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1 /* |
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2 |
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3 Copyright (C) 1994, 1995, 1996, 1997, 2002, 2003, 2004, 2005, 2007 |
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4 John W. Eaton |
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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 "dRowVector.h" |
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29 #include "dbleCHOL.h" |
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30 #include "f77-fcn.h" |
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31 #include "lo-error.h" |
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32 |
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33 extern "C" |
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34 { |
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35 F77_RET_T |
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36 F77_FUNC (dpotrf, DPOTRF) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&, |
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37 double*, const octave_idx_type&, octave_idx_type& |
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38 F77_CHAR_ARG_LEN_DECL); |
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39 |
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40 F77_RET_T |
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41 F77_FUNC (dpotri, DPOTRI) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&, |
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42 double*, const octave_idx_type&, octave_idx_type& |
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43 F77_CHAR_ARG_LEN_DECL); |
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44 |
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45 F77_RET_T |
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46 F77_FUNC (dpocon, DPOCON) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&, |
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47 double*, const octave_idx_type&, const double&, |
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48 double&, double*, octave_idx_type*, |
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49 octave_idx_type& F77_CHAR_ARG_LEN_DECL); |
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50 } |
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51 |
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52 octave_idx_type |
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53 CHOL::init (const Matrix& a, bool calc_cond) |
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54 { |
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55 octave_idx_type a_nr = a.rows (); |
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56 octave_idx_type a_nc = a.cols (); |
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57 |
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58 if (a_nr != a_nc) |
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59 { |
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60 (*current_liboctave_error_handler) ("CHOL requires square matrix"); |
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61 return -1; |
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62 } |
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63 |
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64 octave_idx_type n = a_nc; |
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65 octave_idx_type info; |
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66 |
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67 chol_mat = a; |
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68 double *h = chol_mat.fortran_vec (); |
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69 |
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70 // Calculate the norm of the matrix, for later use. |
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71 double anorm = 0; |
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72 if (calc_cond) |
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73 anorm = chol_mat.abs().sum().row(static_cast<octave_idx_type>(0)).max(); |
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74 |
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75 F77_XFCN (dpotrf, DPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1), |
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76 n, h, n, info |
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77 F77_CHAR_ARG_LEN (1))); |
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78 |
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79 if (f77_exception_encountered) |
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80 (*current_liboctave_error_handler) ("unrecoverable error in dpotrf"); |
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81 else |
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82 { |
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83 xrcond = 0.0; |
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84 if (info != 0) |
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85 info = -1; |
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86 else if (calc_cond) |
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87 { |
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88 octave_idx_type dpocon_info = 0; |
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89 |
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90 // Now calculate the condition number for non-singular matrix. |
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91 Array<double> z (3*n); |
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92 double *pz = z.fortran_vec (); |
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93 Array<octave_idx_type> iz (n); |
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94 octave_idx_type *piz = iz.fortran_vec (); |
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95 F77_XFCN (dpocon, DPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h, |
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96 n, anorm, xrcond, pz, piz, dpocon_info |
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97 F77_CHAR_ARG_LEN (1))); |
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98 |
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99 if (f77_exception_encountered) |
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100 (*current_liboctave_error_handler) |
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101 ("unrecoverable error in dpocon"); |
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102 |
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103 if (dpocon_info != 0) |
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104 info = -1; |
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105 } |
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106 else |
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107 { |
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108 // If someone thinks of a more graceful way of doing this (or |
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109 // faster for that matter :-)), please let me know! |
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110 |
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111 if (n > 1) |
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112 for (octave_idx_type j = 0; j < a_nc; j++) |
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113 for (octave_idx_type i = j+1; i < a_nr; i++) |
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114 chol_mat.xelem (i, j) = 0.0; |
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115 } |
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116 } |
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117 |
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118 return info; |
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119 } |
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120 |
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121 static Matrix |
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122 chol2inv_internal (const Matrix& r) |
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123 { |
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124 Matrix retval; |
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125 |
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126 octave_idx_type r_nr = r.rows (); |
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127 octave_idx_type r_nc = r.cols (); |
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128 |
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129 if (r_nr == r_nc) |
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130 { |
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131 octave_idx_type n = r_nc; |
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132 octave_idx_type info = 0; |
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133 |
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134 Matrix tmp = r; |
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135 double *v = tmp.fortran_vec(); |
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136 |
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137 if (info == 0) |
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138 { |
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139 F77_XFCN (dpotri, DPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n, |
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140 v, n, info |
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141 F77_CHAR_ARG_LEN (1))); |
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142 |
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143 if (f77_exception_encountered) |
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144 (*current_liboctave_error_handler) |
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145 ("unrecoverable error in dpotri"); |
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146 else |
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147 { |
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148 // If someone thinks of a more graceful way of doing this (or |
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149 // faster for that matter :-)), please let me know! |
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150 |
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151 if (n > 1) |
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152 for (octave_idx_type j = 0; j < r_nc; j++) |
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153 for (octave_idx_type i = j+1; i < r_nr; i++) |
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154 tmp.xelem (i, j) = tmp.xelem (j, i); |
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155 |
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156 retval = tmp; |
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157 } |
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158 } |
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159 } |
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160 else |
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161 (*current_liboctave_error_handler) ("chol2inv requires square matrix"); |
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162 |
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163 return retval; |
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164 } |
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165 |
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166 // Compute the inverse of a matrix using the Cholesky factorization. |
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167 Matrix |
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168 CHOL::inverse (void) const |
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169 { |
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170 return chol2inv_internal (chol_mat); |
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171 } |
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172 |
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173 Matrix |
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174 chol2inv (const Matrix& r) |
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175 { |
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176 return chol2inv_internal (r); |
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177 } |
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178 |
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179 /* |
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180 ;;; Local Variables: *** |
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181 ;;; mode: C++ *** |
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182 ;;; End: *** |
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183 */ |
