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* fCmplxCHOL.cc: Use numel instead of length.
author John W. Eaton <jwe@octave.org>
date Fri, 05 Feb 2016 14:53:10 -0500
parents f7121e111991
children
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1 /*
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2
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3 Copyright (C) 1994-2015 John W. Eaton
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4 Copyright (C) 2008-2009 Jaroslav Hajek
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5
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6 This file is part of Octave.
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7
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8 Octave is free software; you can redistribute it and/or modify it
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9 under the terms of the GNU General Public License as published by the
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10 Free Software Foundation; either version 3 of the License, or (at your
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11 option) any later version.
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12
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13 Octave is distributed in the hope that it will be useful, but WITHOUT
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14 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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15 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
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16 for more details.
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17
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18 You should have received a copy of the GNU General Public License
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19 along with Octave; see the file COPYING. If not, see
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20 <http://www.gnu.org/licenses/>.
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21
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22 */
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23
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24 #ifdef HAVE_CONFIG_H
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25 # include <config.h>
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26 #endif
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27
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28 #include <vector>
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29
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30 #include "fMatrix.h"
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31 #include "fRowVector.h"
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32 #include "fCmplxCHOL.h"
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33 #include "f77-fcn.h"
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34 #include "lo-error.h"
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35 #include "oct-locbuf.h"
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36 #include "oct-norm.h"
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37 #ifndef HAVE_QRUPDATE
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38 # include "dbleQR.h"
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39 #endif
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40
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41 extern "C"
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42 {
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43 F77_RET_T
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44 F77_FUNC (cpotrf, CPOTRF) (F77_CONST_CHAR_ARG_DECL,
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45 const octave_idx_type&, FloatComplex*,
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46 const octave_idx_type&, octave_idx_type&
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47 F77_CHAR_ARG_LEN_DECL);
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48 F77_RET_T
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49 F77_FUNC (cpotri, CPOTRI) (F77_CONST_CHAR_ARG_DECL,
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50 const octave_idx_type&, FloatComplex*,
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51 const octave_idx_type&, octave_idx_type&
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52 F77_CHAR_ARG_LEN_DECL);
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53
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54 F77_RET_T
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55 F77_FUNC (cpocon, CPOCON) (F77_CONST_CHAR_ARG_DECL,
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56 const octave_idx_type&, FloatComplex*,
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57 const octave_idx_type&, const float&,
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58 float&, FloatComplex*, float*, octave_idx_type&
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59 F77_CHAR_ARG_LEN_DECL);
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60 #ifdef HAVE_QRUPDATE
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61
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62 F77_RET_T
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63 F77_FUNC (cch1up, CCH1UP) (const octave_idx_type&, FloatComplex*,
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64 const octave_idx_type&, FloatComplex*, float*);
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65
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66 F77_RET_T
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67 F77_FUNC (cch1dn, CCH1DN) (const octave_idx_type&, FloatComplex*,
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68 const octave_idx_type&, FloatComplex*,
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69 float*, octave_idx_type&);
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70
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71 F77_RET_T
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72 F77_FUNC (cchinx, CCHINX) (const octave_idx_type&, FloatComplex*,
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73 const octave_idx_type&, const octave_idx_type&,
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74 FloatComplex*, float*, octave_idx_type&);
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75
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76 F77_RET_T
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77 F77_FUNC (cchdex, CCHDEX) (const octave_idx_type&, FloatComplex*,
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78 const octave_idx_type&, const octave_idx_type&,
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79 float*);
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80
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81 F77_RET_T
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82 F77_FUNC (cchshx, CCHSHX) (const octave_idx_type&, FloatComplex*,
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83 const octave_idx_type&, const octave_idx_type&,
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84 const octave_idx_type&, FloatComplex*, float*);
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85 #endif
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86 }
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87
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88 octave_idx_type
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89 FloatComplexCHOL::init (const FloatComplexMatrix& a, bool upper, bool calc_cond)
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90 {
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91 octave_idx_type a_nr = a.rows ();
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92 octave_idx_type a_nc = a.cols ();
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93
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94 if (a_nr != a_nc)
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95 (*current_liboctave_error_handler)
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96 ("FloatComplexCHOL requires square matrix");
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97
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98 octave_idx_type n = a_nc;
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99 octave_idx_type info;
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100
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101 is_upper = upper;
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102
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103 chol_mat.clear (n, n);
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104 if (is_upper)
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105 for (octave_idx_type j = 0; j < n; j++)
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106 {
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107 for (octave_idx_type i = 0; i <= j; i++)
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108 chol_mat.xelem (i, j) = a(i, j);
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109 for (octave_idx_type i = j+1; i < n; i++)
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110 chol_mat.xelem (i, j) = 0.0f;
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111 }
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112 else
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113 for (octave_idx_type j = 0; j < n; j++)
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114 {
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115 for (octave_idx_type i = 0; i < j; i++)
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116 chol_mat.xelem (i, j) = 0.0f;
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117 for (octave_idx_type i = j; i < n; i++)
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118 chol_mat.xelem (i, j) = a(i, j);
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119 }
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120 FloatComplex *h = chol_mat.fortran_vec ();
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121
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122 // Calculate the norm of the matrix, for later use.
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123 float anorm = 0;
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124 if (calc_cond)
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125 anorm = xnorm (a, 1);
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126
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127 if (is_upper)
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128 F77_XFCN (cpotrf, CPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1), n, h, n, info
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129 F77_CHAR_ARG_LEN (1)));
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130 else
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131 F77_XFCN (cpotrf, CPOTRF, (F77_CONST_CHAR_ARG2 ("L", 1), n, h, n, info
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132 F77_CHAR_ARG_LEN (1)));
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133
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134 xrcond = 0.0;
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135 if (info > 0)
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136 chol_mat.resize (info - 1, info - 1);
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137 else if (calc_cond)
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138 {
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139 octave_idx_type cpocon_info = 0;
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140
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141 // Now calculate the condition number for non-singular matrix.
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142 Array<FloatComplex> z (dim_vector (2*n, 1));
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143 FloatComplex *pz = z.fortran_vec ();
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144 Array<float> rz (dim_vector (n, 1));
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145 float *prz = rz.fortran_vec ();
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146 F77_XFCN (cpocon, CPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h,
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147 n, anorm, xrcond, pz, prz, cpocon_info
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148 F77_CHAR_ARG_LEN (1)));
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149
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150 if (cpocon_info != 0)
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151 info = -1;
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152 }
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153
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154 return info;
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155 }
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156
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157 static FloatComplexMatrix
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158 chol2inv_internal (const FloatComplexMatrix& r, bool is_upper = true)
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159 {
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160 FloatComplexMatrix retval;
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161
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162 octave_idx_type r_nr = r.rows ();
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163 octave_idx_type r_nc = r.cols ();
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164
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165 if (r_nr != r_nc)
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166 (*current_liboctave_error_handler) ("chol2inv requires square matrix");
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167
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168 octave_idx_type n = r_nc;
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169 octave_idx_type info;
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170
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171 FloatComplexMatrix tmp = r;
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172
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173 if (is_upper)
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174 F77_XFCN (cpotri, CPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n,
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175 tmp.fortran_vec (), n, info
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176 F77_CHAR_ARG_LEN (1)));
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177 else
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178 F77_XFCN (cpotri, CPOTRI, (F77_CONST_CHAR_ARG2 ("L", 1), n,
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179 tmp.fortran_vec (), n, info
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180 F77_CHAR_ARG_LEN (1)));
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181
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182 // If someone thinks of a more graceful way of doing this (or
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183 // faster for that matter :-)), please let me know!
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184
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185 if (n > 1)
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186 {
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187 if (is_upper)
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188 for (octave_idx_type j = 0; j < r_nc; j++)
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189 for (octave_idx_type i = j+1; i < r_nr; i++)
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190 tmp.xelem (i, j) = tmp.xelem (j, i);
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191 else
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192 for (octave_idx_type j = 0; j < r_nc; j++)
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193 for (octave_idx_type i = j+1; i < r_nr; i++)
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194 tmp.xelem (j, i) = tmp.xelem (i, j);
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195 }
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196
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197 retval = tmp;
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198
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199 return retval;
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200 }
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201
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202 // Compute the inverse of a matrix using the Cholesky factorization.
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203 FloatComplexMatrix
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204 FloatComplexCHOL::inverse (void) const
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205 {
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206 return chol2inv_internal (chol_mat, is_upper);
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207 }
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208
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209 void
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210 FloatComplexCHOL::set (const FloatComplexMatrix& R)
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211 {
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212 if (! R.is_square ())
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213 (*current_liboctave_error_handler) ("CHOL requires square matrix");
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214
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215 chol_mat = R;
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216 }
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217
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218 #ifdef HAVE_QRUPDATE
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219
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220 void
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221 FloatComplexCHOL::update (const FloatComplexColumnVector& u)
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222 {
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223 octave_idx_type n = chol_mat.rows ();
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224
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225 if (u.numel () != n)
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226 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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227
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228 FloatComplexColumnVector utmp = u;
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229
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230 OCTAVE_LOCAL_BUFFER (float, rw, n);
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231
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232 F77_XFCN (cch1up, CCH1UP, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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233 utmp.fortran_vec (), rw));
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234 }
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235
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236 octave_idx_type
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237 FloatComplexCHOL::downdate (const FloatComplexColumnVector& u)
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238 {
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239 octave_idx_type info = -1;
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240
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241 octave_idx_type n = chol_mat.rows ();
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242
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diff changeset
243 if (u.numel () != n)
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244 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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245
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246 FloatComplexColumnVector utmp = u;
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247
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248 OCTAVE_LOCAL_BUFFER (float, rw, n);
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249
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250 F77_XFCN (cch1dn, CCH1DN, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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251 utmp.fortran_vec (), rw, info));
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252
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253 return info;
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254 }
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255
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256 octave_idx_type
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diff changeset
257 FloatComplexCHOL::insert_sym (const FloatComplexColumnVector& u,
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258 octave_idx_type j)
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259 {
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260 octave_idx_type info = -1;
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261
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262 octave_idx_type n = chol_mat.rows ();
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263
20232
a9574e3c6e9e Deprecate Array::length() and Sparse::length() in favour of ::numel().
Carnë Draug <carandraug@octave.org>
parents: 19697
diff changeset
264 if (u.numel () != n + 1)
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diff changeset
265 (*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
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diff changeset
266 if (j < 0 || j > n)
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267 (*current_liboctave_error_handler) ("cholinsert: index out of range");
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268
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diff changeset
269 FloatComplexColumnVector utmp = u;
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270
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271 OCTAVE_LOCAL_BUFFER (float, rw, n);
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272
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273 chol_mat.resize (n+1, n+1);
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274
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275 F77_XFCN (cchinx, CCHINX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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276 j + 1, utmp.fortran_vec (), rw, info));
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277
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278 return info;
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279 }
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280
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diff changeset
281 void
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diff changeset
282 FloatComplexCHOL::delete_sym (octave_idx_type j)
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283 {
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284 octave_idx_type n = chol_mat.rows ();
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285
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286 if (j < 0 || j > n-1)
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287 (*current_liboctave_error_handler) ("choldelete: index out of range");
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288
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diff changeset
289 OCTAVE_LOCAL_BUFFER (float, rw, n);
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290
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291 F77_XFCN (cchdex, CCHDEX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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292 j + 1, rw));
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293
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294 chol_mat.resize (n-1, n-1);
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295 }
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296
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297 void
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298 FloatComplexCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
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299 {
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300 octave_idx_type n = chol_mat.rows ();
11586
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301
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302 if (i < 0 || i > n-1 || j < 0 || j > n-1)
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303 (*current_liboctave_error_handler) ("cholshift: index out of range");
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304
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305 OCTAVE_LOCAL_BUFFER (FloatComplex, w, n);
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306 OCTAVE_LOCAL_BUFFER (float, rw, n);
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307
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308 F77_XFCN (cchshx, CCHSHX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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309 i + 1, j + 1, w, rw));
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310 }
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311
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312 #else
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313
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314 void
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315 FloatComplexCHOL::update (const FloatComplexColumnVector& u)
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316 {
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317 warn_qrupdate_once ();
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318
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319 octave_idx_type n = chol_mat.rows ();
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320
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321 if (u.numel () != n)
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322 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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323
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324 init (chol_mat.hermitian () * chol_mat
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325 + FloatComplexMatrix (u) * FloatComplexMatrix (u).hermitian (),
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326 true, false);
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327 }
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328
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329 static bool
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330 singular (const FloatComplexMatrix& a)
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331 {
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332 for (octave_idx_type i = 0; i < a.rows (); i++)
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333 if (a(i,i) == 0.0f) return true;
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334 return false;
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335 }
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336
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337 octave_idx_type
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338 FloatComplexCHOL::downdate (const FloatComplexColumnVector& u)
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339 {
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340 warn_qrupdate_once ();
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341
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342 octave_idx_type info = -1;
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343
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344 octave_idx_type n = chol_mat.rows ();
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345
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346 if (u.numel () != n)
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347 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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348
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349 if (singular (chol_mat))
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350 info = 2;
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351 else
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352 {
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353 info = init (chol_mat.hermitian () * chol_mat
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354 - FloatComplexMatrix (u)
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355 * FloatComplexMatrix (u).hermitian (),
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356 true, false);
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357 if (info) info = 1;
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358 }
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359
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360 return info;
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361 }
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362
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363 octave_idx_type
17769
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diff changeset
364 FloatComplexCHOL::insert_sym (const FloatComplexColumnVector& u,
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365 octave_idx_type j)
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366 {
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367 warn_qrupdate_once ();
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368
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369 octave_idx_type info = -1;
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370
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371 octave_idx_type n = chol_mat.rows ();
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372
21208
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373 if (u.numel () != n + 1)
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374 (*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
21136
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diff changeset
375 if (j < 0 || j > n)
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376 (*current_liboctave_error_handler) ("cholinsert: index out of range");
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diff changeset
377
7cac4e7458f2 maint: clean up code around calls to current_liboctave_error_handler.
Rik <rik@octave.org>
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diff changeset
378 if (singular (chol_mat))
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diff changeset
379 info = 2;
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diff changeset
380 else if (u(j).imag () != 0.0)
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381 info = 3;
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382 else
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383 {
21136
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diff changeset
384 FloatComplexMatrix a = chol_mat.hermitian () * chol_mat;
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diff changeset
385 FloatComplexMatrix a1 (n+1, n+1);
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diff changeset
386 for (octave_idx_type k = 0; k < n+1; k++)
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diff changeset
387 for (octave_idx_type l = 0; l < n+1; l++)
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diff changeset
388 {
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diff changeset
389 if (l == j)
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diff changeset
390 a1(k, l) = u(k);
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diff changeset
391 else if (k == j)
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Rik <rik@octave.org>
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diff changeset
392 a1(k, l) = std::conj (u(l));
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diff changeset
393 else
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Rik <rik@octave.org>
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diff changeset
394 a1(k, l) = a(k < j ? k : k-1, l < j ? l : l-1);
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diff changeset
395 }
7cac4e7458f2 maint: clean up code around calls to current_liboctave_error_handler.
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diff changeset
396 info = init (a1, true, false);
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diff changeset
397 if (info) info = 1;
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diff changeset
398 }
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diff changeset
399
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400 return info;
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diff changeset
401 }
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diff changeset
402
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diff changeset
403 void
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diff changeset
404 FloatComplexCHOL::delete_sym (octave_idx_type j)
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diff changeset
405 {
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406 warn_qrupdate_once ();
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diff changeset
407
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diff changeset
408 octave_idx_type n = chol_mat.rows ();
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diff changeset
409
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diff changeset
410 if (j < 0 || j > n-1)
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diff changeset
411 (*current_liboctave_error_handler) ("choldelete: index out of range");
21136
7cac4e7458f2 maint: clean up code around calls to current_liboctave_error_handler.
Rik <rik@octave.org>
parents: 20629
diff changeset
412
7cac4e7458f2 maint: clean up code around calls to current_liboctave_error_handler.
Rik <rik@octave.org>
parents: 20629
diff changeset
413 FloatComplexMatrix a = chol_mat.hermitian () * chol_mat;
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parents: 20629
diff changeset
414 a.delete_elements (1, idx_vector (j));
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parents: 20629
diff changeset
415 a.delete_elements (0, idx_vector (j));
7cac4e7458f2 maint: clean up code around calls to current_liboctave_error_handler.
Rik <rik@octave.org>
parents: 20629
diff changeset
416 init (a, true, false);
8562
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diff changeset
417 }
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diff changeset
418
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diff changeset
419 void
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diff changeset
420 FloatComplexCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
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diff changeset
421 {
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diff changeset
422 warn_qrupdate_once ();
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parents: 8547
diff changeset
423
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parents: 8547
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424 octave_idx_type n = chol_mat.rows ();
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425
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John W. Eaton <jwe@octave.org>
parents: 11570
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426 if (i < 0 || i > n-1 || j < 0 || j > n-1)
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427 (*current_liboctave_error_handler) ("cholshift: index out of range");
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Rik <rik@octave.org>
parents: 20629
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428
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Rik <rik@octave.org>
parents: 20629
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429 FloatComplexMatrix a = chol_mat.hermitian () * chol_mat;
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430 Array<octave_idx_type> p (dim_vector (n, 1));
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431 for (octave_idx_type k = 0; k < n; k++) p(k) = k;
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Rik <rik@octave.org>
parents: 20629
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432 if (i < j)
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parents: 8547
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433 {
21136
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Rik <rik@octave.org>
parents: 20629
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434 for (octave_idx_type k = i; k < j; k++) p(k) = k+1;
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Rik <rik@octave.org>
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435 p(j) = i;
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Rik <rik@octave.org>
parents: 20629
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436 }
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Rik <rik@octave.org>
parents: 20629
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437 else if (j < i)
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Rik <rik@octave.org>
parents: 20629
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438 {
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Rik <rik@octave.org>
parents: 20629
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439 p(j) = i;
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Rik <rik@octave.org>
parents: 20629
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440 for (octave_idx_type k = j+1; k < i+1; k++) p(k) = k-1;
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Rik <rik@octave.org>
parents: 20629
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441 }
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parents: 8547
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442
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Rik <rik@octave.org>
parents: 20629
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443 init (a.index (idx_vector (p), idx_vector (p)), true, false);
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Jaroslav Hajek <highegg@gmail.com>
parents: 8547
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444 }
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parents: 8547
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445
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Jaroslav Hajek <highegg@gmail.com>
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446 #endif
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Jaroslav Hajek <highegg@gmail.com>
parents: 8377
diff changeset
447
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David Bateman <dbateman@free.fr>
parents:
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448 FloatComplexMatrix
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
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449 chol2inv (const FloatComplexMatrix& r)
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David Bateman <dbateman@free.fr>
parents:
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450 {
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
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451 return chol2inv_internal (r);
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
452 }