now peforming qz decomposition" |
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550 << std::endl; |
3185 | 551 #endif |
3183 | 552 |
3185 | 553 bb = bqr.R (); |
554 | |
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555 #if defined (DEBUG) |
3538 | 556 std::cout << "qz: extracted bb" << std::endl; |
3185 | 557 #endif |
3183 | 558 |
10311 | 559 aa = (bqr.Q ()).transpose () * aa; |
3185 | 560 |
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561 #if defined (DEBUG) |
3538 | 562 std::cout << "qz: updated aa " << std::endl; |
563 std::cout << "bqr.Q () = " << std::endl << bqr.Q () << std::endl; | |
3183 | 564 |
3185 | 565 if (compq == 'V') |
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566 std::cout << "QQ =" << QQ << std::endl; |
3185 | 567 #endif |
3183 | 568 |
3185 | 569 if (compq == 'V') |
10311 | 570 QQ = QQ * bqr.Q (); |
3183 | 571 |
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572 #if defined (DEBUG) |
3538 | 573 std::cout << "qz: precursors done..." << std::endl; |
3185 | 574 #endif |
3183 | 575 |
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576 #if defined (DEBUG) |
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577 std::cout << "qz: compq = " << compq << ", compz = " << compz |
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578 << std::endl; |
3185 | 579 #endif |
3183 | 580 |
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581 // Reduce to generalized Hessenberg form. |
3185 | 582 F77_XFCN (dgghrd, DGGHRD, |
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583 (F77_CONST_CHAR_ARG2 (&compq, 1), |
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584 F77_CONST_CHAR_ARG2 (&compz, 1), |
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585 nn, ilo, ihi, aa.fortran_vec (), |
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586 nn, bb.fortran_vec (), nn, QQ.fortran_vec (), nn, |
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587 ZZ.fortran_vec (), nn, info |
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588 F77_CHAR_ARG_LEN (1) |
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589 F77_CHAR_ARG_LEN (1))); |
3183 | 590 |
10311 | 591 // Check if just computing generalized eigenvalues or if we're |
592 // actually computing the decomposition. | |
3183 | 593 |
10311 | 594 // Reduce to generalized Schur form. |
3185 | 595 F77_XFCN (dhgeqz, DHGEQZ, |
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596 (F77_CONST_CHAR_ARG2 (&qz_job, 1), |
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597 F77_CONST_CHAR_ARG2 (&compq, 1), |
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598 F77_CONST_CHAR_ARG2 (&compz, 1), |
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599 nn, ilo, ihi, aa.fortran_vec (), nn, bb.fortran_vec (), |
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600 nn, alphar.fortran_vec (), alphai.fortran_vec (), |
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601 betar.fortran_vec (), QQ.fortran_vec (), nn, |
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602 ZZ.fortran_vec (), nn, work.fortran_vec (), nn, info |
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603 F77_CHAR_ARG_LEN (1) |
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604 F77_CHAR_ARG_LEN (1) |
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605 F77_CHAR_ARG_LEN (1))); |
10311 | 606 |
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607 if (compq == 'V') |
10311 | 608 { |
609 F77_XFCN (dggbak, DGGBAK, | |
610 (F77_CONST_CHAR_ARG2 (&bal_job, 1), | |
611 F77_CONST_CHAR_ARG2 ("L", 1), | |
612 nn, ilo, ihi, lscale.data (), rscale.data (), | |
613 nn, QQ.fortran_vec (), nn, info | |
614 F77_CHAR_ARG_LEN (1) | |
615 F77_CHAR_ARG_LEN (1))); | |
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616 |
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617 #if defined (DEBUG) |
10311 | 618 if (compq == 'V') |
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619 std::cout << "qz: balancing done; QQ=" << std::endl |
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620 << QQ << std::endl; |
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621 #endif |
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622 } |
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623 |
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624 // then right |
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625 if (compz == 'V') |
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626 { |
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627 F77_XFCN (dggbak, DGGBAK, |
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628 (F77_CONST_CHAR_ARG2 (&bal_job, 1), |
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629 F77_CONST_CHAR_ARG2 ("R", 1), |
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630 nn, ilo, ihi, lscale.data (), rscale.data (), |
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631 nn, ZZ.fortran_vec (), nn, info |
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632 F77_CHAR_ARG_LEN (1) |
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633 F77_CHAR_ARG_LEN (1))); |
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634 |
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635 #if defined (DEBUG) |
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636 if (compz == 'V') |
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637 std::cout << "qz: balancing done; ZZ=" << std::endl |
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638 << ZZ << std::endl; |
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639 #endif |
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640 } |
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641 |
3185 | 642 } |
3183 | 643 |
10311 | 644 // Order the QZ decomposition? |
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645 if (! (ord_job == 'N' || ord_job == 'n')) |
3183 | 646 { |
3185 | 647 if (complex_case) |
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648 // Probably not needed, but better be safe. |
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649 error ("qz: cannot re-order complex qz decomposition"); |
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650 |
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651 #if defined (DEBUG_SORT) |
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652 std::cout << "qz: ordering eigenvalues: ord_job = " |
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653 << ord_job << std::endl; |
3185 | 654 #endif |
3183 | 655 |
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656 // Declared static to avoid vfork/long jump compiler complaints. |
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657 static sort_function sort_test; |
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658 sort_test = 0; |
3183 | 659 |
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660 switch (ord_job) |
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661 { |
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662 case 'S': |
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663 case 's': |
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664 sort_test = &fin; |
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665 break; |
3183 | 666 |
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667 case 'B': |
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668 case 'b': |
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669 sort_test = &fout; |
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670 break; |
3183 | 671 |
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672 case '+': |
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673 sort_test = &fcrhp; |
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674 break; |
3183 | 675 |
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676 case '-': |
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677 sort_test = &folhp; |
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678 break; |
3185 | 679 |
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680 default: |
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681 // Invalid order option (should never happen, since we |
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682 // checked the options at the top). |
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683 panic_impossible (); |
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684 break; |
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685 } |
3183 | 686 |
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687 double inf_norm; |
3185 | 688 |
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689 F77_XFCN (xdlange, XDLANGE, |
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690 (F77_CONST_CHAR_ARG2 ("I", 1), |
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691 nn, nn, aa.data (), nn, work.fortran_vec (), inf_norm |
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692 F77_CHAR_ARG_LEN (1))); |
3185 | 693 |
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694 double eps = std::numeric_limits<double>::epsilon () * inf_norm * nn; |
3185 | 695 |
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696 #if defined (DEBUG_SORT) |
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697 std::cout << "qz: calling dsubsp: aa=" << std::endl; |
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698 octave_print_internal (std::cout, aa, 0); |
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699 std::cout << std::endl << "bb=" << std::endl; |
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700 octave_print_internal (std::cout, bb, 0); |
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701 if (compz == 'V') |
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702 { |
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703 std::cout << std::endl << "ZZ=" << std::endl; |
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704 octave_print_internal (std::cout, ZZ, 0); |
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705 } |
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706 std::cout << std::endl; |
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707 std::cout << "alphar = " << std::endl; |
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708 octave_print_internal (std::cout, (Matrix) alphar, 0); |
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709 std::cout << std::endl << "alphai = " << std::endl; |
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710 octave_print_internal (std::cout, (Matrix) alphai, 0); |
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711 std::cout << std::endl << "beta = " << std::endl; |
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712 octave_print_internal (std::cout, (Matrix) betar, 0); |
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713 std::cout << std::endl; |
3185 | 714 #endif |
715 | |
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716 Array<F77_INT> ind (dim_vector (nn, 1)); |
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717 |
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718 F77_INT ndim, fail; |
3550 | 719 |
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720 F77_XFCN (dsubsp, DSUBSP, |
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721 (nn, nn, aa.fortran_vec (), bb.fortran_vec (), |
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722 ZZ.fortran_vec (), sort_test, eps, ndim, fail, |
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723 ind.fortran_vec ())); |
3185 | 724 |
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725 #if defined (DEBUG) |
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726 std::cout << "qz: back from dsubsp: aa=" << std::endl; |
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727 octave_print_internal (std::cout, aa, 0); |
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728 std::cout << std::endl << "bb=" << std::endl; |
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729 octave_print_internal (std::cout, bb, 0); |
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730 if (compz == 'V') |
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731 { |
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732 std::cout << std::endl << "ZZ=" << std::endl; |
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733 octave_print_internal (std::cout, ZZ, 0); |
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734 } |
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735 std::cout << std::endl; |
3185 | 736 #endif |
737 | |
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738 // Manually update alphar, alphai, betar. |
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739 static F77_INT jj; |
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740 |
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741 jj = 0; |
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742 while (jj < nn) |
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743 { |
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744 #if defined (DEBUG_EIG) |
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745 std::cout << "computing gen eig #" << jj << std::endl; |
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746 #endif |
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747 |
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748 // Number of zeros in this block. |
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749 static F77_INT zcnt; |
3185 | 750 |
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751 if (jj == (nn-1)) |
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752 zcnt = 1; |
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753 else if (aa(jj+1,jj) == 0) |
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754 zcnt = 1; |
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755 else zcnt = 2; |
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756 |
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757 if (zcnt == 1) |
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758 { |
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759 // Real zero. |
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760 #if defined (DEBUG_EIG) |
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761 std::cout << " single gen eig:" << std::endl; |
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762 std::cout << " alphar(" << jj << ") = " << aa(jj,jj) |
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763 << std::endl; |
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764 std::cout << " betar(" << jj << ") = " << bb(jj,jj) |
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765 << std::endl; |
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766 std::cout << " alphai(" << jj << ") = 0" << std::endl; |
3185 | 767 #endif |
768 | |
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769 alphar(jj) = aa(jj,jj); |
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770 alphai(jj) = 0; |
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771 betar(jj) = bb(jj,jj); |
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772 } |
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773 else |
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774 { |
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775 // Complex conjugate pair. |
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776 #if defined (DEBUG_EIG) |
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777 std::cout << "qz: calling dlag2:" << std::endl; |
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778 std::cout << "safmin=" |
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779 << setiosflags (std::ios::scientific) |
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780 << safmin << std::endl; |
3185 | 781 |
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782 for (F77_INT idr = jj; idr <= jj+1; idr++) |
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783 { |
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784 for (F77_INT idc = jj; idc <= jj+1; idc++) |
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785 { |
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786 std::cout << "aa(" << idr << "," << idc << ")=" |
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787 << aa(idr,idc) << std::endl; |
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788 std::cout << "bb(" << idr << "," << idc << ")=" |
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789 << bb(idr,idc) << std::endl; |
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790 } |
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791 } |
3185 | 792 #endif |
793 | |
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794 // FIXME: probably should be using |
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795 // fortran_vec instead of &aa(jj,jj) here. |
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796 |
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797 double scale1, scale2, wr1, wr2, wi; |
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798 const double *aa_ptr = aa.data () + jj * nn + jj; |
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799 const double *bb_ptr = bb.data () + jj * nn + jj; |
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800 F77_XFCN (dlag2, DLAG2, |
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801 (aa_ptr, nn, bb_ptr, nn, safmin, |
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802 scale1, scale2, wr1, wr2, wi)); |
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803 |
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804 #if defined (DEBUG_EIG) |
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805 std::cout << "dlag2 returns: scale1=" << scale1 |
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806 << "\tscale2=" << scale2 << std::endl |
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807 << "\twr1=" << wr1 << "\twr2=" << wr2 |
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808 << "\twi=" << wi << std::endl; |
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809 #endif |
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810 |
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811 // Just to be safe, check if it's a real pair. |
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812 if (wi == 0) |
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813 { |
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814 alphar(jj) = wr1; |
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815 alphai(jj) = 0; |
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816 betar(jj) = scale1; |
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817 alphar(jj+1) = wr2; |
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818 alphai(jj+1) = 0; |
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819 betar(jj+1) = scale2; |
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820 } |
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821 else |
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822 { |
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823 alphar(jj) = alphar(jj+1) = wr1; |
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824 alphai(jj) = -(alphai(jj+1) = wi); |
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825 betar(jj) = betar(jj+1) = scale1; |
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826 } |
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827 } |
3185 | 828 |
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829 // Advance past this block. |
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830 jj += zcnt; |
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831 } |
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832 |
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833 #if defined (DEBUG_SORT) |
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834 std::cout << "qz: back from dsubsp: aa=" << std::endl; |
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835 octave_print_internal (std::cout, aa, 0); |
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836 std::cout << std::endl << "bb=" << std::endl; |
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837 octave_print_internal (std::cout, bb, 0); |
3185 | 838 |
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839 if (compz == 'V') |
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840 { |
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841 std::cout << std::endl << "ZZ=" << std::endl; |
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842 octave_print_internal (std::cout, ZZ, 0); |
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843 } |
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844 std::cout << std::endl << "qz: ndim=" << ndim << std::endl |
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845 << "fail=" << fail << std::endl; |
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846 std::cout << "alphar = " << std::endl; |
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847 octave_print_internal (std::cout, (Matrix) alphar, 0); |
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848 std::cout << std::endl << "alphai = " << std::endl; |
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849 octave_print_internal (std::cout, (Matrix) alphai, 0); |
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850 std::cout << std::endl << "beta = " << std::endl; |
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851 octave_print_internal (std::cout, (Matrix) betar, 0); |
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852 std::cout << std::endl; |
3185 | 853 #endif |
3183 | 854 } |
3185 | 855 |
10311 | 856 // Compute generalized eigenvalues? |
3183 | 857 ComplexColumnVector gev; |
3185 | 858 |
859 if (nargout < 2 || nargout == 7 || (nargin == 3 && nargout == 4)) | |
3183 | 860 { |
3185 | 861 if (complex_case) |
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862 { |
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863 F77_INT cnt = 0; |
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864 |
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865 for (F77_INT ii = 0; ii < nn; ii++) |
10311 | 866 cnt++; |
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867 |
10311 | 868 ComplexColumnVector tmp (cnt); |
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869 |
10311 | 870 cnt = 0; |
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871 for (F77_INT ii = 0; ii < nn; ii++) |
10311 | 872 tmp(cnt++) = xalpha(ii) / xbeta(ii); |
873 | |
874 gev = tmp; | |
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875 } |
3185 | 876 else |
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877 { |
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878 #if defined (DEBUG) |
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879 std::cout << "qz: computing generalized eigenvalues" << std::endl; |
3185 | 880 #endif |
3183 | 881 |
10311 | 882 // Return finite generalized eigenvalues. |
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|
883 F77_INT cnt = 0; |
3185 | 884 |
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885 for (F77_INT ii = 0; ii < nn; ii++) |
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886 if (betar(ii) != 0) |
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887 cnt++; |
3185 | 888 |
10311 | 889 ComplexColumnVector tmp (cnt); |
3185 | 890 |
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891 cnt = 0; |
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892 for (F77_INT ii = 0; ii < nn; ii++) |
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893 if (betar(ii) != 0) |
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894 tmp(cnt++) = Complex(alphar(ii), alphai(ii))/betar(ii); |
10311 | 895 |
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896 gev = tmp; |
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897 } |
3183 | 898 } |
899 | |
10311 | 900 // Right, left eigenvector matrices. |
3185 | 901 if (nargout >= 5) |
3183 | 902 { |
10311 | 903 // Which side to compute? |
904 char side = (nargout == 5 ? 'R' : 'B'); | |
905 // Compute all of them and backtransform | |
906 char howmny = 'B'; | |
907 // Dummy pointer; select is not used. | |
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|
908 F77_INT *select = 0; |
3185 | 909 |
910 if (complex_case) | |
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|
911 { |
10311 | 912 CVL = CQ; |
913 CVR = CZ; | |
914 ComplexRowVector cwork2 (2 * nn); | |
915 RowVector rwork2 (8 * nn); | |
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|
916 F77_INT m; |
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|
917 |
10311 | 918 F77_XFCN (ztgevc, ZTGEVC, |
919 (F77_CONST_CHAR_ARG2 (&side, 1), | |
920 F77_CONST_CHAR_ARG2 (&howmny, 1), | |
22407
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22372
diff
changeset
|
921 select, nn, F77_DBLE_CMPLX_ARG (caa.fortran_vec ()), nn, |
34ce5be04942
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|
922 F77_DBLE_CMPLX_ARG (cbb.fortran_vec ()), |
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|
923 nn, F77_DBLE_CMPLX_ARG (CVL.fortran_vec ()), nn, |
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|
924 F77_DBLE_CMPLX_ARG (CVR.fortran_vec ()), nn, nn, |
22135
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|
925 m, F77_DBLE_CMPLX_ARG (cwork2.fortran_vec ()), rwork2.fortran_vec (), info |
10311 | 926 F77_CHAR_ARG_LEN (1) |
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diff
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|
927 F77_CHAR_ARG_LEN (1))); |
10154
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|
928 } |
3185 | 929 else |
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|
930 { |
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|
931 #if defined (DEBUG) |
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21301
diff
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|
932 std::cout << "qz: computing generalized eigenvectors" << std::endl; |
3185 | 933 #endif |
934 | |
10154
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935 VL = QQ; |
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|
936 VR = ZZ; |
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|
937 F77_INT m; |
10311 | 938 |
10154
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939 F77_XFCN (dtgevc, DTGEVC, |
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940 (F77_CONST_CHAR_ARG2 (&side, 1), |
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|
941 F77_CONST_CHAR_ARG2 (&howmny, 1), |
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|
942 select, nn, aa.fortran_vec (), nn, bb.fortran_vec (), |
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|
943 nn, VL.fortran_vec (), nn, VR.fortran_vec (), nn, nn, |
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|
944 m, work.fortran_vec (), info |
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945 F77_CHAR_ARG_LEN (1) |
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|
946 F77_CHAR_ARG_LEN (1))); |
3185 | 947 |
10311 | 948 // Now construct the complex form of VV, WW. |
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|
949 F77_INT jj = 0; |
3185 | 950 |
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951 while (jj < nn) |
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|
952 { |
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|
953 octave_quit (); |
4153 | 954 |
10311 | 955 // See if real or complex eigenvalue. |
956 | |
957 // Column increment; assume complex eigenvalue. | |
958 int cinc = 2; | |
3185 | 959 |
10154
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|
960 if (jj == (nn-1)) |
10311 | 961 // Single column. |
962 cinc = 1; | |
10154
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963 else if (aa(jj+1,jj) == 0) |
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|
964 cinc = 1; |
3185 | 965 |
10311 | 966 // Now copy the eigenvector (s) to CVR, CVL. |
10154
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967 if (cinc == 1) |
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|
968 { |
22964
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|
969 for (F77_INT ii = 0; ii < nn; ii++) |
10154
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|
970 CVR(ii,jj) = VR(ii,jj); |
3185 | 971 |
10154
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|
972 if (side == 'B') |
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|
973 for (F77_INT ii = 0; ii < nn; ii++) |
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|
974 CVL(ii,jj) = VL(ii,jj); |
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975 } |
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|
976 else |
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|
977 { |
10311 | 978 // Double column; complex vector. |
3185 | 979 |
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|
980 for (F77_INT ii = 0; ii < nn; ii++) |
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981 { |
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982 CVR(ii,jj) = Complex (VR(ii,jj), VR(ii,jj+1)); |
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983 CVR(ii,jj+1) = Complex (VR(ii,jj), -VR(ii,jj+1)); |
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984 } |
3183 | 985 |
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986 if (side == 'B') |
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987 for (F77_INT ii = 0; ii < nn; ii++) |
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988 { |
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989 CVL(ii,jj) = Complex (VL(ii,jj), VL(ii,jj+1)); |
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990 CVL(ii,jj+1) = Complex (VL(ii,jj), -VL(ii,jj+1)); |
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991 } |
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992 } |
3185 | 993 |
10311 | 994 // Advance to next eigenvectors (if any). |
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995 jj += cinc; |
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996 } |
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997 } |
3183 | 998 } |
3185 | 999 |
1000 switch (nargout) | |
1001 { | |
1002 case 7: | |
1003 retval(6) = gev; | |
1004 | |
10311 | 1005 case 6: |
1006 // Return eigenvectors. | |
3185 | 1007 retval(5) = CVL; |
1008 | |
10311 | 1009 case 5: |
1010 // Return eigenvectors. | |
3185 | 1011 retval(4) = CVR; |
1012 | |
1013 case 4: | |
1014 if (nargin == 3) | |
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1015 { |
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1016 #if defined (DEBUG) |
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1017 std::cout << "qz: sort: retval(3) = gev = " << std::endl; |
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1018 octave_print_internal (std::cout, gev); |
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1019 std::cout << std::endl; |
3185 | 1020 #endif |
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1021 retval(3) = gev; |
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1022 } |
3185 | 1023 else |
10311 | 1024 { |
1025 if (complex_case) | |
1026 retval(3) = CZ; | |
1027 else | |
1028 retval(3) = ZZ; | |
1029 } | |
3185 | 1030 |
1031 case 3: | |
1032 if (nargin == 3) | |
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1033 { |
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1034 if (complex_case) |
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1035 retval(2) = CZ; |
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1036 else |
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1037 retval(2) = ZZ; |
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1038 } |
3185 | 1039 else |
10311 | 1040 { |
1041 if (complex_case) | |
1042 retval(2) = CQ.hermitian (); | |
1043 else | |
1044 retval(2) = QQ.transpose (); | |
1045 } | |
1046 | |
3185 | 1047 case 2: |
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1048 { |
10311 | 1049 if (complex_case) |
1050 { | |
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1051 #if defined (DEBUG) |
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1052 std::cout << "qz: retval(1) = cbb = " << std::endl; |
10311 | 1053 octave_print_internal (std::cout, cbb, 0); |
1054 std::cout << std::endl << "qz: retval(0) = caa = " <<std::endl; | |
1055 octave_print_internal (std::cout, caa, 0); | |
1056 std::cout << std::endl; | |
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1057 #endif |
10311 | 1058 retval(1) = cbb; |
1059 retval(0) = caa; | |
1060 } | |
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1061 else |
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1062 { |
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1063 #if defined (DEBUG) |
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1064 std::cout << "qz: retval(1) = bb = " << std::endl; |
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1065 octave_print_internal (std::cout, bb, 0); |
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1066 std::cout << std::endl << "qz: retval(0) = aa = " <<std::endl; |
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1067 octave_print_internal (std::cout, aa, 0); |
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1068 std::cout << std::endl; |
3185 | 1069 #endif |
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1070 retval(1) = bb; |
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1071 retval(0) = aa; |
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1072 } |
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1073 } |
10311 | 1074 break; |
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1075 |
3185 | 1076 case 1: |
1077 case 0: | |
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1078 #if defined (DEBUG) |
3538 | 1079 std::cout << "qz: retval(0) = gev = " << gev << std::endl; |
3185 | 1080 #endif |
1081 retval(0) = gev; | |
1082 break; | |
1083 | |
1084 default: | |
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1085 error ("qz: too many return arguments"); |
3185 | 1086 break; |
3183 | 1087 } |
1088 | |
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1089 #if defined (DEBUG) |
3538 | 1090 std::cout << "qz: exiting (at long last)" << std::endl; |
3185 | 1091 #endif |
3183 | 1092 |
1093 return retval; | |
1094 } | |
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1095 |
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1096 /* |
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1097 %!shared a, b, c |
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1098 %! a = [1 2; 0 3]; |
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1099 %! b = [1 0; 0 0]; |
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1100 %! c = [0 1; 0 0]; |
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1101 %!assert (qz (a,b), 1) |
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1102 %!assert (isempty (qz (a,c))) |
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1103 |
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1104 ## Exaple 7.7.3 in Golub & Van Loan |
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1105 %!test |
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1106 %! a = [ 10 1 2; |
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1107 %! 1 2 -1; |
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1108 %! 1 1 2]; |
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1109 %! b = reshape (1:9,3,3); |
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1110 %! [aa, bb, q, z, v, w, lambda] = qz (a, b); |
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1111 %! sz = length (lambda); |
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1112 %! observed = (b * v * diag ([lambda;0])) (:, 1:sz); |
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1113 %! assert ((a*v)(:, 1:sz), observed, norm (observed) * 1e-14); |
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1114 %! observed = (diag ([lambda;0]) * w' * b) (1:sz, :); |
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1115 %! assert ((w'*a)(1:sz, :) , observed, norm (observed) * 1e-13); |
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1116 %! assert (q * a * z, aa, norm (aa) * 1e-14); |
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1117 %! assert (q * b * z, bb, norm (bb) * 1e-14); |
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1118 |
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1119 %!test |
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1120 %! A = [0, 0, -1, 0; 1, 0, 0, 0; -1, 0, -2, -1; 0, -1, 1, 0]; |
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1121 %! B = [0, 0, 0, 0; 0, 1, 0, 0; 0, 0, 1, 0; 0, 0, 0, 1]; |
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1122 %! [AA, BB, Q, Z1] = qz (A, B); |
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1123 %! [AA, BB, Z2] = qz (A, B, '-'); |
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1124 %! assert (Z1, Z2); |
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1125 */ |