Mercurial > octave-antonio
annotate src/DLD-FUNCTIONS/chol.cc @ 9065:8207b833557f
Cleanup documentation for arith.texi, linalg.texi, nonlin.texi
Grammarcheck input .txi files
Spellcheck .texi files
author | Rik <rdrider0-list@yahoo.com> |
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date | Sat, 28 Mar 2009 17:43:22 -0700 |
parents | 7c02ec148a3c |
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2928 | 1 /* |
2 | |
7017 | 3 Copyright (C) 1996, 1997, 1999, 2000, 2002, 2005, 2006, 2007 |
4 John W. Eaton | |
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5 Copyright (C) 2008, 2009 Jaroslav Hajek |
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6 Copyright (C) 2008, 2009 VZLU Prague |
2928 | 7 |
8 This file is part of Octave. | |
9 | |
10 Octave is free software; you can redistribute it and/or modify it | |
11 under the terms of the GNU General Public License as published by the | |
7016 | 12 Free Software Foundation; either version 3 of the License, or (at your |
13 option) any later version. | |
2928 | 14 |
15 Octave is distributed in the hope that it will be useful, but WITHOUT | |
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or | |
17 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License | |
18 for more details. | |
19 | |
20 You should have received a copy of the GNU General Public License | |
7016 | 21 along with Octave; see the file COPYING. If not, see |
22 <http://www.gnu.org/licenses/>. | |
2928 | 23 |
24 */ | |
25 | |
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26 |
2928 | 27 #ifdef HAVE_CONFIG_H |
28 #include <config.h> | |
29 #endif | |
30 | |
31 #include "CmplxCHOL.h" | |
32 #include "dbleCHOL.h" | |
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33 #include "fCmplxCHOL.h" |
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34 #include "floatCHOL.h" |
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35 #include "SparseCmplxCHOL.h" |
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36 #include "SparsedbleCHOL.h" |
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37 #include "oct-spparms.h" |
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38 #include "sparse-util.h" |
2928 | 39 |
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40 #include "ov-re-sparse.h" |
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41 #include "ov-cx-sparse.h" |
2928 | 42 #include "defun-dld.h" |
43 #include "error.h" | |
44 #include "gripes.h" | |
45 #include "oct-obj.h" | |
46 #include "utils.h" | |
47 | |
48 DEFUN_DLD (chol, args, nargout, | |
3548 | 49 "-*- texinfo -*-\n\ |
7650 | 50 @deftypefn {Loadable Function} {@var{r} =} chol (@var{a})\n\ |
51 @deftypefnx {Loadable Function} {[@var{r}, @var{p}] =} chol (@var{a})\n\ | |
52 @deftypefnx {Loadable Function} {[@var{r}, @var{p}, @var{q}] =} chol (@var{s})\n\ | |
53 @deftypefnx {Loadable Function} {[@var{r}, @var{p}, @var{q}] =} chol (@var{s}, 'vector')\n\ | |
54 @deftypefnx {Loadable Function} {[@var{l}, @dots{}] =} chol (@dots{}, 'lower')\n\ | |
3372 | 55 @cindex Cholesky factorization\n\ |
56 Compute the Cholesky factor, @var{r}, of the symmetric positive definite\n\ | |
57 matrix @var{a}, where\n\ | |
58 @iftex\n\ | |
59 @tex\n\ | |
60 $ R^T R = A $.\n\ | |
61 @end tex\n\ | |
62 @end iftex\n\ | |
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63 @ifnottex\n\ |
3372 | 64 \n\ |
65 @example\n\ | |
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66 @var{r}' * @var{r} = @var{a}.\n\ |
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67 @end example\n\ |
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68 @end ifnottex\n\ |
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69 \n\ |
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70 Called with one output argument @code{chol} fails if @var{a} or @var{s} is\n\ |
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71 not positive definite. With two or more output arguments @var{p} flags\n\ |
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72 whether the matrix was positive definite and @code{chol} does not fail. A\n\ |
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73 zero value indicated that the matrix was positive definite and the @var{r}\n\ |
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74 gives the factorization, and @var{p} will have a positive value otherwise.\n\ |
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75 \n\ |
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76 If called with 3 outputs then a sparsity preserving row/column permutation\n\ |
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77 is applied to @var{a} prior to the factorization. That is @var{r}\n\ |
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78 is the factorization of @code{@var{a}(@var{q},@var{q})} such that\n\ |
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79 @iftex\n\ |
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80 @tex\n\ |
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81 $ R^T R = Q^T A Q$.\n\ |
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82 @end tex\n\ |
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83 @end iftex\n\ |
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84 @ifnottex\n\ |
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85 \n\ |
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86 @example\n\ |
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87 @var{r}' * @var{r} = @var{q}' * @var{a} * @var{q}.\n\ |
3372 | 88 @end example\n\ |
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89 @end ifnottex\n\ |
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90 \n\ |
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91 The sparsity preserving permutation is generally returned as a matrix.\n\ |
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92 However, given the flag 'vector', @var{q} will be returned as a vector\n\ |
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93 such that\n\ |
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94 @iftex\n\ |
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95 @tex\n\ |
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96 $ R^T R = A (Q, Q)$.\n\ |
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97 @end tex\n\ |
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98 @end iftex\n\ |
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99 @ifnottex\n\ |
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100 \n\ |
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101 @example\n\ |
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102 @var{r}' * @var{r} = a (@var{q}, @var{q}).\n\ |
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103 @end example\n\ |
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104 @end ifnottex\n\ |
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105 \n\ |
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106 Called with either a sparse or full matrix and using the 'lower' flag,\n\ |
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107 @code{chol} returns the lower triangular factorization such that\n\ |
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108 @iftex\n\ |
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109 @tex\n\ |
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110 $ L L^T = A $.\n\ |
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111 @end tex\n\ |
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112 @end iftex\n\ |
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113 @ifnottex\n\ |
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114 \n\ |
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115 @example\n\ |
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116 @var{l} * @var{l}' = @var{a}.\n\ |
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117 @end example\n\ |
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118 @end ifnottex\n\ |
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119 \n\ |
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120 In general the lower triangular factorization is significantly faster for\n\ |
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121 sparse matrices.\n\ |
5340 | 122 @seealso{cholinv, chol2inv}\n\ |
3372 | 123 @end deftypefn") |
2928 | 124 { |
125 octave_value_list retval; | |
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126 int nargin = args.length (); |
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127 bool LLt = false; |
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128 bool vecout = false; |
2928 | 129 |
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130 if (nargin < 1 || nargin > 3 || nargout > 3 |
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131 || (! args(0).is_sparse_type () && nargout > 2)) |
2928 | 132 { |
5823 | 133 print_usage (); |
2928 | 134 return retval; |
135 } | |
136 | |
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137 int n = 1; |
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138 while (n < nargin && ! error_state) |
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139 { |
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140 std::string tmp = args(n++).string_value (); |
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141 |
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142 if (! error_state ) |
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143 { |
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144 if (tmp.compare ("vector") == 0) |
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145 vecout = true; |
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146 else if (tmp.compare ("lower") == 0) |
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147 LLt = true; |
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148 else if (tmp.compare ("upper") == 0) |
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149 LLt = false; |
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150 else |
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151 error ("chol: unexpected second or third input"); |
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152 } |
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153 else |
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154 error ("chol: expecting trailing string arguments"); |
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155 } |
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157 if (! error_state) |
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158 { |
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159 octave_value arg = args(0); |
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160 |
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161 octave_idx_type nr = arg.rows (); |
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162 octave_idx_type nc = arg.columns (); |
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163 bool natural = (nargout != 3); |
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164 |
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165 int arg_is_empty = empty_arg ("chol", nr, nc); |
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167 if (arg_is_empty < 0) |
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168 return retval; |
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169 if (arg_is_empty > 0) |
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170 return octave_value (Matrix ()); |
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|
171 |
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172 if (arg.is_sparse_type ()) |
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|
173 { |
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174 if (arg.is_real_type ()) |
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|
175 { |
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176 SparseMatrix m = arg.sparse_matrix_value (); |
2928 | 177 |
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|
178 if (! error_state) |
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|
179 { |
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|
180 octave_idx_type info; |
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|
181 SparseCHOL fact (m, info, natural); |
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|
182 if (nargout == 3) |
7924 | 183 { |
184 if (vecout) | |
185 retval(2) = fact.perm (); | |
186 else | |
187 retval(2) = fact.Q(); | |
188 } | |
2928 | 189 |
7515
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190 if (nargout > 1 || info == 0) |
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|
191 { |
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|
192 retval(1) = fact.P(); |
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193 if (LLt) |
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|
194 retval(0) = fact.L(); |
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|
195 else |
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196 retval(0) = fact.R(); |
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|
197 } |
8872
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fix typo in previous change
John W. Eaton <jwe@octave.org>
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|
198 else |
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|
199 error ("chol: matrix not positive definite"); |
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|
200 } |
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|
201 } |
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|
202 else if (arg.is_complex_type ()) |
3243 | 203 { |
7515
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|
204 SparseComplexMatrix m = arg.sparse_complex_matrix_value (); |
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|
205 |
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|
206 if (! error_state) |
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|
207 { |
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|
208 octave_idx_type info; |
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|
209 SparseComplexCHOL fact (m, info, natural); |
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|
210 |
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|
211 if (nargout == 3) |
7924 | 212 { |
213 if (vecout) | |
214 retval(2) = fact.perm (); | |
215 else | |
216 retval(2) = fact.Q(); | |
217 } | |
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|
218 |
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|
219 if (nargout > 1 || info == 0) |
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|
220 { |
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diff
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|
221 retval(1) = fact.P(); |
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|
222 if (LLt) |
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diff
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|
223 retval(0) = fact.L(); |
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|
224 else |
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|
225 retval(0) = fact.R(); |
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|
226 } |
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|
227 else |
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|
228 error ("chol: matrix not positive definite"); |
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|
229 } |
3243 | 230 } |
3244 | 231 else |
7515
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|
232 gripe_wrong_type_arg ("chol", arg); |
2928 | 233 } |
7789
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diff
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|
234 else if (arg.is_single_type ()) |
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diff
changeset
|
235 { |
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diff
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|
236 if (arg.is_real_type ()) |
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diff
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|
237 { |
82be108cc558
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diff
changeset
|
238 FloatMatrix m = arg.float_matrix_value (); |
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diff
changeset
|
239 |
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diff
changeset
|
240 if (! error_state) |
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diff
changeset
|
241 { |
82be108cc558
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David Bateman <dbateman@free.fr>
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diff
changeset
|
242 octave_idx_type info; |
82be108cc558
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David Bateman <dbateman@free.fr>
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diff
changeset
|
243 FloatCHOL fact (m, info); |
82be108cc558
First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
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7700
diff
changeset
|
244 if (nargout == 2 || info == 0) |
82be108cc558
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David Bateman <dbateman@free.fr>
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diff
changeset
|
245 { |
82be108cc558
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David Bateman <dbateman@free.fr>
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diff
changeset
|
246 retval(1) = static_cast<float> (info); |
82be108cc558
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David Bateman <dbateman@free.fr>
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diff
changeset
|
247 if (LLt) |
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diff
changeset
|
248 retval(0) = fact.chol_matrix ().transpose (); |
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diff
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|
249 else |
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diff
changeset
|
250 retval(0) = fact.chol_matrix (); |
82be108cc558
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diff
changeset
|
251 } |
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diff
changeset
|
252 else |
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diff
changeset
|
253 error ("chol: matrix not positive definite"); |
82be108cc558
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7700
diff
changeset
|
254 } |
82be108cc558
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diff
changeset
|
255 } |
82be108cc558
First attempt at single precision tyeps
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diff
changeset
|
256 else if (arg.is_complex_type ()) |
82be108cc558
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David Bateman <dbateman@free.fr>
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diff
changeset
|
257 { |
82be108cc558
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diff
changeset
|
258 FloatComplexMatrix m = arg.float_complex_matrix_value (); |
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|
259 |
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diff
changeset
|
260 if (! error_state) |
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diff
changeset
|
261 { |
82be108cc558
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diff
changeset
|
262 octave_idx_type info; |
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David Bateman <dbateman@free.fr>
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7700
diff
changeset
|
263 FloatComplexCHOL fact (m, info); |
82be108cc558
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David Bateman <dbateman@free.fr>
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7700
diff
changeset
|
264 if (nargout == 2 || info == 0) |
82be108cc558
First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
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diff
changeset
|
265 { |
82be108cc558
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diff
changeset
|
266 retval(1) = static_cast<float> (info); |
82be108cc558
First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
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diff
changeset
|
267 if (LLt) |
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diff
changeset
|
268 retval(0) = fact.chol_matrix ().hermitian (); |
82be108cc558
First attempt at single precision tyeps
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diff
changeset
|
269 else |
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7700
diff
changeset
|
270 retval(0) = fact.chol_matrix (); |
82be108cc558
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David Bateman <dbateman@free.fr>
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diff
changeset
|
271 } |
82be108cc558
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parents:
7700
diff
changeset
|
272 else |
82be108cc558
First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
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diff
changeset
|
273 error ("chol: matrix not positive definite"); |
82be108cc558
First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
7700
diff
changeset
|
274 } |
82be108cc558
First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
275 } |
82be108cc558
First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
7700
diff
changeset
|
276 else |
82be108cc558
First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
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7700
diff
changeset
|
277 gripe_wrong_type_arg ("chol", arg); |
82be108cc558
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David Bateman <dbateman@free.fr>
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7700
diff
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|
278 } |
7515
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diff
changeset
|
279 else |
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diff
changeset
|
280 { |
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diff
changeset
|
281 if (arg.is_real_type ()) |
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diff
changeset
|
282 { |
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David Bateman <dbateman@free.fr>
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diff
changeset
|
283 Matrix m = arg.matrix_value (); |
2928 | 284 |
7515
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David Bateman <dbateman@free.fr>
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diff
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|
285 if (! error_state) |
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parents:
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diff
changeset
|
286 { |
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David Bateman <dbateman@free.fr>
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7017
diff
changeset
|
287 octave_idx_type info; |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
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diff
changeset
|
288 CHOL fact (m, info); |
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David Bateman <dbateman@free.fr>
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diff
changeset
|
289 if (nargout == 2 || info == 0) |
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David Bateman <dbateman@free.fr>
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diff
changeset
|
290 { |
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David Bateman <dbateman@free.fr>
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7017
diff
changeset
|
291 retval(1) = static_cast<double> (info); |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
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diff
changeset
|
292 if (LLt) |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
parents:
7017
diff
changeset
|
293 retval(0) = fact.chol_matrix ().transpose (); |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
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diff
changeset
|
294 else |
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David Bateman <dbateman@free.fr>
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diff
changeset
|
295 retval(0) = fact.chol_matrix (); |
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diff
changeset
|
296 } |
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diff
changeset
|
297 else |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
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diff
changeset
|
298 error ("chol: matrix not positive definite"); |
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David Bateman <dbateman@free.fr>
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diff
changeset
|
299 } |
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David Bateman <dbateman@free.fr>
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7017
diff
changeset
|
300 } |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
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diff
changeset
|
301 else if (arg.is_complex_type ()) |
3243 | 302 { |
7515
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David Bateman <dbateman@free.fr>
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diff
changeset
|
303 ComplexMatrix m = arg.complex_matrix_value (); |
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diff
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|
304 |
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David Bateman <dbateman@free.fr>
parents:
7017
diff
changeset
|
305 if (! error_state) |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
parents:
7017
diff
changeset
|
306 { |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
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7017
diff
changeset
|
307 octave_idx_type info; |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
308 ComplexCHOL fact (m, info); |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
parents:
7017
diff
changeset
|
309 if (nargout == 2 || info == 0) |
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David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
310 { |
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David Bateman <dbateman@free.fr>
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7017
diff
changeset
|
311 retval(1) = static_cast<double> (info); |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
parents:
7017
diff
changeset
|
312 if (LLt) |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
parents:
7017
diff
changeset
|
313 retval(0) = fact.chol_matrix ().hermitian (); |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
314 else |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
parents:
7017
diff
changeset
|
315 retval(0) = fact.chol_matrix (); |
f3c00dc0912b
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David Bateman <dbateman@free.fr>
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diff
changeset
|
316 } |
f3c00dc0912b
Eliminate the rest of the dispatched sparse functions
David Bateman <dbateman@free.fr>
parents:
7017
diff
changeset
|
317 else |
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318 error ("chol: matrix not positive definite"); |
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319 } |
3243 | 320 } |
3244 | 321 else |
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322 gripe_wrong_type_arg ("chol", arg); |
2928 | 323 } |
324 } | |
325 | |
326 return retval; | |
327 } | |
328 | |
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329 /* |
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330 |
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331 %!assert(chol ([2, 1; 1, 1]), [sqrt(2), 1/sqrt(2); 0, 1/sqrt(2)], sqrt (eps)); |
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332 %!assert(chol (single([2, 1; 1, 1])), single([sqrt(2), 1/sqrt(2); 0, 1/sqrt(2)]), sqrt (eps('single'))); |
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333 |
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334 %!error chol ([1, 2; 3, 4]); |
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335 %!error chol ([1, 2; 3, 4; 5, 6]); |
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336 %!error <Invalid call to chol.*> chol (); |
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337 %!error <unexpected second or third input.*> chol (1, 2); |
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338 |
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339 */ |
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340 |
5760 | 341 DEFUN_DLD (cholinv, args, , |
5340 | 342 "-*- texinfo -*-\n\ |
343 @deftypefn {Loadable Function} {} cholinv (@var{a})\n\ | |
5448 | 344 Use the Cholesky factorization to compute the inverse of the\n\ |
5340 | 345 symmetric positive definite matrix @var{a}.\n\ |
346 @seealso{chol, chol2inv}\n\ | |
347 @end deftypefn") | |
348 { | |
349 octave_value retval; | |
350 | |
351 int nargin = args.length (); | |
352 | |
353 if (nargin == 1) | |
354 { | |
355 octave_value arg = args(0); | |
356 | |
357 octave_idx_type nr = arg.rows (); | |
358 octave_idx_type nc = arg.columns (); | |
359 | |
360 if (nr == 0 || nc == 0) | |
361 retval = Matrix (); | |
362 else | |
363 { | |
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364 if (arg.is_sparse_type ()) |
5340 | 365 { |
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366 if (arg.is_real_type ()) |
5340 | 367 { |
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368 SparseMatrix m = arg.sparse_matrix_value (); |
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369 |
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370 if (! error_state) |
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371 { |
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372 octave_idx_type info; |
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373 SparseCHOL chol (m, info); |
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374 if (info == 0) |
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375 retval = chol.inverse (); |
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376 else |
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377 error ("cholinv: matrix not positive definite"); |
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378 } |
5340 | 379 } |
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380 else if (arg.is_complex_type ()) |
5340 | 381 { |
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382 SparseComplexMatrix m = arg.sparse_complex_matrix_value (); |
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383 |
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384 if (! error_state) |
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385 { |
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386 octave_idx_type info; |
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387 SparseComplexCHOL chol (m, info); |
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388 if (info == 0) |
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389 retval = chol.inverse (); |
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390 else |
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391 error ("cholinv: matrix not positive definite"); |
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392 } |
5340 | 393 } |
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394 else |
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395 gripe_wrong_type_arg ("cholinv", arg); |
5340 | 396 } |
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397 else if (arg.is_single_type ()) |
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398 { |
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399 if (arg.is_real_type ()) |
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400 { |
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401 FloatMatrix m = arg.float_matrix_value (); |
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402 |
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403 if (! error_state) |
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404 { |
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405 octave_idx_type info; |
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406 FloatCHOL chol (m, info); |
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407 if (info == 0) |
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408 retval = chol.inverse (); |
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409 else |
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410 error ("cholinv: matrix not positive definite"); |
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411 } |
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412 } |
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413 else if (arg.is_complex_type ()) |
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414 { |
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415 FloatComplexMatrix m = arg.float_complex_matrix_value (); |
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416 |
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417 if (! error_state) |
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418 { |
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419 octave_idx_type info; |
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420 FloatComplexCHOL chol (m, info); |
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421 if (info == 0) |
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422 retval = chol.inverse (); |
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423 else |
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424 error ("cholinv: matrix not positive definite"); |
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425 } |
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|
426 } |
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427 else |
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428 gripe_wrong_type_arg ("chol", arg); |
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429 } |
5340 | 430 else |
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431 { |
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432 if (arg.is_real_type ()) |
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433 { |
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434 Matrix m = arg.matrix_value (); |
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435 |
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436 if (! error_state) |
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437 { |
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|
438 octave_idx_type info; |
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439 CHOL chol (m, info); |
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440 if (info == 0) |
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441 retval = chol.inverse (); |
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|
442 else |
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|
443 error ("cholinv: matrix not positive definite"); |
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444 } |
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|
445 } |
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|
446 else if (arg.is_complex_type ()) |
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447 { |
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|
448 ComplexMatrix m = arg.complex_matrix_value (); |
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449 |
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|
450 if (! error_state) |
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|
451 { |
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|
452 octave_idx_type info; |
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453 ComplexCHOL chol (m, info); |
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454 if (info == 0) |
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455 retval = chol.inverse (); |
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456 else |
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|
457 error ("cholinv: matrix not positive definite"); |
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458 } |
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|
459 } |
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|
460 else |
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461 gripe_wrong_type_arg ("chol", arg); |
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462 } |
5340 | 463 } |
464 } | |
465 else | |
5823 | 466 print_usage (); |
5340 | 467 |
468 return retval; | |
469 } | |
470 | |
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471 /* |
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472 |
8871 | 473 %!shared A, Ainv |
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474 %! A = [2,0.2;0.2,1]; |
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475 %! Ainv = inv(A); |
8871 | 476 %!test |
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477 %! Ainv1 = cholinv(A); |
8871 | 478 %! assert (norm(Ainv-Ainv1),0,1e-10) |
479 %!testif HAVE_CHOLMOD | |
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480 %! Ainv2 = inv(sparse(A)); |
8871 | 481 %! assert (norm(Ainv-Ainv2),0,1e-10) |
8880
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482 %!testif HAVE_CHOLMOD |
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483 %! Ainv3 = cholinv(sparse(A)); |
8871 | 484 %! assert (norm(Ainv-Ainv3),0,1e-10) |
8880
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485 %!testif HAVE_CHOLMOD |
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486 %! Ainv4 = spcholinv(sparse(A)); |
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487 %! assert (norm(Ainv-Ainv4),0,1e-10) |
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488 |
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489 */ |
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490 |
5760 | 491 DEFUN_DLD (chol2inv, args, , |
5340 | 492 "-*- texinfo -*-\n\ |
5343 | 493 @deftypefn {Loadable Function} {} chol2inv (@var{u})\n\ |
5340 | 494 Invert a symmetric, positive definite square matrix from its Cholesky\n\ |
5343 | 495 decomposition, @var{u}. Note that @var{u} should be an upper-triangular\n\ |
496 matrix with positive diagonal elements. @code{chol2inv (@var{u})}\n\ | |
497 provides @code{inv (@var{u}'*@var{u})} but it is much faster than\n\ | |
498 using @code{inv}.\n\ | |
5340 | 499 @seealso{chol, cholinv}\n\ |
500 @end deftypefn") | |
501 { | |
502 octave_value retval; | |
503 | |
504 int nargin = args.length (); | |
505 | |
506 if (nargin == 1) | |
507 { | |
508 octave_value arg = args(0); | |
509 | |
510 octave_idx_type nr = arg.rows (); | |
511 octave_idx_type nc = arg.columns (); | |
512 | |
513 if (nr == 0 || nc == 0) | |
514 retval = Matrix (); | |
515 else | |
516 { | |
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517 if (arg.is_sparse_type ()) |
5340 | 518 { |
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519 if (arg.is_real_type ()) |
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520 { |
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521 SparseMatrix r = arg.sparse_matrix_value (); |
5340 | 522 |
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523 if (! error_state) |
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524 retval = chol2inv (r); |
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525 } |
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526 else if (arg.is_complex_type ()) |
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527 { |
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528 SparseComplexMatrix r = arg.sparse_complex_matrix_value (); |
5340 | 529 |
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530 if (! error_state) |
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531 retval = chol2inv (r); |
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532 } |
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533 else |
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534 gripe_wrong_type_arg ("chol2inv", arg); |
5340 | 535 } |
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536 else if (arg.is_single_type ()) |
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537 { |
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538 if (arg.is_real_type ()) |
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539 { |
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540 FloatMatrix r = arg.float_matrix_value (); |
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541 |
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542 if (! error_state) |
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543 retval = chol2inv (r); |
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544 } |
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545 else if (arg.is_complex_type ()) |
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546 { |
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547 FloatComplexMatrix r = arg.float_complex_matrix_value (); |
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548 |
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549 if (! error_state) |
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550 retval = chol2inv (r); |
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551 } |
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552 else |
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553 gripe_wrong_type_arg ("chol2inv", arg); |
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554 |
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555 } |
5340 | 556 else |
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557 { |
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558 if (arg.is_real_type ()) |
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559 { |
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560 Matrix r = arg.matrix_value (); |
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561 |
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562 if (! error_state) |
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563 retval = chol2inv (r); |
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564 } |
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565 else if (arg.is_complex_type ()) |
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566 { |
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567 ComplexMatrix r = arg.complex_matrix_value (); |
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568 |
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569 if (! error_state) |
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570 retval = chol2inv (r); |
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571 } |
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572 else |
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573 gripe_wrong_type_arg ("chol2inv", arg); |
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574 } |
5340 | 575 } |
576 } | |
577 else | |
5823 | 578 print_usage (); |
5340 | 579 |
580 return retval; | |
581 } | |
582 | |
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583 DEFUN_DLD (cholupdate, args, nargout, |
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584 "-*- texinfo -*-\n\ |
7650 | 585 @deftypefn {Loadable Function} {[@var{R1}, @var{info}] =} cholupdate (@var{R}, @var{u}, @var{op})\n\ |
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586 Update or downdate a Cholesky factorization. Given an upper triangular\n\ |
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587 matrix @var{R} and a column vector @var{u}, attempt to determine another\n\ |
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588 upper triangular matrix @var{R1} such that\n\ |
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589 @itemize @bullet\n\ |
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590 @item\n\ |
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591 @var{R1}'*@var{R1} = @var{R}'*@var{R} + @var{u}*@var{u}'\n\ |
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592 if @var{op} is \"+\"\n\ |
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593 @item\n\ |
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594 @var{R1}'*@var{R1} = @var{R}'*@var{R} - @var{u}*@var{u}'\n\ |
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595 if @var{op} is \"-\"\n\ |
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596 @end itemize\n\ |
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597 \n\ |
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598 If @var{op} is \"-\", @var{info} is set to\n\ |
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599 @itemize\n\ |
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600 @item 0 if the downdate was successful,\n\ |
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601 @item 1 if @var{R}'*@var{R} - @var{u}*@var{u}' is not positive definite,\n\ |
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602 @item 2 if @var{R} is singular.\n\ |
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603 @end itemize\n\ |
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604 \n\ |
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605 If @var{info} is not present, an error message is printed in cases 1 and 2.\n\ |
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606 @seealso{chol, qrupdate}\n\ |
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607 @end deftypefn") |
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608 { |
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609 octave_idx_type nargin = args.length (); |
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610 |
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611 octave_value_list retval; |
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612 |
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613 if (nargin > 3 || nargin < 2) |
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614 { |
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615 print_usage (); |
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616 return retval; |
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617 } |
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618 |
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619 octave_value argr = args(0); |
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620 octave_value argu = args(1); |
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621 |
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622 if (argr.is_matrix_type () && argu.is_matrix_type () |
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623 && (nargin < 3 || args(2).is_string ())) |
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624 { |
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625 octave_idx_type n = argr.rows (); |
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626 |
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627 std::string op = (nargin < 3) ? "+" : args(2).string_value (); |
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628 |
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629 bool down = op == "-"; |
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630 |
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631 if (down || op == "+") |
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632 if (argr.columns () == n && argu.rows () == n && argu.columns () == 1) |
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633 { |
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634 int err = 0; |
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635 if (argr.is_single_type () || argu.is_single_type ()) |
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636 { |
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637 if (argr.is_real_type () && argu.is_real_type ()) |
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638 { |
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639 // real case |
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640 FloatMatrix R = argr.float_matrix_value (); |
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|
641 FloatColumnVector u = argu.float_column_vector_value (); |
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implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
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|
642 |
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Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
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diff
changeset
|
643 FloatCHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
644 fact.set (R); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
645 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
646 if (down) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
647 err = fact.downdate (u); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
648 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
649 fact.update (u); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
650 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
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diff
changeset
|
651 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
652 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
653 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
654 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
655 // complex case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
656 FloatComplexMatrix R = argr.float_complex_matrix_value (); |
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imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
657 FloatComplexColumnVector u = argu.float_complex_column_vector_value (); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
658 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
659 FloatComplexCHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
660 fact.set (R); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
661 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
662 if (down) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
663 err = fact.downdate (u); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
664 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
665 fact.update (u); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
666 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
667 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
668 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
669 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
670 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
671 { |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
672 if (argr.is_real_type () && argu.is_real_type ()) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
673 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
674 // real case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
675 Matrix R = argr.matrix_value (); |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
676 ColumnVector u = argu.column_vector_value (); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
677 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
678 CHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
679 fact.set (R); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
680 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
681 if (down) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
682 err = fact.downdate (u); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
683 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
684 fact.update (u); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
685 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
686 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
687 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
688 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
689 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
690 // complex case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
691 ComplexMatrix R = argr.complex_matrix_value (); |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
692 ComplexColumnVector u = argu.complex_column_vector_value (); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
693 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
694 ComplexCHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
695 fact.set (R); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
696 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
697 if (down) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
698 err = fact.downdate (u); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
699 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
700 fact.update (u); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
701 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
702 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
703 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
704 } |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
705 |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
706 if (nargout > 1) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
707 retval(1) = err; |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
708 else if (err == 1) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
709 error ("cholupdate: downdate violates positiveness"); |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
710 else if (err == 2) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
711 error ("cholupdate: singular matrix"); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
712 } |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
713 else |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
714 error ("cholupdate: dimension mismatch"); |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
715 else |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
716 error ("cholupdate: op must be \"+\" or \"-\""); |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
717 } |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
718 else |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
719 print_usage (); |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
720 |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
721 return retval; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
722 } |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
723 |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
724 /* |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
725 %!shared A, u, Ac, uc |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
726 %! A = [ 0.436997 -0.131721 0.124120 -0.061673 ; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
727 %! -0.131721 0.738529 0.019851 -0.140295 ; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
728 %! 0.124120 0.019851 0.354879 -0.059472 ; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
729 %! -0.061673 -0.140295 -0.059472 0.600939 ]; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
730 %! |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
731 %! u = [ 0.98950 ; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
732 %! 0.39844 ; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
733 %! 0.63484 ; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
734 %! 0.13351 ]; |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
735 %! Ac = [ 0.5585528 + 0.0000000i -0.1662088 - 0.0315341i 0.0107873 + 0.0236411i -0.0276775 - 0.0186073i ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
736 %! -0.1662088 + 0.0315341i 0.6760061 + 0.0000000i 0.0011452 - 0.0475528i 0.0145967 + 0.0247641i ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
737 %! 0.0107873 - 0.0236411i 0.0011452 + 0.0475528i 0.6263149 - 0.0000000i -0.1585837 - 0.0719763i ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
738 %! -0.0276775 + 0.0186073i 0.0145967 - 0.0247641i -0.1585837 + 0.0719763i 0.6034234 - 0.0000000i ]; |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
739 %! |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
740 %! uc = [ 0.54267 + 0.91519i ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
741 %! 0.99647 + 0.43141i ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
742 %! 0.83760 + 0.68977i ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
743 %! 0.39160 + 0.90378i ]; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
744 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
745 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
746 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
747 %!test |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
748 %! R = chol(A); |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
749 %! |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
750 %! R1 = cholupdate(R,u); |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
751 %! |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
752 %! assert(norm(triu(R1)-R1,Inf) == 0) |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
753 %! assert(norm(R1'*R1 - R'*R - u*u',Inf) < 1e1*eps) |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
754 %! |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
755 %! R1 = cholupdate(R1,u,"-"); |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
756 %! |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
757 %! assert(norm(triu(R1)-R1,Inf) == 0) |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
758 %! assert(norm(R1 - R,Inf) < 1e1*eps) |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
759 %! |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
760 %!test |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
761 %! R = chol(Ac); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
762 %! |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
763 %! R1 = cholupdate(R,uc); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
764 %! |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
765 %! assert(norm(triu(R1)-R1,Inf) == 0) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
766 %! assert(norm(R1'*R1 - R'*R - uc*uc',Inf) < 1e1*eps) |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
767 %! |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
768 %! R1 = cholupdate(R1,uc,"-"); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
769 %! |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
770 %! assert(norm(triu(R1)-R1,Inf) == 0) |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
771 %! assert(norm(R1 - R,Inf) < 1e1*eps) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
772 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
773 %!test |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
774 %! R = chol(single(A)); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
775 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
776 %! R1 = cholupdate(R,single(u)); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
777 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
778 %! assert(norm(triu(R1)-R1,Inf) == 0) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
779 %! assert(norm(R1'*R1 - R'*R - single(u*u'),Inf) < 1e1*eps('single')) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
780 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
781 %! R1 = cholupdate(R1,single(u),"-"); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
782 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
783 %! assert(norm(triu(R1)-R1,Inf) == 0) |
8066
366821c0c01c
Adjust tolerance to single precision test.
Ben Abbott <bpabbott@mac.com>
parents:
7924
diff
changeset
|
784 %! assert(norm(R1 - R,Inf) < 2e1*eps('single')) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
785 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
786 %!test |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
787 %! R = chol(single(Ac)); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
788 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
789 %! R1 = cholupdate(R,single(uc)); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
790 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
791 %! assert(norm(triu(R1)-R1,Inf) == 0) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
792 %! assert(norm(R1'*R1 - R'*R - single(uc*uc'),Inf) < 1e1*eps('single')) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
793 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
794 %! R1 = cholupdate(R1,single(uc),"-"); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
795 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
796 %! assert(norm(triu(R1)-R1,Inf) == 0) |
8066
366821c0c01c
Adjust tolerance to single precision test.
Ben Abbott <bpabbott@mac.com>
parents:
7924
diff
changeset
|
797 %! assert(norm(R1 - R,Inf) < 2e1*eps('single')) |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
798 */ |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
799 |
7700
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
800 DEFUN_DLD (cholinsert, args, nargout, |
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more QR & Cholesky updating functions
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parents:
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diff
changeset
|
801 "-*- texinfo -*-\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
7650
diff
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|
802 @deftypefn {Loadable Function} {[@var{R1}, @var{info}] =} cholinsert (@var{R}, @var{j}, @var{u})\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
803 Given a Cholesky@tie{}factorization of a real symmetric or complex hermitian\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
804 positive definite matrix @w{@var{A} = @var{R}'*@var{R}}, @var{R}@tie{}upper triangular,\n\ |
8284
4ceffd54031a
fix docs for cholinsert, choldelete, cholshift
Jaroslav Hajek <highegg@gmail.com>
parents:
8066
diff
changeset
|
805 return the Cholesky@tie{}factorization of\n\ |
7700
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more QR & Cholesky updating functions
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diff
changeset
|
806 @var{A1}, where @w{A1(p,p) = A}, @w{A1(:,j) = A1(j,:)' = u} and\n\ |
9064
7c02ec148a3c
Check grammar on all .cc files
Rik <rdrider0-list@yahoo.com>
parents:
8880
diff
changeset
|
807 @w{p = [1:j-1,j+1:n+1]}. @w{u(j)} should be positive.\n\ |
7700
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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changeset
|
808 On return, @var{info} is set to\n\ |
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more QR & Cholesky updating functions
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diff
changeset
|
809 @itemize\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
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|
810 @item 0 if the insertion was successful,\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
811 @item 1 if @var{A1} is not positive definite,\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
812 @item 2 if @var{R} is singular.\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
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diff
changeset
|
813 @end itemize\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
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changeset
|
814 \n\ |
efccca5f2ad7
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parents:
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diff
changeset
|
815 If @var{info} is not present, an error message is printed in cases 1 and 2.\n\ |
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more QR & Cholesky updating functions
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parents:
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diff
changeset
|
816 @seealso{chol, cholupdate, choldelete}\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
817 @end deftypefn") |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
818 { |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
819 octave_idx_type nargin = args.length (); |
efccca5f2ad7
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parents:
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diff
changeset
|
820 |
efccca5f2ad7
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parents:
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diff
changeset
|
821 octave_value_list retval; |
efccca5f2ad7
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parents:
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diff
changeset
|
822 |
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changeset
|
823 if (nargin != 3) |
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more QR & Cholesky updating functions
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parents:
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diff
changeset
|
824 { |
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parents:
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diff
changeset
|
825 print_usage (); |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
826 return retval; |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
827 } |
efccca5f2ad7
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parents:
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diff
changeset
|
828 |
efccca5f2ad7
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changeset
|
829 octave_value argr = args(0); |
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more QR & Cholesky updating functions
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diff
changeset
|
830 octave_value argj = args(1); |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
831 octave_value argu = args(2); |
efccca5f2ad7
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parents:
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diff
changeset
|
832 |
efccca5f2ad7
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parents:
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diff
changeset
|
833 if (argr.is_matrix_type () && argu.is_matrix_type () |
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more QR & Cholesky updating functions
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parents:
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diff
changeset
|
834 && argj.is_real_scalar ()) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
835 { |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
836 octave_idx_type n = argr.rows (); |
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parents:
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diff
changeset
|
837 octave_idx_type j = argj.scalar_value (); |
efccca5f2ad7
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parents:
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diff
changeset
|
838 |
efccca5f2ad7
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parents:
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diff
changeset
|
839 if (argr.columns () == n && argu.rows () == n+1 && argu.columns () == 1) |
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parents:
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diff
changeset
|
840 { |
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parents:
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diff
changeset
|
841 if (j > 0 && j <= n+1) |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
842 { |
8547
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imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
843 int err = 0; |
7814
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Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
844 if (argr.is_single_type () || argu.is_single_type ()) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
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parents:
7789
diff
changeset
|
845 { |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
846 if (argr.is_real_type () && argu.is_real_type ()) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
847 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
848 // real case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
849 FloatMatrix R = argr.float_matrix_value (); |
8547
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imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
850 FloatColumnVector u = argu.float_column_vector_value (); |
7814
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Second set of single precision test code and fix of resulting bugs
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parents:
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diff
changeset
|
851 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
852 FloatCHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
853 fact.set (R); |
8547
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imported patch qrupdate.diff
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parents:
8517
diff
changeset
|
854 err = fact.insert_sym (u, j-1); |
7700
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diff
changeset
|
855 |
7814
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Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
856 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
857 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
858 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
859 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
860 // complex case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
861 FloatComplexMatrix R = argr.float_complex_matrix_value (); |
8547
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imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
862 FloatComplexColumnVector u = argu.float_complex_column_vector_value (); |
7700
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changeset
|
863 |
7814
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Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
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diff
changeset
|
864 FloatComplexCHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
865 fact.set (R); |
8547
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imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
866 err = fact.insert_sym (u, j-1); |
7700
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changeset
|
867 |
7814
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Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
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diff
changeset
|
868 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
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7789
diff
changeset
|
869 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
870 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
871 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
872 { |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
873 if (argr.is_real_type () && argu.is_real_type ()) |
7814
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Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
874 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
875 // real case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
876 Matrix R = argr.matrix_value (); |
8547
d66c9b6e506a
imported patch qrupdate.diff
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parents:
8517
diff
changeset
|
877 ColumnVector u = argu.column_vector_value (); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
878 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
879 CHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
880 fact.set (R); |
8547
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imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
881 err = fact.insert_sym (u, j-1); |
7700
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changeset
|
882 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
883 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
884 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
885 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
886 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
887 // complex case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
888 ComplexMatrix R = argr.complex_matrix_value (); |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
889 ComplexColumnVector u = argu.complex_column_vector_value (); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
890 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
891 ComplexCHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
892 fact.set (R); |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
893 err = fact.insert_sym (u, j-1); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
894 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
895 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
896 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
897 } |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
898 |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
899 if (nargout > 1) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
900 retval(1) = err; |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
901 else if (err == 1) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
902 error ("cholinsert: insertion violates positiveness"); |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
903 else if (err == 2) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
904 error ("cholinsert: singular matrix"); |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
905 else if (err == 3) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
906 error ("cholinsert: diagonal element must be real"); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
907 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
908 else |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
909 error ("cholinsert: index out of range"); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
910 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
911 else |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
912 error ("cholinsert: dimension mismatch"); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
913 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
914 else |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
915 print_usage (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
916 |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
917 return retval; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
918 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
919 |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
920 /* |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
921 %!test |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
922 %! u2 = [ 0.35080 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
923 %! 0.63930 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
924 %! 3.31057 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
925 %! -0.13825 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
926 %! 0.45266 ]; |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
927 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
928 %! R = chol(A); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
929 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
930 %! j = 3; p = [1:j-1, j+1:5]; |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
931 %! R1 = cholinsert(R,j,u2); A1 = R1'*R1; |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
932 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
933 %! assert(norm(triu(R1)-R1,Inf) == 0) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
934 %! assert(norm(A1(p,p) - A,Inf) < 1e1*eps) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
935 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
936 %!test |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
937 %! u2 = [ 0.35080 + 0.04298i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
938 %! 0.63930 + 0.23778i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
939 %! 3.31057 + 0.00000i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
940 %! -0.13825 + 0.19879i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
941 %! 0.45266 + 0.50020i]; |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
942 %! |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
943 %! R = chol(Ac); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
944 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
945 %! j = 3; p = [1:j-1, j+1:5]; |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
946 %! R1 = cholinsert(R,j,u2); A1 = R1'*R1; |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
947 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
948 %! assert(norm(triu(R1)-R1,Inf) == 0) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
949 %! assert(norm(A1(p,p) - Ac,Inf) < 1e1*eps) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
950 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
951 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
952 %!test |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
953 %! u2 = single ([ 0.35080 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
954 %! 0.63930 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
955 %! 3.31057 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
956 %! -0.13825 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
957 %! 0.45266 ]); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
958 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
959 %! R = chol(single(A)); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
960 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
961 %! j = 3; p = [1:j-1, j+1:5]; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
962 %! R1 = cholinsert(R,j,u2); A1 = R1'*R1; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
963 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
964 %! assert(norm(triu(R1)-R1,Inf) == 0) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
965 %! assert(norm(A1(p,p) - A,Inf) < 1e1*eps('single')) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
966 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
967 %!test |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
968 %! u2 = single ([ 0.35080 + 0.04298i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
969 %! 0.63930 + 0.23778i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
970 %! 3.31057 + 0.00000i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
971 %! -0.13825 + 0.19879i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
972 %! 0.45266 + 0.50020i]); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
973 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
974 %! R = chol(single(Ac)); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
975 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
976 %! j = 3; p = [1:j-1, j+1:5]; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
977 %! R1 = cholinsert(R,j,u2); A1 = R1'*R1; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
978 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
979 %! assert(norm(triu(R1)-R1,Inf) == 0) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
980 %! assert(norm(A1(p,p) - single(Ac),Inf) < 1e1*eps('single')) |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
981 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
982 */ |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
983 |
7924 | 984 DEFUN_DLD (choldelete, args, , |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
985 "-*- texinfo -*-\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
986 @deftypefn {Loadable Function} {@var{R1} =} choldelete (@var{R}, @var{j})\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
987 Given a Cholesky@tie{}factorization of a real symmetric or complex hermitian\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
988 positive definite matrix @w{@var{A} = @var{R}'*@var{R}}, @var{R}@tie{}upper triangular,\n\ |
8284
4ceffd54031a
fix docs for cholinsert, choldelete, cholshift
Jaroslav Hajek <highegg@gmail.com>
parents:
8066
diff
changeset
|
989 return the Cholesky@tie{}factorization of @w{A(p,p)}, where @w{p = [1:j-1,j+1:n+1]}.\n\ |
7700
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
7650
diff
changeset
|
990 @seealso{chol, cholupdate, cholinsert}\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
991 @end deftypefn") |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
992 { |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
993 octave_idx_type nargin = args.length (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
994 |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
995 octave_value_list retval; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
996 |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
997 if (nargin != 2) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
998 { |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
999 print_usage (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1000 return retval; |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
7650
diff
changeset
|
1001 } |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
1002 |
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parents:
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diff
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|
1003 octave_value argr = args(0); |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
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|
1004 octave_value argj = args(1); |
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more QR & Cholesky updating functions
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parents:
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diff
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|
1005 |
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parents:
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diff
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|
1006 if (argr.is_matrix_type () && argj.is_real_scalar ()) |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
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|
1007 { |
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more QR & Cholesky updating functions
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diff
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|
1008 octave_idx_type n = argr.rows (); |
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more QR & Cholesky updating functions
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parents:
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diff
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|
1009 octave_idx_type j = argj.scalar_value (); |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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|
1010 |
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Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
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|
1011 if (argr.columns () == n) |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
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|
1012 { |
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more QR & Cholesky updating functions
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parents:
7650
diff
changeset
|
1013 if (j > 0 && j <= n) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
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|
1014 { |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1015 if (argr.is_single_type ()) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1016 { |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
1017 if (argr.is_real_type ()) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1018 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1019 // real case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1020 FloatMatrix R = argr.float_matrix_value (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1021 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1022 FloatCHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1023 fact.set (R); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1024 fact.delete_sym (j-1); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
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|
1025 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1026 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1027 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1028 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1029 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1030 // complex case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1031 FloatComplexMatrix R = argr.float_complex_matrix_value (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1032 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1033 FloatComplexCHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1034 fact.set (R); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1035 fact.delete_sym (j-1); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
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|
1036 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1037 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1038 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1039 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1040 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1041 { |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
1042 if (argr.is_real_type ()) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1043 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1044 // real case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1045 Matrix R = argr.matrix_value (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1046 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1047 CHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1048 fact.set (R); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1049 fact.delete_sym (j-1); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1050 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1051 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1052 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1053 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1054 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1055 // complex case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1056 ComplexMatrix R = argr.complex_matrix_value (); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1057 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1058 ComplexCHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1059 fact.set (R); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1060 fact.delete_sym (j-1); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1061 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1062 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1063 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1064 } |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1065 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1066 else |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1067 error ("choldelete: index out of range"); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1068 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1069 else |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1070 error ("choldelete: dimension mismatch"); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1071 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1072 else |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1073 print_usage (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1074 |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1075 return retval; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1076 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1077 |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1078 /* |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1079 %!test |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1080 %! R = chol(A); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1081 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1082 %! j = 3; p = [1:j-1,j+1:4]; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1083 %! R1 = choldelete(R,j); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1084 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1085 %! assert(norm(triu(R1)-R1,Inf) == 0) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1086 %! assert(norm(R1'*R1 - A(p,p),Inf) < 1e1*eps) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1087 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1088 %!test |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1089 %! R = chol(Ac); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1090 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1091 %! j = 3; p = [1:j-1,j+1:4]; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1092 %! R1 = choldelete(R,j); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1093 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1094 %! assert(norm(triu(R1)-R1,Inf) == 0) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1095 %! assert(norm(R1'*R1 - Ac(p,p),Inf) < 1e1*eps) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1096 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1097 %!test |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1098 %! R = chol(single(A)); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1099 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1100 %! j = 3; p = [1:j-1,j+1:4]; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1101 %! R1 = choldelete(R,j); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1102 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1103 %! assert(norm(triu(R1)-R1,Inf) == 0) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1104 %! assert(norm(R1'*R1 - single(A(p,p)),Inf) < 1e1*eps('single')) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1105 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1106 %!test |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1107 %! R = chol(single(Ac)); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1108 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1109 %! j = 3; p = [1:j-1,j+1:4]; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1110 %! R1 = choldelete(R,j); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1111 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1112 %! assert(norm(triu(R1)-R1,Inf) == 0) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1113 %! assert(norm(R1'*R1 - single(Ac(p,p)),Inf) < 1e1*eps('single')) |
7700
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parents:
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diff
changeset
|
1114 */ |
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diff
changeset
|
1115 |
7924 | 1116 DEFUN_DLD (cholshift, args, , |
7700
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diff
changeset
|
1117 "-*- texinfo -*-\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
1118 @deftypefn {Loadable Function} {@var{R1} =} cholshift (@var{R}, @var{i}, @var{j})\n\ |
efccca5f2ad7
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parents:
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diff
changeset
|
1119 Given a Cholesky@tie{}factorization of a real symmetric or complex hermitian\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
changeset
|
1120 positive definite matrix @w{@var{A} = @var{R}'*@var{R}}, @var{R}@tie{}upper triangular,\n\ |
8284
4ceffd54031a
fix docs for cholinsert, choldelete, cholshift
Jaroslav Hajek <highegg@gmail.com>
parents:
8066
diff
changeset
|
1121 return the Cholesky@tie{}factorization of\n\ |
7700
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more QR & Cholesky updating functions
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7650
diff
changeset
|
1122 @w{@var{A}(p,p)}, where @w{p} is the permutation @*\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1123 @code{p = [1:i-1, shift(i:j, 1), j+1:n]} if @w{@var{i} < @var{j}} @*\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1124 or @*\n\ |
9064
7c02ec148a3c
Check grammar on all .cc files
Rik <rdrider0-list@yahoo.com>
parents:
8880
diff
changeset
|
1125 @code{p = [1:j-1, shift(j:i,-1), i+1:n]} if @w{@var{j} < @var{i}}. @*\n\ |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1126 \n\ |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1127 @seealso{chol, cholinsert, choldelete}\n\ |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
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|
1128 @end deftypefn") |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
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|
1129 { |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1130 octave_idx_type nargin = args.length (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
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|
1131 |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
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diff
changeset
|
1132 octave_value_list retval; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
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|
1133 |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1134 if (nargin != 3) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1135 { |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1136 print_usage (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1137 return retval; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1138 } |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1139 |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1140 octave_value argr = args(0); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1141 octave_value argi = args(1); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1142 octave_value argj = args(2); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1143 |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1144 if (argr.is_matrix_type () && argi.is_real_scalar () && argj.is_real_scalar ()) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1145 { |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1146 octave_idx_type n = argr.rows (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1147 octave_idx_type i = argi.scalar_value (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1148 octave_idx_type j = argj.scalar_value (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1149 |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1150 if (argr.columns () == n) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1151 { |
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more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1152 if (j > 0 && j <= n+1 && i > 0 && i <= n+1) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1153 { |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1154 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1155 if (argr.is_single_type () && argi.is_single_type () && |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1156 argj.is_single_type ()) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1157 { |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
1158 if (argr.is_real_type ()) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1159 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1160 // real case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1161 FloatMatrix R = argr.float_matrix_value (); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
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diff
changeset
|
1162 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1163 FloatCHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1164 fact.set (R); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1165 fact.shift_sym (i-1, j-1); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1166 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1167 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1168 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1169 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1170 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1171 // complex case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1172 FloatComplexMatrix R = argr.float_complex_matrix_value (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1173 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1174 FloatComplexCHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1175 fact.set (R); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1176 fact.shift_sym (i-1, j-1); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
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parents:
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diff
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|
1177 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1178 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1179 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1180 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1181 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1182 { |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
1183 if (argr.is_real_type ()) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1184 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1185 // real case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1186 Matrix R = argr.matrix_value (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1187 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1188 CHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1189 fact.set (R); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1190 fact.shift_sym (i-1, j-1); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1191 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1192 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1193 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1194 else |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1195 { |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1196 // complex case |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1197 ComplexMatrix R = argr.complex_matrix_value (); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1198 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1199 ComplexCHOL fact; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1200 fact.set (R); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1201 fact.shift_sym (i-1, j-1); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1202 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1203 retval(0) = fact.chol_matrix (); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1204 } |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1205 } |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1206 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1207 else |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1208 error ("cholshift: index out of range"); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1209 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1210 else |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1211 error ("cholshift: dimension mismatch"); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1212 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1213 else |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1214 print_usage (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1215 |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1216 return retval; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1217 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1218 |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1219 /* |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1220 %!test |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1221 %! R = chol(A); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1222 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1223 %! i = 1; j = 3; p = [1:i-1, shift(i:j,-1), j+1:4]; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1224 %! R1 = cholshift(R,i,j); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1225 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1226 %! assert(norm(triu(R1)-R1,Inf) == 0) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1227 %! assert(norm(R1'*R1 - A(p,p),Inf) < 1e1*eps) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1228 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1229 %! j = 1; i = 3; p = [1:j-1, shift(j:i,+1), i+1:4]; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1230 %! R1 = cholshift(R,i,j); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1231 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1232 %! assert(norm(triu(R1)-R1,Inf) == 0) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1233 %! assert(norm(R1'*R1 - A(p,p),Inf) < 1e1*eps) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1234 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1235 %!test |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1236 %! R = chol(Ac); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1237 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1238 %! i = 1; j = 3; p = [1:i-1, shift(i:j,-1), j+1:4]; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1239 %! R1 = cholshift(R,i,j); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1240 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1241 %! assert(norm(triu(R1)-R1,Inf) == 0) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1242 %! assert(norm(R1'*R1 - Ac(p,p),Inf) < 1e1*eps) |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1243 %! |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1244 %! j = 1; i = 3; p = [1:j-1, shift(j:i,+1), i+1:4]; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1245 %! R1 = cholshift(R,i,j); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1246 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1247 %! assert(norm(triu(R1)-R1,Inf) == 0) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1248 %! assert(norm(R1'*R1 - Ac(p,p),Inf) < 1e1*eps) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1249 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1250 %!test |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1251 %! R = chol(single(A)); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1252 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1253 %! i = 1; j = 3; p = [1:i-1, shift(i:j,-1), j+1:4]; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1254 %! R1 = cholshift(R,i,j); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1255 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1256 %! assert(norm(triu(R1)-R1,Inf) == 0) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1257 %! assert(norm(R1'*R1 - single(A(p,p)),Inf) < 1e1*eps('single')) |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1258 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1259 %! j = 1; i = 3; p = [1:j-1, shift(j:i,+1), i+1:4]; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1260 %! R1 = cholshift(R,i,j); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1261 %! |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1262 %! assert(norm(triu(R1)-R1,Inf) == 0) |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1263 %! assert(norm(R1'*R1 - single(A(p,p)),Inf) < 1e1*eps('single')) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1264 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1265 %!test |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1266 %! R = chol(single(Ac)); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1267 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1268 %! i = 1; j = 3; p = [1:i-1, shift(i:j,-1), j+1:4]; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1269 %! R1 = cholshift(R,i,j); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1270 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1271 %! assert(norm(triu(R1)-R1,Inf) == 0) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1272 %! assert(norm(R1'*R1 - single(Ac(p,p)),Inf) < 1e1*eps('single')) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1273 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1274 %! j = 1; i = 3; p = [1:j-1, shift(j:i,+1), i+1:4]; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1275 %! R1 = cholshift(R,i,j); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1276 %! |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1277 %! assert(norm(triu(R1)-R1,Inf) == 0) |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1278 %! assert(norm(R1'*R1 - single(Ac(p,p)),Inf) < 1e1*eps('single')) |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1279 */ |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
1280 |
2928 | 1281 /* |
1282 ;;; Local Variables: *** | |
1283 ;;; mode: C++ *** | |
1284 ;;; End: *** | |
1285 */ | |
1286 |