annotate doc/interpreter/linalg.txi @ 19630:0e1f5a750d00

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author John W. Eaton <jwe@octave.org>
date Tue, 20 Jan 2015 10:24:46 -0500
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1 @c Copyright (C) 1996-2013 John W. Eaton
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2 @c
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3 @c This file is part of Octave.
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4 @c
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5 @c Octave is free software; you can redistribute it and/or modify it
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6 @c under the terms of the GNU General Public License as published by the
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7 @c Free Software Foundation; either version 3 of the License, or (at
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8 @c your option) any later version.
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9 @c
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10 @c Octave is distributed in the hope that it will be useful, but WITHOUT
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11 @c ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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12 @c FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
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13 @c for more details.
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14 @c
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15 @c You should have received a copy of the GNU General Public License
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16 @c along with Octave; see the file COPYING. If not, see
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17 @c <http://www.gnu.org/licenses/>.
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18
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19 @node Linear Algebra
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20 @chapter Linear Algebra
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21 @cindex linear algebra
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22
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23 This chapter documents the linear algebra functions provided in Octave.
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24 Reference material for many of these functions may be found in
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25 @nospell{Golub and Van Loan}, @cite{Matrix Computations, 2nd Ed.},
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26 Johns Hopkins, 1989, and in the @cite{@sc{lapack} Users' Guide}, SIAM, 1992.
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27 The @cite{@sc{lapack} Users' Guide} is available at:
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28 @cite{http://www.netlib.org/lapack/lug/}
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29
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30 A common text for engineering courses is @nospell{G. Strang},
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31 @cite{Linear Algebra and Its Applications, 4th Edition}. It has become a
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32 widespread reference for linear algebra. An alternative is P. Lax
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33 @cite{Linear Algebra and Its Applications}, and also is a good choice. It
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34 claims to be suitable for high school students with substantial mathematical
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35 interests as well as first-year undergraduates.
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36
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37 @menu
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38 * Techniques Used for Linear Algebra::
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39 * Basic Matrix Functions::
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40 * Matrix Factorizations::
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41 * Functions of a Matrix::
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42 * Specialized Solvers::
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43 @end menu
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44
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45 @node Techniques Used for Linear Algebra
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46 @section Techniques Used for Linear Algebra
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47 @cindex linear algebra, techniques
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48
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49 Octave includes a polymorphic solver that selects an appropriate matrix
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50 factorization depending on the properties of the matrix itself.
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51 Generally, the cost of determining the matrix type is small relative to
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52 the cost of factorizing the matrix itself. In any case the matrix type
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53 is cached once it is calculated so that it is not re-determined each
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54 time it is used in a linear equation.
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55
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56 The selection tree for how the linear equation is solved or a matrix
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57 inverse is formed is given by:
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58
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59 @enumerate 1
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60 @item If the matrix is upper or lower triangular sparse use a forward or
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61 backward substitution using the @sc{lapack} xTRTRS function, and goto 4.
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62
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63 @c Permuted triangular matrices currently disabled in the code
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64 @c
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65 @c @item If the matrix is a upper triangular matrix with column permutations
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66 @c or lower triangular matrix with row permutations, perform a forward or
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67 @c backward substitution, and goto 5.
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68
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69 @item If the matrix is square, Hermitian with a real positive diagonal,
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70 attempt Cholesky@tie{}factorization using the @sc{lapack} xPOTRF function.
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71
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72 @item If the Cholesky@tie{}factorization failed or the matrix is not
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73 Hermitian with a real positive diagonal, and the matrix is square, factorize
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74 using the @sc{lapack} xGETRF function.
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75
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76 @item If the matrix is not square, or any of the previous solvers flags
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77 a singular or near singular matrix, find a least squares solution using
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78 the @sc{lapack} xGELSD function.
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79 @end enumerate
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80
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81 The user can force the type of the matrix with the @code{matrix_type}
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82 function. This overcomes the cost of discovering the type of the matrix.
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83 However, it should be noted that identifying the type of the matrix incorrectly
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84 will lead to unpredictable results, and so @code{matrix_type} should be
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85 used with care.
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86
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87 It should be noted that the test for whether a matrix is a candidate for
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88 Cholesky@tie{}factorization, performed above, and by the @code{matrix_type}
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89 function, does not make certain that the matrix is
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90 Hermitian. However, the attempt to factorize the matrix will quickly
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91 detect a non-Hermitian matrix.
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92
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93 @node Basic Matrix Functions
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94 @section Basic Matrix Functions
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95 @cindex matrix functions, basic
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96
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97 @DOCSTRING(balance)
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98
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99 @DOCSTRING(bandwidth)
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100
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101 @DOCSTRING(cond)
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102
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103 @DOCSTRING(det)
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104
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105 @DOCSTRING(eig)
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107 @DOCSTRING(givens)
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108
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109 @DOCSTRING(planerot)
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110
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111 @DOCSTRING(inv)
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112
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113 @DOCSTRING(linsolve)
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114
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115 @DOCSTRING(matrix_type)
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116
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117 @DOCSTRING(norm)
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118
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119 @DOCSTRING(null)
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121 @DOCSTRING(orth)
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122
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123 @DOCSTRING(mgorth)
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124
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125 @DOCSTRING(pinv)
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126 @cindex pseudoinverse
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127
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128 @DOCSTRING(rank)
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129
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130 @DOCSTRING(rcond)
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131
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132 @DOCSTRING(trace)
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134 @DOCSTRING(rref)
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135
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136 @node Matrix Factorizations
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137 @section Matrix Factorizations
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138 @cindex matrix factorizations
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140 @DOCSTRING(chol)
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142 @DOCSTRING(cholinv)
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143
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144 @DOCSTRING(chol2inv)
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145
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Jaroslav Hajek <highegg@gmail.com>
parents: 7072
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146 @DOCSTRING(cholupdate)
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Jaroslav Hajek <highegg@gmail.com>
parents: 7072
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147
8817
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148 @DOCSTRING(cholinsert)
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149
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150 @DOCSTRING(choldelete)
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151
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152 @DOCSTRING(cholshift)
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153
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154 @DOCSTRING(hess)
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155
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156 @DOCSTRING(lu)
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157
9709
f8e2e9fdaa8f document luupdate
Jaroslav Hajek <highegg@gmail.com>
parents: 9209
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158 @DOCSTRING(luupdate)
f8e2e9fdaa8f document luupdate
Jaroslav Hajek <highegg@gmail.com>
parents: 9209
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159
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jwe
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160 @DOCSTRING(qr)
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161
7638
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Jaroslav Hajek <highegg@gmail.com>
parents: 7072
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162 @DOCSTRING(qrupdate)
2df457529cfa implement expm1 and log1p functions
Jaroslav Hajek <highegg@gmail.com>
parents: 7072
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163
2df457529cfa implement expm1 and log1p functions
Jaroslav Hajek <highegg@gmail.com>
parents: 7072
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164 @DOCSTRING(qrinsert)
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Jaroslav Hajek <highegg@gmail.com>
parents: 7072
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165
2df457529cfa implement expm1 and log1p functions
Jaroslav Hajek <highegg@gmail.com>
parents: 7072
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166 @DOCSTRING(qrdelete)
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Jaroslav Hajek <highegg@gmail.com>
parents: 7072
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167
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168 @DOCSTRING(qrshift)
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169
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170 @DOCSTRING(qz)
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171
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172 @DOCSTRING(qzhess)
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173
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174 @DOCSTRING(schur)
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175
12188
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Rik <octave@nomad.inbox5.com>
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176 @DOCSTRING(rsf2csf)
1e206c8713a7 Add function rsf2csf to documentation.
Rik <octave@nomad.inbox5.com>
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177
7984
bbaa5d7d0143 Some documentation updates
David Bateman <dbateman@free.fr>
parents: 7638
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178 @DOCSTRING(subspace)
bbaa5d7d0143 Some documentation updates
David Bateman <dbateman@free.fr>
parents: 7638
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179
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180 @DOCSTRING(svd)
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181
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Rik <octave@nomad.inbox5.com>
parents: 11523
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182 @DOCSTRING(svd_driver)
06c80c90a246 Add undocumented function svd_driver to documentation.
Rik <octave@nomad.inbox5.com>
parents: 11523
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183
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184 @c FIXME -- should there be a new section here?
3428
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185
5b77cf82393c [project @ 2000-01-14 02:54:53 by jwe]
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186 @DOCSTRING(housh)
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187
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188 @DOCSTRING(krylov)
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189
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190 @node Functions of a Matrix
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191 @section Functions of a Matrix
18330
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Michael Godfrey <michaeldgodfrey@gmail.com>
parents: 17744
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192 @cindex matrix, functions of
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193
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194 @DOCSTRING(expm)
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195
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196 @DOCSTRING(logm)
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197
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198 @DOCSTRING(sqrtm)
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199
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200 @DOCSTRING(kron)
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201
12572
dffd30f12752 Add blkmm function to documentation.
Rik <octave@nomad.inbox5.com>
parents: 12520
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202 @DOCSTRING(blkmm)
dffd30f12752 Add blkmm function to documentation.
Rik <octave@nomad.inbox5.com>
parents: 12520
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203
19099
d20c81d3cd21 Deprecate syl, add new function sylvester.
Rik <rik@octave.org>
parents: 19074
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204 @DOCSTRING(sylvester)
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205
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206 @node Specialized Solvers
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207 @section Specialized Solvers
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parents: 17744
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208 @cindex matrix, specialized solvers
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209
13021
d55d396a9a55 Add an implementation of the biconjugate gradient iterative method
Carlo de Falco <kingcrimson@tiscali.it>
parents: 12572
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210 @DOCSTRING(bicg)
d55d396a9a55 Add an implementation of the biconjugate gradient iterative method
Carlo de Falco <kingcrimson@tiscali.it>
parents: 12572
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211
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212 @DOCSTRING(bicgstab)
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213
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214 @DOCSTRING(cgs)
12509
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Carlo de Falco <kingcrimson@tiscali.it>
parents: 12188
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215
e742720c5e71 Add mgorth and gmres functions from Octave Forge
Carlo de Falco <kingcrimson@tiscali.it>
parents: 12188
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216 @DOCSTRING(gmres)
18854
19a140e93b1f doc: Periodic grammarcheck of documentation.
Rik <rik@octave.org>
parents: 18406
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217