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annotate liboctave/fCmplxCHOL.cc @ 11518:141b3fb5cef7

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style fixes
author John W. Eaton <jwe@octave.org>
date Thu, 13 Jan 2011 16:52:30 -0500
parents 8a5e980da6aa
children fd0a3ac60b0e
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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 Copyright (C) 2008, 2009 Jaroslav Hajek
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6
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7 This file is part of Octave.
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8
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9 Octave is free software; you can redistribute it and/or modify it
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10 under the terms of the GNU General Public License as published by the
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11 Free Software Foundation; either version 3 of the License, or (at your
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12 option) any later version.
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13
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14 Octave is distributed in the hope that it will be useful, but WITHOUT
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15 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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16 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
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17 for more details.
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18
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19 You should have received a copy of the GNU General Public License
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20 along with Octave; see the file COPYING. If not, see
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21 <http://www.gnu.org/licenses/>.
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22
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23 */
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24
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25 #ifdef HAVE_CONFIG_H
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26 #include <config.h>
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27 #endif
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28
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29 #include <vector>
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30
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31 #include "fMatrix.h"
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32 #include "fRowVector.h"
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33 #include "fCmplxCHOL.h"
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34 #include "f77-fcn.h"
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35 #include "lo-error.h"
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36 #include "oct-locbuf.h"
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37 #include "oct-norm.h"
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38 #ifndef HAVE_QRUPDATE
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39 #include "dbleQR.h"
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40 #endif
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41
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42 extern "C"
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43 {
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44 F77_RET_T
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45 F77_FUNC (cpotrf, CPOTRF) (F77_CONST_CHAR_ARG_DECL,
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46 const octave_idx_type&, FloatComplex*,
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47 const octave_idx_type&, octave_idx_type&
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48 F77_CHAR_ARG_LEN_DECL);
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49 F77_RET_T
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50 F77_FUNC (cpotri, CPOTRI) (F77_CONST_CHAR_ARG_DECL,
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51 const octave_idx_type&, FloatComplex*,
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52 const octave_idx_type&, octave_idx_type&
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53 F77_CHAR_ARG_LEN_DECL);
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54
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55 F77_RET_T
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56 F77_FUNC (cpocon, CPOCON) (F77_CONST_CHAR_ARG_DECL,
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57 const octave_idx_type&, FloatComplex*,
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58 const octave_idx_type&, const float&,
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59 float&, FloatComplex*, float*, octave_idx_type&
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60 F77_CHAR_ARG_LEN_DECL);
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61 #ifdef HAVE_QRUPDATE
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62
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63 F77_RET_T
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64 F77_FUNC (cch1up, CCH1UP) (const octave_idx_type&, FloatComplex*,
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65 const octave_idx_type&, FloatComplex*, float*);
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66
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67 F77_RET_T
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68 F77_FUNC (cch1dn, CCH1DN) (const octave_idx_type&, FloatComplex*,
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69 const octave_idx_type&, FloatComplex*,
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70 float*, octave_idx_type&);
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71
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72 F77_RET_T
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73 F77_FUNC (cchinx, CCHINX) (const octave_idx_type&, FloatComplex*,
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74 const octave_idx_type&, const octave_idx_type&,
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75 FloatComplex*, float*, octave_idx_type&);
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76
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77 F77_RET_T
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78 F77_FUNC (cchdex, CCHDEX) (const octave_idx_type&, FloatComplex*,
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79 const octave_idx_type&, const octave_idx_type&,
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80 float*);
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81
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82 F77_RET_T
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83 F77_FUNC (cchshx, CCHSHX) (const octave_idx_type&, FloatComplex*,
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84 const octave_idx_type&, const octave_idx_type&,
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85 const octave_idx_type&, FloatComplex*, float*);
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86 #endif
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87 }
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88
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89 octave_idx_type
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90 FloatComplexCHOL::init (const FloatComplexMatrix& a, bool calc_cond)
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91 {
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92 octave_idx_type a_nr = a.rows ();
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93 octave_idx_type a_nc = a.cols ();
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94
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95 if (a_nr != a_nc)
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96 {
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97 (*current_liboctave_error_handler)
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98 ("FloatComplexCHOL requires square matrix");
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99 return -1;
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100 }
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101
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102 octave_idx_type n = a_nc;
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103 octave_idx_type info;
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104
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105 chol_mat.clear (n, n);
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106 for (octave_idx_type j = 0; j < n; j++)
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107 {
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108 for (octave_idx_type i = 0; i <= j; i++)
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109 chol_mat.xelem (i, j) = a(i, j);
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110 for (octave_idx_type i = j+1; i < n; i++)
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111 chol_mat.xelem (i, j) = 0.0f;
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112 }
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113 FloatComplex *h = chol_mat.fortran_vec ();
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114
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115 // Calculate the norm of the matrix, for later use.
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116 float anorm = 0;
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117 if (calc_cond)
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118 anorm = xnorm (a, 1);
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119
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120 F77_XFCN (cpotrf, CPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1), n, h, n, info
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121 F77_CHAR_ARG_LEN (1)));
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122
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123 xrcond = 0.0;
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124 if (info > 0)
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125 chol_mat.resize (info - 1, info - 1);
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126 else if (calc_cond)
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127 {
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128 octave_idx_type cpocon_info = 0;
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129
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130 // Now calculate the condition number for non-singular matrix.
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131 Array<FloatComplex> z (2*n, 1);
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132 FloatComplex *pz = z.fortran_vec ();
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133 Array<float> rz (n, 1);
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134 float *prz = rz.fortran_vec ();
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135 F77_XFCN (cpocon, CPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h,
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136 n, anorm, xrcond, pz, prz, cpocon_info
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137 F77_CHAR_ARG_LEN (1)));
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138
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139 if (cpocon_info != 0)
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140 info = -1;
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141 }
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142
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143 return info;
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144 }
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145
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146 static FloatComplexMatrix
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147 chol2inv_internal (const FloatComplexMatrix& r)
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148 {
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149 FloatComplexMatrix retval;
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150
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151 octave_idx_type r_nr = r.rows ();
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152 octave_idx_type r_nc = r.cols ();
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153
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154 if (r_nr == r_nc)
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155 {
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156 octave_idx_type n = r_nc;
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157 octave_idx_type info;
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158
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159 FloatComplexMatrix tmp = r;
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160
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161 F77_XFCN (cpotri, CPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n,
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162 tmp.fortran_vec (), n, info
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163 F77_CHAR_ARG_LEN (1)));
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164
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165 // If someone thinks of a more graceful way of doing this (or
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166 // faster for that matter :-)), please let me know!
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167
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168 if (n > 1)
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169 for (octave_idx_type j = 0; j < r_nc; j++)
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170 for (octave_idx_type i = j+1; i < r_nr; i++)
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171 tmp.xelem (i, j) = std::conj (tmp.xelem (j, i));
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172
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173 retval = tmp;
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174 }
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175 else
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176 (*current_liboctave_error_handler) ("chol2inv requires square matrix");
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177
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178 return retval;
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179 }
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180
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181 // Compute the inverse of a matrix using the Cholesky factorization.
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182 FloatComplexMatrix
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183 FloatComplexCHOL::inverse (void) const
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184 {
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185 return chol2inv_internal (chol_mat);
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186 }
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187
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188 void
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189 FloatComplexCHOL::set (const FloatComplexMatrix& R)
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190 {
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191 if (R.is_square ())
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192 chol_mat = R;
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193 else
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194 (*current_liboctave_error_handler) ("CHOL requires square matrix");
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195 }
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196
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197 #ifdef HAVE_QRUPDATE
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198
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199 void
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200 FloatComplexCHOL::update (const FloatComplexColumnVector& u)
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201 {
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202 octave_idx_type n = chol_mat.rows ();
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203
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204 if (u.length () == n)
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205 {
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206 FloatComplexColumnVector utmp = u;
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207
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208 OCTAVE_LOCAL_BUFFER (float, rw, n);
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209
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210 F77_XFCN (cch1up, CCH1UP, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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211 utmp.fortran_vec (), rw));
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212 }
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213 else
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214 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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215 }
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216
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217 octave_idx_type
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218 FloatComplexCHOL::downdate (const FloatComplexColumnVector& u)
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219 {
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220 octave_idx_type info = -1;
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221
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222 octave_idx_type n = chol_mat.rows ();
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223
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224 if (u.length () == n)
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225 {
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226 FloatComplexColumnVector utmp = u;
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227
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228 OCTAVE_LOCAL_BUFFER (float, rw, n);
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229
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230 F77_XFCN (cch1dn, CCH1DN, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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231 utmp.fortran_vec (), rw, info));
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232 }
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233 else
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234 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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235
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236 return info;
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237 }
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238
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239 octave_idx_type
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240 FloatComplexCHOL::insert_sym (const FloatComplexColumnVector& u, octave_idx_type j)
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241 {
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242 octave_idx_type info = -1;
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243
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244 octave_idx_type n = chol_mat.rows ();
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245
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246 if (u.length () != n + 1)
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247 (*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
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248 else if (j < 0 || j > n)
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249 (*current_liboctave_error_handler) ("cholinsert: index out of range");
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250 else
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251 {
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252 FloatComplexColumnVector utmp = u;
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253
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254 OCTAVE_LOCAL_BUFFER (float, rw, n);
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255
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256 chol_mat.resize (n+1, n+1);
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257
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258 F77_XFCN (cchinx, CCHINX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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259 j + 1, utmp.fortran_vec (), rw, info));
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260 }
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261
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262 return info;
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263 }
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264
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265 void
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266 FloatComplexCHOL::delete_sym (octave_idx_type j)
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267 {
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268 octave_idx_type n = chol_mat.rows ();
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269
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270 if (j < 0 || j > n-1)
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271 (*current_liboctave_error_handler) ("choldelete: index out of range");
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272 else
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273 {
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274 OCTAVE_LOCAL_BUFFER (float, rw, n);
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275
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276 F77_XFCN (cchdex, CCHDEX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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277 j + 1, rw));
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278
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279 chol_mat.resize (n-1, n-1);
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280 }
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281 }
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282
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283 void
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284 FloatComplexCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
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285 {
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286 octave_idx_type n = chol_mat.rows ();
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287
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288 if (i < 0 || i > n-1 || j < 0 || j > n-1)
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289 (*current_liboctave_error_handler) ("cholshift: index out of range");
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290 else
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291 {
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292 OCTAVE_LOCAL_BUFFER (FloatComplex, w, n);
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293 OCTAVE_LOCAL_BUFFER (float, rw, n);
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294
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295 F77_XFCN (cchshx, CCHSHX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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296 i + 1, j + 1, w, rw));
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297 }
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298 }
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299
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300 #else
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301
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302 void
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303 FloatComplexCHOL::update (const FloatComplexColumnVector& u)
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304 {
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305 warn_qrupdate_once ();
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306
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307 octave_idx_type n = chol_mat.rows ();
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308
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309 if (u.length () == n)
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310 {
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311 init (chol_mat.hermitian () * chol_mat
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312 + FloatComplexMatrix (u) * FloatComplexMatrix (u).hermitian (), false);
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313 }
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314 else
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315 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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316 }
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317
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318 static bool
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319 singular (const FloatComplexMatrix& a)
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320 {
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321 for (octave_idx_type i = 0; i < a.rows (); i++)
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322 if (a(i,i) == 0.0f) return true;
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323 return false;
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324 }
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325
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326 octave_idx_type
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diff changeset
327 FloatComplexCHOL::downdate (const FloatComplexColumnVector& u)
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diff changeset
328 {
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329 warn_qrupdate_once ();
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diff changeset
330
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diff changeset
331 octave_idx_type info = -1;
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diff changeset
332
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diff changeset
333 octave_idx_type n = chol_mat.rows ();
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334
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335 if (u.length () == n)
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336 {
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337 if (singular (chol_mat))
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diff changeset
338 info = 2;
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339 else
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340 {
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341 info = init (chol_mat.hermitian () * chol_mat
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342 - FloatComplexMatrix (u) * FloatComplexMatrix (u).hermitian (), false);
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343 if (info) info = 1;
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344 }
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345 }
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346 else
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347 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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348
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349 return info;
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350 }
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351
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diff changeset
352 octave_idx_type
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diff changeset
353 FloatComplexCHOL::insert_sym (const FloatComplexColumnVector& u, octave_idx_type j)
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354 {
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355 warn_qrupdate_once ();
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diff changeset
356
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diff changeset
357 octave_idx_type info = -1;
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diff changeset
358
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diff changeset
359 octave_idx_type n = chol_mat.rows ();
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360
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361 if (u.length () != n + 1)
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diff changeset
362 (*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
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diff changeset
363 else if (j < 0 || j > n)
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diff changeset
364 (*current_liboctave_error_handler) ("cholinsert: index out of range");
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diff changeset
365 else
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366 {
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367 if (singular (chol_mat))
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diff changeset
368 info = 2;
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diff changeset
369 else if (u(j).imag () != 0.0)
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370 info = 3;
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371 else
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diff changeset
372 {
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diff changeset
373 FloatComplexMatrix a = chol_mat.hermitian () * chol_mat;
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diff changeset
374 FloatComplexMatrix a1 (n+1, n+1);
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diff changeset
375 for (octave_idx_type k = 0; k < n+1; k++)
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diff changeset
376 for (octave_idx_type l = 0; l < n+1; l++)
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diff changeset
377 {
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diff changeset
378 if (l == j)
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diff changeset
379 a1(k, l) = u(k);
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diff changeset
380 else if (k == j)
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diff changeset
381 a1(k, l) = std::conj (u(l));
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382 else
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383 a1(k, l) = a(k < j ? k : k-1, l < j ? l : l-1);
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diff changeset
384 }
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diff changeset
385 info = init (a1, false);
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diff changeset
386 if (info) info = 1;
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diff changeset
387 }
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diff changeset
388 }
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diff changeset
389
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diff changeset
390 return info;
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diff changeset
391 }
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diff changeset
392
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diff changeset
393 void
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diff changeset
394 FloatComplexCHOL::delete_sym (octave_idx_type j)
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diff changeset
395 {
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diff changeset
396 warn_qrupdate_once ();
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diff changeset
397
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diff changeset
398 octave_idx_type n = chol_mat.rows ();
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diff changeset
399
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diff changeset
400 if (j < 0 || j > n-1)
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parents: 8547
diff changeset
401 (*current_liboctave_error_handler) ("choldelete: index out of range");
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diff changeset
402 else
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diff changeset
403 {
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diff changeset
404 FloatComplexMatrix a = chol_mat.hermitian () * chol_mat;
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diff changeset
405 a.delete_elements (1, idx_vector (j));
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diff changeset
406 a.delete_elements (0, idx_vector (j));
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parents: 8547
diff changeset
407 init (a, false);
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diff changeset
408 }
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diff changeset
409 }
a6edd5c23cb5 use replacement methods if qrupdate is not available
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parents: 8547
diff changeset
410
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parents: 8547
diff changeset
411 void
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parents: 8547
diff changeset
412 FloatComplexCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
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parents: 8547
diff changeset
413 {
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diff changeset
414 warn_qrupdate_once ();
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diff changeset
415
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parents: 8547
diff changeset
416 octave_idx_type n = chol_mat.rows ();
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parents: 8547
diff changeset
417
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parents: 8547
diff changeset
418 if (i < 0 || i > n-1 || j < 0 || j > n-1)
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parents: 8547
diff changeset
419 (*current_liboctave_error_handler) ("cholshift: index out of range");
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diff changeset
420 else
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diff changeset
421 {
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parents: 8547
diff changeset
422 FloatComplexMatrix a = chol_mat.hermitian () * chol_mat;
10350
12884915a8e4 merge MArray classes & improve Array interface
Jaroslav Hajek <highegg@gmail.com>
parents: 10314
diff changeset
423 Array<octave_idx_type> p (n, 1);
8562
a6edd5c23cb5 use replacement methods if qrupdate is not available
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parents: 8547
diff changeset
424 for (octave_idx_type k = 0; k < n; k++) p(k) = k;
a6edd5c23cb5 use replacement methods if qrupdate is not available
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parents: 8547
diff changeset
425 if (i < j)
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Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
426 {
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Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
427 for (octave_idx_type k = i; k < j; k++) p(k) = k+1;
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parents: 8547
diff changeset
428 p(j) = i;
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diff changeset
429 }
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parents: 8547
diff changeset
430 else if (j < i)
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parents: 8547
diff changeset
431 {
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parents: 8547
diff changeset
432 p(j) = i;
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parents: 8547
diff changeset
433 for (octave_idx_type k = j+1; k < i+1; k++) p(k) = k-1;
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diff changeset
434 }
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parents: 8547
diff changeset
435
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Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
436 init (a.index (idx_vector (p), idx_vector (p)), false);
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parents: 8547
diff changeset
437 }
a6edd5c23cb5 use replacement methods if qrupdate is not available
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parents: 8547
diff changeset
438 }
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parents: 8547
diff changeset
439
8547
d66c9b6e506a imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents: 8377
diff changeset
440 #endif
d66c9b6e506a imported patch qrupdate.diff
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parents: 8377
diff changeset
441
7789
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
442 FloatComplexMatrix
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
443 chol2inv (const FloatComplexMatrix& r)
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
444 {
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
445 return chol2inv_internal (r);
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
446 }