Mercurial > octave-nkf
annotate libinterp/dldfcn/chol.cc @ 16920:53eaa83e4181
doc: Add seealso links between various factorization forms.
* libinterp/corefcn/hess.cc(Fhess), libinterp/corefcn/lu.cc(Flu, Fluupdate),
libinterp/corefcn/qz.cc(Fqz), libinterp/corefcn/schur.cc(Fschur),
libinterp/corefcn/svd.cc(Fsvd),
libinterp/dldfcn/chol.cc(Fchol,Fcholupdate,Fcholinsert,Fcholdelete,Fcholshift),
libinterp/dldfcn/qr.cc(Fqr, Fqrupdate, Fqrinsert, Fqrdelete, Fqrshift),
scripts/linear-algebra/qzhess.m:
Add seealso links between various factorization forms.
author | Rik <rik@octave.org> |
---|---|
date | Sun, 07 Jul 2013 19:45:23 -0700 |
parents | 94cdf82d4a0c |
children | bc924baa2c4e |
rev | line source |
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2928 | 1 /* |
2 | |
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3 Copyright (C) 1996-2012 John W. Eaton |
11523 | 4 Copyright (C) 2008-2009 Jaroslav Hajek |
5 Copyright (C) 2008-2009 VZLU Prague | |
2928 | 6 |
7 This file is part of Octave. | |
8 | |
9 Octave is free software; you can redistribute it and/or modify it | |
10 under the terms of the GNU General Public License as published by the | |
7016 | 11 Free Software Foundation; either version 3 of the License, or (at your |
12 option) any later version. | |
2928 | 13 |
14 Octave is distributed in the hope that it will be useful, but WITHOUT | |
15 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or | |
16 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License | |
17 for more details. | |
18 | |
19 You should have received a copy of the GNU General Public License | |
7016 | 20 along with Octave; see the file COPYING. If not, see |
21 <http://www.gnu.org/licenses/>. | |
2928 | 22 |
23 */ | |
24 | |
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25 |
2928 | 26 #ifdef HAVE_CONFIG_H |
27 #include <config.h> | |
28 #endif | |
29 | |
30 #include "CmplxCHOL.h" | |
31 #include "dbleCHOL.h" | |
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32 #include "fCmplxCHOL.h" |
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33 #include "floatCHOL.h" |
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34 #include "SparseCmplxCHOL.h" |
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35 #include "SparsedbleCHOL.h" |
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36 #include "oct-spparms.h" |
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37 #include "sparse-util.h" |
2928 | 38 |
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39 #include "ov-re-sparse.h" |
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40 #include "ov-cx-sparse.h" |
2928 | 41 #include "defun-dld.h" |
42 #include "error.h" | |
43 #include "gripes.h" | |
44 #include "oct-obj.h" | |
45 #include "utils.h" | |
46 | |
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47 template <class CHOLT> |
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48 static octave_value |
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49 get_chol_r (const CHOLT& fact) |
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50 { |
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51 return octave_value (fact.chol_matrix (), |
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52 MatrixType (MatrixType::Upper)); |
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53 } |
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54 |
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55 template <class CHOLT> |
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56 static octave_value |
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57 get_chol_l (const CHOLT& fact) |
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58 { |
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59 return octave_value (fact.chol_matrix ().transpose (), |
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60 MatrixType (MatrixType::Lower)); |
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61 } |
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62 |
2928 | 63 DEFUN_DLD (chol, args, nargout, |
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64 "-*- texinfo -*-\n\ |
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65 @deftypefn {Loadable Function} {@var{R} =} chol (@var{A})\n\ |
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66 @deftypefnx {Loadable Function} {[@var{R}, @var{p}] =} chol (@var{A})\n\ |
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67 @deftypefnx {Loadable Function} {[@var{R}, @var{p}, @var{Q}] =} chol (@var{S})\n\ |
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68 @deftypefnx {Loadable Function} {[@var{R}, @var{p}, @var{Q}] =} chol (@var{S}, \"vector\")\n\ |
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69 @deftypefnx {Loadable Function} {[@var{L}, @dots{}] =} chol (@dots{}, \"lower\")\n\ |
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70 @deftypefnx {Loadable Function} {[@var{L}, @dots{}] =} chol (@dots{}, \"upper\")\n\ |
3372 | 71 @cindex Cholesky factorization\n\ |
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72 Compute the Cholesky@tie{}factor, @var{R}, of the symmetric positive definite\n\ |
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73 matrix @var{A}, where\n\ |
3372 | 74 @tex\n\ |
75 $ R^T R = A $.\n\ | |
76 @end tex\n\ | |
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77 @ifnottex\n\ |
3372 | 78 \n\ |
79 @example\n\ | |
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80 @var{R}' * @var{R} = @var{A}.\n\ |
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81 @end example\n\ |
10840 | 82 \n\ |
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83 @end ifnottex\n\ |
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84 \n\ |
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85 Called with one output argument @code{chol} fails if @var{A} or @var{S} is\n\ |
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86 not positive definite. With two or more output arguments @var{p} flags\n\ |
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87 whether the matrix was positive definite and @code{chol} does not fail. A\n\ |
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88 zero value indicated that the matrix was positive definite and the @var{R}\n\ |
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89 gives the factorization, and @var{p} will have a positive value otherwise.\n\ |
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90 \n\ |
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91 If called with 3 outputs then a sparsity preserving row/column permutation\n\ |
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92 is applied to @var{A} prior to the factorization. That is @var{R}\n\ |
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93 is the factorization of @code{@var{A}(@var{Q},@var{Q})} such that\n\ |
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94 @tex\n\ |
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95 $ R^T R = Q^T A Q$.\n\ |
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96 @end tex\n\ |
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97 @ifnottex\n\ |
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98 \n\ |
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99 @example\n\ |
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100 @var{R}' * @var{R} = @var{Q}' * @var{A} * @var{Q}.\n\ |
3372 | 101 @end example\n\ |
10840 | 102 \n\ |
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103 @end ifnottex\n\ |
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104 \n\ |
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105 The sparsity preserving permutation is generally returned as a matrix.\n\ |
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106 However, given the flag \"vector\", @var{Q} will be returned as a vector\n\ |
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107 such that\n\ |
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108 @tex\n\ |
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109 $ R^T R = A (Q, Q)$.\n\ |
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110 @end tex\n\ |
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111 @ifnottex\n\ |
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112 \n\ |
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113 @example\n\ |
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114 @var{R}' * @var{R} = @var{A}(@var{Q}, @var{Q}).\n\ |
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115 @end example\n\ |
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117 @end ifnottex\n\ |
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118 \n\ |
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119 Called with either a sparse or full matrix and using the \"lower\" flag,\n\ |
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120 @code{chol} returns the lower triangular factorization such that\n\ |
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121 @tex\n\ |
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122 $ L L^T = A $.\n\ |
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123 @end tex\n\ |
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124 @ifnottex\n\ |
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125 \n\ |
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126 @example\n\ |
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127 @var{L} * @var{L}' = @var{A}.\n\ |
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128 @end example\n\ |
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130 @end ifnottex\n\ |
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131 \n\ |
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132 For full matrices, if the \"lower\" flag is set only the lower triangular\n\ |
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133 part of the matrix is used for the factorization, otherwise the upper\n\ |
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134 triangular part is used.\n\ |
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135 \n\ |
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136 In general the lower triangular factorization is significantly faster for\n\ |
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137 sparse matrices.\n\ |
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138 @seealso{hess, lu, qr, qz, schur, svd, cholinv, chol2inv, cholupdate, cholinsert, choldelete, cholshift}\n\ |
3372 | 139 @end deftypefn") |
2928 | 140 { |
141 octave_value_list retval; | |
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142 int nargin = args.length (); |
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143 bool LLt = false; |
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144 bool vecout = false; |
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146 if (nargin < 1 || nargin > 3 || nargout > 3 |
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147 || (! args(0).is_sparse_type () && nargout > 2)) |
2928 | 148 { |
5823 | 149 print_usage (); |
2928 | 150 return retval; |
151 } | |
152 | |
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153 int n = 1; |
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154 while (n < nargin && ! error_state) |
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155 { |
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156 std::string tmp = args(n++).string_value (); |
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157 |
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158 if (! error_state ) |
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159 { |
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160 if (tmp.compare ("vector") == 0) |
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161 vecout = true; |
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162 else if (tmp.compare ("lower") == 0) |
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163 // FIXME currently the option "lower" is handled by transposing the |
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164 // matrix, factorizing it with the lapack function DPOTRF ('U', ...) |
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165 // and finally transposing the factor. It would be more efficient to use |
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166 // DPOTRF ('L', ...) in this case. |
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167 LLt = true; |
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168 else if (tmp.compare ("upper") == 0) |
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169 LLt = false; |
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170 else |
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171 error ("chol: unexpected second or third input"); |
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172 } |
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173 else |
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174 error ("chol: expecting trailing string arguments"); |
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175 } |
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177 if (! error_state) |
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178 { |
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179 octave_value arg = args(0); |
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180 |
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181 octave_idx_type nr = arg.rows (); |
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182 octave_idx_type nc = arg.columns (); |
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183 |
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184 int arg_is_empty = empty_arg ("chol", nr, nc); |
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186 if (arg_is_empty < 0) |
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187 return retval; |
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188 if (arg_is_empty > 0) |
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189 return octave_value (Matrix ()); |
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190 |
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191 if (arg.is_sparse_type ()) |
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192 { |
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193 octave_idx_type info; |
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194 bool natural = (nargout != 3); |
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195 bool force = nargout > 1; |
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196 |
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197 if (arg.is_real_type ()) |
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198 { |
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199 SparseMatrix m = arg.sparse_matrix_value (); |
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201 if (! error_state) |
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202 { |
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203 SparseCHOL fact (m, info, natural, force); |
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204 |
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205 if (nargout == 3) |
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206 { |
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207 if (vecout) |
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208 retval(2) = fact.perm (); |
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209 else |
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210 retval(2) = fact.Q (); |
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211 } |
2928 | 212 |
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213 if (nargout > 1 || info == 0) |
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214 { |
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215 retval(1) = fact.P (); |
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216 if (LLt) |
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217 retval(0) = fact.L (); |
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218 else |
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219 retval(0) = fact.R (); |
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220 } |
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221 else |
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222 error ("chol: input matrix must be positive definite"); |
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223 } |
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224 } |
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225 else if (arg.is_complex_type ()) |
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226 { |
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227 SparseComplexMatrix m = arg.sparse_complex_matrix_value (); |
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228 |
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229 if (! error_state) |
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230 { |
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231 SparseComplexCHOL fact (m, info, natural, force); |
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232 |
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233 if (nargout == 3) |
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234 { |
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235 if (vecout) |
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236 retval(2) = fact.perm (); |
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237 else |
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238 retval(2) = fact.Q (); |
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239 } |
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240 |
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241 if (nargout > 1 || info == 0) |
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242 { |
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243 retval(1) = fact.P (); |
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244 if (LLt) |
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245 retval(0) = fact.L (); |
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246 else |
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247 retval(0) = fact.R (); |
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248 } |
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249 else |
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250 error ("chol: input matrix must be positive definite"); |
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251 } |
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252 } |
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253 else |
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254 gripe_wrong_type_arg ("chol", arg); |
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255 } |
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256 else if (arg.is_single_type ()) |
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257 { |
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258 if (arg.is_real_type ()) |
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259 { |
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260 FloatMatrix m = arg.float_matrix_value (); |
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261 |
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262 if (! error_state) |
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263 { |
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264 octave_idx_type info; |
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265 |
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266 FloatCHOL fact; |
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267 if (LLt) |
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268 fact = FloatCHOL (m.transpose (), info); |
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269 else |
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270 fact = FloatCHOL (m, info); |
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271 |
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272 if (nargout == 2 || info == 0) |
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273 { |
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274 retval(1) = info; |
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275 if (LLt) |
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276 retval(0) = get_chol_l (fact); |
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277 else |
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278 retval(0) = get_chol_r (fact); |
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279 } |
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280 else |
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281 error ("chol: input matrix must be positive definite"); |
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282 } |
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283 } |
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284 else if (arg.is_complex_type ()) |
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285 { |
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286 FloatComplexMatrix m = arg.float_complex_matrix_value (); |
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287 |
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288 if (! error_state) |
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289 { |
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290 octave_idx_type info; |
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291 |
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292 FloatComplexCHOL fact; |
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293 if (LLt) |
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294 fact = FloatComplexCHOL (m.transpose (), info); |
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295 else |
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296 fact = FloatComplexCHOL (m, info); |
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297 |
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298 if (nargout == 2 || info == 0) |
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299 { |
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300 retval(1) = info; |
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301 if (LLt) |
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302 retval(0) = get_chol_l (fact); |
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303 else |
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304 retval(0) = get_chol_r (fact); |
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305 } |
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306 else |
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307 error ("chol: input matrix must be positive definite"); |
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308 } |
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309 } |
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310 else |
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311 gripe_wrong_type_arg ("chol", arg); |
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312 } |
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313 else |
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314 { |
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315 if (arg.is_real_type ()) |
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316 { |
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317 Matrix m = arg.matrix_value (); |
2928 | 318 |
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319 if (! error_state) |
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320 { |
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321 octave_idx_type info; |
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322 |
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323 CHOL fact; |
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324 if (LLt) |
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325 fact = CHOL (m.transpose (), info); |
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326 else |
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327 fact = CHOL (m, info); |
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328 |
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329 if (nargout == 2 || info == 0) |
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330 { |
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331 retval(1) = info; |
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332 if (LLt) |
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333 retval(0) = get_chol_l (fact); |
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334 else |
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335 retval(0) = get_chol_r (fact); |
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336 } |
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337 else |
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338 error ("chol: input matrix must be positive definite"); |
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339 } |
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340 } |
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341 else if (arg.is_complex_type ()) |
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342 { |
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343 ComplexMatrix m = arg.complex_matrix_value (); |
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344 |
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345 if (! error_state) |
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346 { |
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347 octave_idx_type info; |
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348 |
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349 ComplexCHOL fact; |
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350 if (LLt) |
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351 fact = ComplexCHOL (m.transpose (), info); |
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352 else |
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353 fact = ComplexCHOL (m, info); |
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354 |
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355 if (nargout == 2 || info == 0) |
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356 { |
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357 retval(1) = info; |
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358 if (LLt) |
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359 retval(0) = get_chol_l (fact); |
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360 else |
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361 retval(0) = get_chol_r (fact); |
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362 } |
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363 else |
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364 error ("chol: input matrix must be positive definite"); |
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365 } |
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366 } |
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367 else |
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368 gripe_wrong_type_arg ("chol", arg); |
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369 } |
2928 | 370 } |
371 | |
372 return retval; | |
373 } | |
374 | |
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375 /* |
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376 %!assert (chol ([2, 1; 1, 1]), [sqrt(2), 1/sqrt(2); 0, 1/sqrt(2)], sqrt (eps)) |
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377 %!assert (chol (single ([2, 1; 1, 1])), single ([sqrt(2), 1/sqrt(2); 0, 1/sqrt(2)]), sqrt (eps ("single"))) |
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378 |
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|
379 %!error chol () |
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380 %!error <matrix must be positive definite> chol ([1, 2; 3, 4]) |
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381 %!error <requires square matrix> chol ([1, 2; 3, 4; 5, 6]) |
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|
382 %!error <unexpected second or third input> chol (1, 2) |
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|
383 */ |
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|
384 |
5760 | 385 DEFUN_DLD (cholinv, args, , |
5340 | 386 "-*- texinfo -*-\n\ |
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|
387 @deftypefn {Loadable Function} {} cholinv (@var{A})\n\ |
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|
388 Use the Cholesky@tie{}factorization to compute the inverse of the\n\ |
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|
389 symmetric positive definite matrix @var{A}.\n\ |
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|
390 @seealso{chol, chol2inv, inv}\n\ |
5340 | 391 @end deftypefn") |
392 { | |
393 octave_value retval; | |
394 | |
395 int nargin = args.length (); | |
396 | |
397 if (nargin == 1) | |
398 { | |
399 octave_value arg = args(0); | |
11586
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400 |
5340 | 401 octave_idx_type nr = arg.rows (); |
402 octave_idx_type nc = arg.columns (); | |
403 | |
404 if (nr == 0 || nc == 0) | |
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|
405 retval = Matrix (); |
5340 | 406 else |
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407 { |
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|
408 if (arg.is_sparse_type ()) |
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409 { |
15264
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|
410 octave_idx_type info; |
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|
411 |
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|
412 if (arg.is_real_type ()) |
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|
413 { |
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|
414 SparseMatrix m = arg.sparse_matrix_value (); |
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|
415 |
10154
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|
416 if (! error_state) |
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|
417 { |
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changeset
|
418 SparseCHOL chol (m, info); |
15264
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don't overload meaning of info in Sparse Cholesky factorization functions
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diff
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|
419 |
10154
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|
420 if (info == 0) |
40dfc0c99116
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|
421 retval = chol.inverse (); |
40dfc0c99116
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diff
changeset
|
422 else |
11553
01f703952eff
Improve docstrings for functions in DLD-FUNCTIONS directory.
Rik <octave@nomad.inbox5.com>
parents:
11523
diff
changeset
|
423 error ("cholinv: A must be positive definite"); |
10154
40dfc0c99116
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|
424 } |
40dfc0c99116
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|
425 } |
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parents:
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diff
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|
426 else if (arg.is_complex_type ()) |
40dfc0c99116
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parents:
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diff
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|
427 { |
40dfc0c99116
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diff
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|
428 SparseComplexMatrix m = arg.sparse_complex_matrix_value (); |
7515
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|
429 |
10154
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|
430 if (! error_state) |
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|
431 { |
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|
432 SparseComplexCHOL chol (m, info); |
15264
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don't overload meaning of info in Sparse Cholesky factorization functions
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|
433 |
10154
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|
434 if (info == 0) |
40dfc0c99116
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|
435 retval = chol.inverse (); |
40dfc0c99116
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diff
changeset
|
436 else |
11553
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Improve docstrings for functions in DLD-FUNCTIONS directory.
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parents:
11523
diff
changeset
|
437 error ("cholinv: A must be positive definite"); |
10154
40dfc0c99116
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|
438 } |
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|
439 } |
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|
440 else |
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|
441 gripe_wrong_type_arg ("cholinv", arg); |
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|
442 } |
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443 else if (arg.is_single_type ()) |
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|
444 { |
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|
445 if (arg.is_real_type ()) |
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|
446 { |
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|
447 FloatMatrix m = arg.float_matrix_value (); |
7814
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Second set of single precision test code and fix of resulting bugs
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|
448 |
10154
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449 if (! error_state) |
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|
450 { |
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|
451 octave_idx_type info; |
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|
452 FloatCHOL chol (m, info); |
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453 if (info == 0) |
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|
454 retval = chol.inverse (); |
40dfc0c99116
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diff
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|
455 else |
11553
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Improve docstrings for functions in DLD-FUNCTIONS directory.
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parents:
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diff
changeset
|
456 error ("cholinv: A must be positive definite"); |
10154
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|
457 } |
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|
458 } |
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|
459 else if (arg.is_complex_type ()) |
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|
460 { |
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changeset
|
461 FloatComplexMatrix m = arg.float_complex_matrix_value (); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
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changeset
|
462 |
10154
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|
463 if (! error_state) |
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|
464 { |
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changeset
|
465 octave_idx_type info; |
40dfc0c99116
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changeset
|
466 FloatComplexCHOL chol (m, info); |
40dfc0c99116
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|
467 if (info == 0) |
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|
468 retval = chol.inverse (); |
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diff
changeset
|
469 else |
11553
01f703952eff
Improve docstrings for functions in DLD-FUNCTIONS directory.
Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
470 error ("cholinv: A must be positive definite"); |
10154
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|
471 } |
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|
472 } |
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|
473 else |
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|
474 gripe_wrong_type_arg ("chol", arg); |
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|
475 } |
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|
476 else |
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diff
changeset
|
477 { |
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|
478 if (arg.is_real_type ()) |
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|
479 { |
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changeset
|
480 Matrix m = arg.matrix_value (); |
7515
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changeset
|
481 |
10154
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|
482 if (! error_state) |
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|
483 { |
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changeset
|
484 octave_idx_type info; |
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|
485 CHOL chol (m, info); |
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|
486 if (info == 0) |
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|
487 retval = chol.inverse (); |
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changeset
|
488 else |
11553
01f703952eff
Improve docstrings for functions in DLD-FUNCTIONS directory.
Rik <octave@nomad.inbox5.com>
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11523
diff
changeset
|
489 error ("cholinv: A must be positive definite"); |
10154
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|
490 } |
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changeset
|
491 } |
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|
492 else if (arg.is_complex_type ()) |
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changeset
|
493 { |
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changeset
|
494 ComplexMatrix m = arg.complex_matrix_value (); |
7515
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Eliminate the rest of the dispatched sparse functions
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diff
changeset
|
495 |
10154
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|
496 if (! error_state) |
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changeset
|
497 { |
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diff
changeset
|
498 octave_idx_type info; |
40dfc0c99116
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changeset
|
499 ComplexCHOL chol (m, info); |
40dfc0c99116
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|
500 if (info == 0) |
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|
501 retval = chol.inverse (); |
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diff
changeset
|
502 else |
11553
01f703952eff
Improve docstrings for functions in DLD-FUNCTIONS directory.
Rik <octave@nomad.inbox5.com>
parents:
11523
diff
changeset
|
503 error ("cholinv: A must be positive definite"); |
10154
40dfc0c99116
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changeset
|
504 } |
40dfc0c99116
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changeset
|
505 } |
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changeset
|
506 else |
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changeset
|
507 gripe_wrong_type_arg ("chol", arg); |
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|
508 } |
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changeset
|
509 } |
5340 | 510 } |
511 else | |
5823 | 512 print_usage (); |
5340 | 513 |
514 return retval; | |
515 } | |
516 | |
8402
2176f2b4599e
Fix sparse cholesky inversion
David Bateman <dbateman@free.fr>
parents:
8284
diff
changeset
|
517 /* |
8871 | 518 %!shared A, Ainv |
8402
2176f2b4599e
Fix sparse cholesky inversion
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|
519 %! A = [2,0.2;0.2,1]; |
14501
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diff
changeset
|
520 %! Ainv = inv (A); |
8871 | 521 %!test |
14501
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|
522 %! Ainv1 = cholinv (A); |
60e5cf354d80
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changeset
|
523 %! assert (norm (Ainv-Ainv1), 0, 1e-10); |
8871 | 524 %!testif HAVE_CHOLMOD |
14501
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diff
changeset
|
525 %! Ainv2 = inv (sparse (A)); |
60e5cf354d80
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parents:
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diff
changeset
|
526 %! assert (norm (Ainv-Ainv2), 0, 1e-10); |
8880
078ca05e4ef8
chol.cc: correct spelling of CHOLMOD in tests
John W. Eaton <jwe@octave.org>
parents:
8872
diff
changeset
|
527 %!testif HAVE_CHOLMOD |
14501
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parents:
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diff
changeset
|
528 %! Ainv3 = cholinv (sparse (A)); |
60e5cf354d80
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parents:
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changeset
|
529 %! assert (norm (Ainv-Ainv3), 0, 1e-10); |
8402
2176f2b4599e
Fix sparse cholesky inversion
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parents:
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diff
changeset
|
530 */ |
2176f2b4599e
Fix sparse cholesky inversion
David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
531 |
5760 | 532 DEFUN_DLD (chol2inv, args, , |
5340 | 533 "-*- texinfo -*-\n\ |
11553
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Improve docstrings for functions in DLD-FUNCTIONS directory.
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diff
changeset
|
534 @deftypefn {Loadable Function} {} chol2inv (@var{U})\n\ |
5340 | 535 Invert a symmetric, positive definite square matrix from its Cholesky\n\ |
11553
01f703952eff
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parents:
11523
diff
changeset
|
536 decomposition, @var{U}. Note that @var{U} should be an upper-triangular\n\ |
01f703952eff
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parents:
11523
diff
changeset
|
537 matrix with positive diagonal elements. @code{chol2inv (@var{U})}\n\ |
01f703952eff
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parents:
11523
diff
changeset
|
538 provides @code{inv (@var{U}'*@var{U})} but it is much faster than\n\ |
5343 | 539 using @code{inv}.\n\ |
11553
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parents:
11523
diff
changeset
|
540 @seealso{chol, cholinv, inv}\n\ |
5340 | 541 @end deftypefn") |
542 { | |
543 octave_value retval; | |
544 | |
545 int nargin = args.length (); | |
546 | |
547 if (nargin == 1) | |
548 { | |
549 octave_value arg = args(0); | |
11586
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550 |
5340 | 551 octave_idx_type nr = arg.rows (); |
552 octave_idx_type nc = arg.columns (); | |
553 | |
554 if (nr == 0 || nc == 0) | |
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555 retval = Matrix (); |
5340 | 556 else |
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557 { |
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558 if (arg.is_sparse_type ()) |
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559 { |
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560 if (arg.is_real_type ()) |
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561 { |
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562 SparseMatrix r = arg.sparse_matrix_value (); |
5340 | 563 |
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564 if (! error_state) |
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565 retval = chol2inv (r); |
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566 } |
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567 else if (arg.is_complex_type ()) |
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568 { |
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569 SparseComplexMatrix r = arg.sparse_complex_matrix_value (); |
5340 | 570 |
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571 if (! error_state) |
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572 retval = chol2inv (r); |
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573 } |
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574 else |
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575 gripe_wrong_type_arg ("chol2inv", arg); |
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576 } |
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577 else if (arg.is_single_type ()) |
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578 { |
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579 if (arg.is_real_type ()) |
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580 { |
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581 FloatMatrix r = arg.float_matrix_value (); |
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582 |
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583 if (! error_state) |
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584 retval = chol2inv (r); |
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585 } |
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586 else if (arg.is_complex_type ()) |
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587 { |
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588 FloatComplexMatrix r = arg.float_complex_matrix_value (); |
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589 |
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590 if (! error_state) |
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591 retval = chol2inv (r); |
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592 } |
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593 else |
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594 gripe_wrong_type_arg ("chol2inv", arg); |
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595 |
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596 } |
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597 else |
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598 { |
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599 if (arg.is_real_type ()) |
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600 { |
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601 Matrix r = arg.matrix_value (); |
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602 |
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603 if (! error_state) |
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604 retval = chol2inv (r); |
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605 } |
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606 else if (arg.is_complex_type ()) |
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607 { |
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608 ComplexMatrix r = arg.complex_matrix_value (); |
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609 |
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610 if (! error_state) |
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611 retval = chol2inv (r); |
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612 } |
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613 else |
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614 gripe_wrong_type_arg ("chol2inv", arg); |
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615 } |
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616 } |
5340 | 617 } |
618 else | |
5823 | 619 print_usage (); |
5340 | 620 |
621 return retval; | |
622 } | |
623 | |
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624 DEFUN_DLD (cholupdate, args, nargout, |
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625 "-*- texinfo -*-\n\ |
7650 | 626 @deftypefn {Loadable Function} {[@var{R1}, @var{info}] =} cholupdate (@var{R}, @var{u}, @var{op})\n\ |
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627 Update or downdate a Cholesky@tie{}factorization. Given an upper triangular\n\ |
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628 matrix @var{R} and a column vector @var{u}, attempt to determine another\n\ |
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629 upper triangular matrix @var{R1} such that\n\ |
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630 \n\ |
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631 @itemize @bullet\n\ |
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632 @item\n\ |
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633 @var{R1}'*@var{R1} = @var{R}'*@var{R} + @var{u}*@var{u}'\n\ |
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634 if @var{op} is \"+\"\n\ |
10840 | 635 \n\ |
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636 @item\n\ |
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637 @var{R1}'*@var{R1} = @var{R}'*@var{R} - @var{u}*@var{u}'\n\ |
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638 if @var{op} is \"-\"\n\ |
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639 @end itemize\n\ |
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640 \n\ |
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641 If @var{op} is \"-\", @var{info} is set to\n\ |
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642 \n\ |
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643 @itemize\n\ |
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644 @item 0 if the downdate was successful,\n\ |
10840 | 645 \n\ |
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646 @item 1 if @var{R}'*@var{R} - @var{u}*@var{u}' is not positive definite,\n\ |
10840 | 647 \n\ |
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648 @item 2 if @var{R} is singular.\n\ |
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649 @end itemize\n\ |
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650 \n\ |
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651 If @var{info} is not present, an error message is printed in cases 1 and 2.\n\ |
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652 @seealso{chol, cholinsert, choldelete, cholshift}\n\ |
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653 @end deftypefn") |
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654 { |
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655 octave_idx_type nargin = args.length (); |
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656 |
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657 octave_value_list retval; |
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658 |
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659 if (nargin > 3 || nargin < 2) |
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660 { |
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661 print_usage (); |
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662 return retval; |
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663 } |
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664 |
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665 octave_value argr = args(0); |
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666 octave_value argu = args(1); |
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667 |
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668 if (argr.is_numeric_type () && argu.is_numeric_type () |
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669 && (nargin < 3 || args(2).is_string ())) |
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670 { |
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671 octave_idx_type n = argr.rows (); |
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672 |
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673 std::string op = (nargin < 3) ? "+" : args(2).string_value (); |
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674 |
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675 bool down = op == "-"; |
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676 |
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677 if (down || op == "+") |
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678 if (argr.columns () == n && argu.rows () == n && argu.columns () == 1) |
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679 { |
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680 int err = 0; |
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681 if (argr.is_single_type () || argu.is_single_type ()) |
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682 { |
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683 if (argr.is_real_type () && argu.is_real_type ()) |
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9862
diff
changeset
|
684 { |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
685 // real case |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
686 FloatMatrix R = argr.float_matrix_value (); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
687 FloatColumnVector u = argu.float_column_vector_value (); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
688 |
10154
40dfc0c99116
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John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
689 FloatCHOL fact; |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
690 fact.set (R); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
691 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
692 if (down) |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
693 err = fact.downdate (u); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
694 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
695 fact.update (u); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
696 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
697 retval(0) = get_chol_r (fact); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
698 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
699 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
700 { |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
701 // complex case |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
702 FloatComplexMatrix R = argr.float_complex_matrix_value (); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
703 FloatComplexColumnVector u = argu.float_complex_column_vector_value (); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
704 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
705 FloatComplexCHOL fact; |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
706 fact.set (R); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
707 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
708 if (down) |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
709 err = fact.downdate (u); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
710 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
711 fact.update (u); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
712 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
713 retval(0) = get_chol_r (fact); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
714 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
715 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
716 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
717 { |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
718 if (argr.is_real_type () && argu.is_real_type ()) |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
719 { |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
720 // real case |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
721 Matrix R = argr.matrix_value (); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
722 ColumnVector u = argu.column_vector_value (); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
723 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
724 CHOL fact; |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
725 fact.set (R); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
726 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
727 if (down) |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
728 err = fact.downdate (u); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
729 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
730 fact.update (u); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
731 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
732 retval(0) = get_chol_r (fact); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
733 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
734 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
735 { |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
736 // complex case |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
737 ComplexMatrix R = argr.complex_matrix_value (); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
738 ComplexColumnVector u = argu.complex_column_vector_value (); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
739 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
740 ComplexCHOL fact; |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
741 fact.set (R); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
742 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
743 if (down) |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
744 err = fact.downdate (u); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
745 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
746 fact.update (u); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
747 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
748 retval(0) = get_chol_r (fact); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
749 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
750 } |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
751 |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
752 if (nargout > 1) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
753 retval(1) = err; |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
754 else if (err == 1) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
755 error ("cholupdate: downdate violates positiveness"); |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
756 else if (err == 2) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
757 error ("cholupdate: singular matrix"); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
758 } |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
759 else |
11553
01f703952eff
Improve docstrings for functions in DLD-FUNCTIONS directory.
Rik <octave@nomad.inbox5.com>
parents:
11523
diff
changeset
|
760 error ("cholupdate: dimension mismatch between R and U"); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
761 else |
11553
01f703952eff
Improve docstrings for functions in DLD-FUNCTIONS directory.
Rik <octave@nomad.inbox5.com>
parents:
11523
diff
changeset
|
762 error ("cholupdate: OP must be \"+\" or \"-\""); |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
763 } |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
764 else |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
765 print_usage (); |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
766 |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
767 return retval; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
768 } |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
769 |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
770 /* |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
771 %!shared A, u, Ac, uc |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
772 %! A = [ 0.436997 -0.131721 0.124120 -0.061673 ; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
773 %! -0.131721 0.738529 0.019851 -0.140295 ; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
774 %! 0.124120 0.019851 0.354879 -0.059472 ; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
775 %! -0.061673 -0.140295 -0.059472 0.600939 ]; |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
776 %! |
7554
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
777 %! u = [ 0.98950 ; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
778 %! 0.39844 ; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
779 %! 0.63484 ; |
40574114c514
implement Cholesky factorization updating
Jaroslav Hajek <highegg@gmail.com>
parents:
7515
diff
changeset
|
780 %! 0.13351 ]; |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
781 %! Ac = [ 0.5585528 + 0.0000000i -0.1662088 - 0.0315341i 0.0107873 + 0.0236411i -0.0276775 - 0.0186073i ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
782 %! -0.1662088 + 0.0315341i 0.6760061 + 0.0000000i 0.0011452 - 0.0475528i 0.0145967 + 0.0247641i ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
783 %! 0.0107873 - 0.0236411i 0.0011452 + 0.0475528i 0.6263149 - 0.0000000i -0.1585837 - 0.0719763i ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
784 %! -0.0276775 + 0.0186073i 0.0145967 - 0.0247641i -0.1585837 + 0.0719763i 0.6034234 - 0.0000000i ]; |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
785 %! |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
786 %! uc = [ 0.54267 + 0.91519i ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
787 %! 0.99647 + 0.43141i ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
788 %! 0.83760 + 0.68977i ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
789 %! 0.39160 + 0.90378i ]; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
790 |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
791 %!test |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
792 %! R = chol (A); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
793 %! R1 = cholupdate (R, u); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
794 %! assert (norm (triu (R1)-R1, Inf), 0); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
795 %! assert (norm (R1'*R1 - R'*R - u*u', Inf) < 1e1*eps); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
796 %! |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
797 %! R1 = cholupdate (R1, u, "-"); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
798 %! assert (norm (triu (R1)-R1, Inf), 0); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
799 %! assert (norm (R1 - R, Inf) < 1e1*eps); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
800 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
801 %!test |
14501
60e5cf354d80
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802 %! R = chol (Ac); |
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803 %! R1 = cholupdate (R, uc); |
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804 %! assert (norm (triu (R1)-R1, Inf), 0); |
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805 %! assert (norm (R1'*R1 - R'*R - uc*uc', Inf) < 1e1*eps); |
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806 %! |
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807 %! R1 = cholupdate (R1, uc, "-"); |
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808 %! assert (norm (triu (R1)-R1, Inf), 0); |
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809 %! assert (norm (R1 - R, Inf) < 1e1*eps); |
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810 |
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|
811 %!test |
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812 %! R = chol (single (A)); |
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813 %! R1 = cholupdate (R, single (u)); |
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814 %! assert (norm (triu (R1)-R1, Inf), single (0)); |
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|
815 %! assert (norm (R1'*R1 - R'*R - single (u*u'), Inf) < 1e1*eps ("single")); |
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|
816 %! |
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817 %! R1 = cholupdate (R1, single (u), "-"); |
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818 %! assert (norm (triu (R1)-R1, Inf), single (0)); |
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|
819 %! assert (norm (R1 - R, Inf) < 2e1*eps ("single")); |
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|
820 |
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|
821 %!test |
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822 %! R = chol (single (Ac)); |
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823 %! R1 = cholupdate (R, single (uc)); |
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824 %! assert (norm (triu (R1)-R1, Inf), single (0)); |
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825 %! assert (norm (R1'*R1 - R'*R - single (uc*uc'), Inf) < 1e1*eps ("single")); |
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826 %! |
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827 %! R1 = cholupdate (R1, single (uc), "-"); |
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828 %! assert (norm (triu (R1)-R1, Inf), single (0)); |
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829 %! assert (norm (R1 - R, Inf) < 2e1*eps ("single")); |
7554
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830 */ |
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831 |
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832 DEFUN_DLD (cholinsert, args, nargout, |
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833 "-*- texinfo -*-\n\ |
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|
834 @deftypefn {Loadable Function} {@var{R1} =} cholinsert (@var{R}, @var{j}, @var{u})\n\ |
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835 @deftypefnx {Loadable Function} {[@var{R1}, @var{info}] =} cholinsert (@var{R}, @var{j}, @var{u})\n\ |
10840 | 836 Given a Cholesky@tie{}factorization of a real symmetric or complex Hermitian\n\ |
837 positive definite matrix @w{@var{A} = @var{R}'*@var{R}}, @var{R}@tie{}upper\n\ | |
838 triangular, return the Cholesky@tie{}factorization of\n\ | |
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839 @var{A1}, where @w{A1(p,p) = A}, @w{A1(:,j) = A1(j,:)' = u} and\n\ |
9064
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Check grammar on all .cc files
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840 @w{p = [1:j-1,j+1:n+1]}. @w{u(j)} should be positive.\n\ |
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841 On return, @var{info} is set to\n\ |
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842 \n\ |
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843 @itemize\n\ |
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844 @item 0 if the insertion was successful,\n\ |
10840 | 845 \n\ |
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846 @item 1 if @var{A1} is not positive definite,\n\ |
10840 | 847 \n\ |
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848 @item 2 if @var{R} is singular.\n\ |
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849 @end itemize\n\ |
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850 \n\ |
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851 If @var{info} is not present, an error message is printed in cases 1 and 2.\n\ |
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852 @seealso{chol, cholupdate, choldelete, cholshift}\n\ |
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853 @end deftypefn") |
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854 { |
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855 octave_idx_type nargin = args.length (); |
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856 |
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857 octave_value_list retval; |
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858 |
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859 if (nargin != 3) |
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860 { |
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861 print_usage (); |
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862 return retval; |
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863 } |
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864 |
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865 octave_value argr = args(0); |
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866 octave_value argj = args(1); |
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867 octave_value argu = args(2); |
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868 |
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869 if (argr.is_numeric_type () && argu.is_numeric_type () |
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870 && argj.is_real_scalar ()) |
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871 { |
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872 octave_idx_type n = argr.rows (); |
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873 octave_idx_type j = argj.scalar_value (); |
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874 |
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875 if (argr.columns () == n && argu.rows () == n+1 && argu.columns () == 1) |
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876 { |
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877 if (j > 0 && j <= n+1) |
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878 { |
8547
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imported patch qrupdate.diff
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879 int err = 0; |
10154
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880 if (argr.is_single_type () || argu.is_single_type ()) |
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881 { |
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882 if (argr.is_real_type () && argu.is_real_type ()) |
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883 { |
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884 // real case |
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885 FloatMatrix R = argr.float_matrix_value (); |
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886 FloatColumnVector u = argu.float_column_vector_value (); |
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887 |
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888 FloatCHOL fact; |
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889 fact.set (R); |
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890 err = fact.insert_sym (u, j-1); |
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891 |
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892 retval(0) = get_chol_r (fact); |
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893 } |
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|
894 else |
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895 { |
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896 // complex case |
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897 FloatComplexMatrix R = argr.float_complex_matrix_value (); |
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898 FloatComplexColumnVector u = argu.float_complex_column_vector_value (); |
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899 |
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900 FloatComplexCHOL fact; |
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901 fact.set (R); |
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902 err = fact.insert_sym (u, j-1); |
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903 |
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904 retval(0) = get_chol_r (fact); |
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905 } |
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906 } |
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907 else |
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908 { |
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909 if (argr.is_real_type () && argu.is_real_type ()) |
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910 { |
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911 // real case |
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912 Matrix R = argr.matrix_value (); |
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913 ColumnVector u = argu.column_vector_value (); |
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914 |
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915 CHOL fact; |
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916 fact.set (R); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
917 err = fact.insert_sym (u, j-1); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
918 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
919 retval(0) = get_chol_r (fact); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
920 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
921 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
922 { |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
923 // complex case |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
924 ComplexMatrix R = argr.complex_matrix_value (); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
925 ComplexColumnVector u = argu.complex_column_vector_value (); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
926 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
927 ComplexCHOL fact; |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
928 fact.set (R); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
929 err = fact.insert_sym (u, j-1); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
930 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
931 retval(0) = get_chol_r (fact); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
932 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
933 } |
8547
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
934 |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
935 if (nargout > 1) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
936 retval(1) = err; |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
937 else if (err == 1) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
938 error ("cholinsert: insertion violates positiveness"); |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
939 else if (err == 2) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
940 error ("cholinsert: singular matrix"); |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
941 else if (err == 3) |
d66c9b6e506a
imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents:
8517
diff
changeset
|
942 error ("cholinsert: diagonal element must be real"); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
943 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
944 else |
11553
01f703952eff
Improve docstrings for functions in DLD-FUNCTIONS directory.
Rik <octave@nomad.inbox5.com>
parents:
11523
diff
changeset
|
945 error ("cholinsert: index J out of range"); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
946 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
947 else |
11553
01f703952eff
Improve docstrings for functions in DLD-FUNCTIONS directory.
Rik <octave@nomad.inbox5.com>
parents:
11523
diff
changeset
|
948 error ("cholinsert: dimension mismatch between R and U"); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
949 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
950 else |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
951 print_usage (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
952 |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
953 return retval; |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
954 } |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
955 |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
956 /* |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
957 %!test |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
958 %! u2 = [ 0.35080 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
959 %! 0.63930 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
960 %! 3.31057 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
961 %! -0.13825 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
962 %! 0.45266 ]; |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
963 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
964 %! R = chol (A); |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
965 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
966 %! j = 3; p = [1:j-1, j+1:5]; |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
967 %! R1 = cholinsert (R, j, u2); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
968 %! A1 = R1'*R1; |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
969 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
970 %! assert (norm (triu (R1)-R1, Inf), 0); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
971 %! assert (norm (A1(p,p) - A, Inf) < 1e1*eps); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
972 |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
973 %!test |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
974 %! u2 = [ 0.35080 + 0.04298i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
975 %! 0.63930 + 0.23778i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
976 %! 3.31057 + 0.00000i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
977 %! -0.13825 + 0.19879i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
978 %! 0.45266 + 0.50020i]; |
7700
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
parents:
7650
diff
changeset
|
979 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
980 %! R = chol (Ac); |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
981 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
982 %! j = 3; p = [1:j-1, j+1:5]; |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
983 %! R1 = cholinsert (R, j, u2); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
984 %! A1 = R1'*R1; |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
985 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
986 %! assert (norm (triu (R1)-R1, Inf), 0); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
987 %! assert (norm (A1(p,p) - Ac, Inf) < 1e1*eps); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
988 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
989 %!test |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
990 %! u2 = single ([ 0.35080 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
991 %! 0.63930 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
992 %! 3.31057 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
993 %! -0.13825 ; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
994 %! 0.45266 ]); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
995 %! |
14854
5ae9f0f77635
maint: Use Octave coding conventions for coddling parenthis is DLD-FUNCTIONS directory
Rik <octave@nomad.inbox5.com>
parents:
14846
diff
changeset
|
996 %! R = chol (single (A)); |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
997 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
998 %! j = 3; p = [1:j-1, j+1:5]; |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
999 %! R1 = cholinsert (R, j, u2); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1000 %! A1 = R1'*R1; |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
1001 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1002 %! assert (norm (triu (R1)-R1, Inf), single (0)); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1003 %! assert (norm (A1(p,p) - A, Inf) < 1e1*eps ("single")); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1004 |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1005 %!test |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1006 %! u2 = single ([ 0.35080 + 0.04298i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1007 %! 0.63930 + 0.23778i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1008 %! 3.31057 + 0.00000i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1009 %! -0.13825 + 0.19879i; |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1010 %! 0.45266 + 0.50020i]); |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1011 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1012 %! R = chol (single (Ac)); |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
1013 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1014 %! j = 3; p = [1:j-1, j+1:5]; |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1015 %! R1 = cholinsert (R, j, u2); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1016 %! A1 = R1'*R1; |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
1017 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1018 %! assert (norm (triu (R1)-R1, Inf), single (0)); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1019 %! assert (norm (A1(p,p) - single (Ac), Inf) < 2e1*eps ("single")); |
13953
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
13915
diff
changeset
|
1020 |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
13915
diff
changeset
|
1021 %!test |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1022 %! cu = chol (triu (A), "upper"); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1023 %! cl = chol (tril (A), "lower"); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1024 %! assert (cu, cl', eps); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1025 |
13953
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
13915
diff
changeset
|
1026 %!test |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
13915
diff
changeset
|
1027 %! cca = chol (Ac); |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
13915
diff
changeset
|
1028 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1029 %! ccal = chol (Ac, "lower"); |
60e5cf354d80
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parents:
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|
1030 %! ccal2 = chol (tril (Ac), "lower"); |
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fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
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diff
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|
1031 %! |
14501
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parents:
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diff
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|
1032 %! ccau = chol (Ac, "upper"); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
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|
1033 %! ccau2 = chol (triu (Ac), "upper"); |
13953
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
changeset
|
1034 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1035 %! assert (cca'*cca, Ac, eps); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1036 %! assert (ccau'*ccau, Ac, eps); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
1037 %! assert (ccau2'*ccau2, Ac, eps); |
13953
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
13915
diff
changeset
|
1038 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1039 %! assert (cca, ccal', eps); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
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|
1040 %! assert (cca, ccau, eps); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1041 %! assert (cca, ccal2', eps); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
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|
1042 %! assert (cca, ccau2, eps); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1043 |
13953
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
changeset
|
1044 %!test |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
changeset
|
1045 %! cca = chol (single (Ac)); |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
changeset
|
1046 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
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|
1047 %! ccal = chol (single (Ac), "lower"); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
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diff
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|
1048 %! ccal2 = chol (tril (single (Ac)), "lower"); |
13953
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
changeset
|
1049 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
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|
1050 %! ccau = chol (single (Ac), "upper"); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
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|
1051 %! ccau2 = chol (triu (single (Ac)), "upper"); |
13953
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
changeset
|
1052 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
1053 %! assert (cca'*cca, single (Ac), eps ("single")); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
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|
1054 %! assert (ccau'*ccau, single (Ac), eps ("single")); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1055 %! assert (ccau2'*ccau2, single (Ac), eps ("single")); |
13953
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
13915
diff
changeset
|
1056 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
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|
1057 %! assert (cca, ccal', eps ("single")); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
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|
1058 %! assert (cca, ccau, eps ("single")); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1059 %! assert (cca, ccal2', eps ("single")); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1060 %! assert (cca, ccau2, eps ("single")); |
13953
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
13915
diff
changeset
|
1061 |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
changeset
|
1062 %!test |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
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|
1063 %! a = [12, 2, 3, 4; |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
changeset
|
1064 %! 2, 14, 5, 3; |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
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parents:
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diff
changeset
|
1065 %! 3, 5, 16, 6; |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
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parents:
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diff
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|
1066 %! 4, 3, 6, 16]; |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
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parents:
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diff
changeset
|
1067 %! |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
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parents:
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diff
changeset
|
1068 %! b = [0, 1, 2, 3; |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
changeset
|
1069 %! -1, 0, 1, 2; |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
changeset
|
1070 %! -2, -1, 0, 1; |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
13915
diff
changeset
|
1071 %! -3, -2, -1, 0]; |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
changeset
|
1072 %! |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
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|
1073 %! ca = a + i*b; |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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|
1074 %! |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
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parents:
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diff
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|
1075 %! cca = chol (ca); |
642e43164af6
fix behavior of chol (..., 'lower') to be compatible with matlab
Carlo de Falco <kingcrimson@tiscali.it>
parents:
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diff
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|
1076 %! |
14501
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parents:
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|
1077 %! ccal = chol (ca, "lower"); |
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parents:
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|
1078 %! ccal2 = chol (tril (ca), "lower"); |
13953
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parents:
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diff
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|
1079 %! |
14501
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parents:
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|
1080 %! ccau = chol (ca, "upper"); |
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parents:
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|
1081 %! ccau2 = chol (triu (ca), "upper"); |
13953
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fix behavior of chol (..., 'lower') to be compatible with matlab
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parents:
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diff
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|
1082 %! |
14501
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parents:
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|
1083 %! assert (cca'*cca, ca, 16*eps); |
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Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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|
1084 %! assert (ccau'*ccau, ca, 16*eps); |
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parents:
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|
1085 %! assert (ccau2'*ccau2, ca, 16*eps); |
13953
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fix behavior of chol (..., 'lower') to be compatible with matlab
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parents:
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|
1086 %! |
14501
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parents:
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|
1087 %! assert (cca, ccal', 16*eps); |
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parents:
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|
1088 %! assert (cca, ccau, 16*eps); |
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Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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|
1089 %! assert (cca, ccal2', 16*eps); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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|
1090 %! assert (cca, ccau2, 16*eps); |
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|
1091 */ |
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1092 |
7924 | 1093 DEFUN_DLD (choldelete, args, , |
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1094 "-*- texinfo -*-\n\ |
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1095 @deftypefn {Loadable Function} {@var{R1} =} choldelete (@var{R}, @var{j})\n\ |
10840 | 1096 Given a Cholesky@tie{}factorization of a real symmetric or complex Hermitian\n\ |
1097 positive definite matrix @w{@var{A} = @var{R}'*@var{R}}, @var{R}@tie{}upper\n\ | |
10846
a4f482e66b65
Grammarcheck more of the documentation.
Rik <octave@nomad.inbox5.com>
parents:
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diff
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|
1098 triangular, return the Cholesky@tie{}factorization of @w{A(p,p)}, where\n\ |
a4f482e66b65
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diff
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|
1099 @w{p = [1:j-1,j+1:n+1]}.\n\ |
16920
53eaa83e4181
doc: Add seealso links between various factorization forms.
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|
1100 @seealso{chol, cholupdate, cholinsert, cholshift}\n\ |
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1101 @end deftypefn") |
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1102 { |
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|
1103 octave_idx_type nargin = args.length (); |
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1104 |
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1105 octave_value_list retval; |
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1106 |
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1107 if (nargin != 2) |
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|
1108 { |
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|
1109 print_usage (); |
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1110 return retval; |
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1111 } |
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|
1112 |
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1113 octave_value argr = args(0); |
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1114 octave_value argj = args(1); |
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1115 |
9453
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1116 if (argr.is_numeric_type () && argj.is_real_scalar ()) |
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1117 { |
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1118 octave_idx_type n = argr.rows (); |
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1119 octave_idx_type j = argj.scalar_value (); |
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1120 |
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1121 if (argr.columns () == n) |
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1122 { |
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1123 if (j > 0 && j <= n) |
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1124 { |
10154
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1125 if (argr.is_single_type ()) |
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1126 { |
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changeset
|
1127 if (argr.is_real_type ()) |
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|
1128 { |
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|
1129 // real case |
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changeset
|
1130 FloatMatrix R = argr.float_matrix_value (); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
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|
1131 |
10154
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|
1132 FloatCHOL fact; |
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changeset
|
1133 fact.set (R); |
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|
1134 fact.delete_sym (j-1); |
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1135 |
10154
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|
1136 retval(0) = get_chol_r (fact); |
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|
1137 } |
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|
1138 else |
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|
1139 { |
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diff
changeset
|
1140 // complex case |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
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diff
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|
1141 FloatComplexMatrix R = argr.float_complex_matrix_value (); |
7814
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Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1142 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
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parents:
9862
diff
changeset
|
1143 FloatComplexCHOL fact; |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1144 fact.set (R); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
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diff
changeset
|
1145 fact.delete_sym (j-1); |
7700
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|
1146 |
10154
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John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1147 retval(0) = get_chol_r (fact); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1148 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1149 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1150 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1151 { |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1152 if (argr.is_real_type ()) |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1153 { |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1154 // real case |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1155 Matrix R = argr.matrix_value (); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
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|
1156 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1157 CHOL fact; |
40dfc0c99116
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diff
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|
1158 fact.set (R); |
40dfc0c99116
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|
1159 fact.delete_sym (j-1); |
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|
1160 |
10154
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John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1161 retval(0) = get_chol_r (fact); |
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parents:
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diff
changeset
|
1162 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1163 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1164 { |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
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parents:
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diff
changeset
|
1165 // complex case |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
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|
1166 ComplexMatrix R = argr.complex_matrix_value (); |
7700
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|
1167 |
10154
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John W. Eaton <jwe@octave.org>
parents:
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diff
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|
1168 ComplexCHOL fact; |
40dfc0c99116
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diff
changeset
|
1169 fact.set (R); |
40dfc0c99116
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diff
changeset
|
1170 fact.delete_sym (j-1); |
7814
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Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
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|
1171 |
10154
40dfc0c99116
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parents:
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diff
changeset
|
1172 retval(0) = get_chol_r (fact); |
40dfc0c99116
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diff
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|
1173 } |
40dfc0c99116
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diff
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|
1174 } |
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|
1175 } |
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|
1176 else |
11553
01f703952eff
Improve docstrings for functions in DLD-FUNCTIONS directory.
Rik <octave@nomad.inbox5.com>
parents:
11523
diff
changeset
|
1177 error ("choldelete: index J out of range"); |
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|
1178 } |
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|
1179 else |
11553
01f703952eff
Improve docstrings for functions in DLD-FUNCTIONS directory.
Rik <octave@nomad.inbox5.com>
parents:
11523
diff
changeset
|
1180 error ("choldelete: matrix R must be square"); |
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|
1181 } |
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|
1182 else |
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|
1183 print_usage (); |
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|
1184 |
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|
1185 return retval; |
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|
1186 } |
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|
1187 |
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|
1188 /* |
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|
1189 %!test |
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diff
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|
1190 %! R = chol (A); |
11586
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11553
diff
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|
1191 %! |
14501
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|
1192 %! j = 3; p = [1:j-1,j+1:4]; |
60e5cf354d80
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|
1193 %! R1 = choldelete (R, j); |
11586
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11553
diff
changeset
|
1194 %! |
14501
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diff
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|
1195 %! assert (norm (triu (R1)-R1, Inf), 0); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1196 %! assert (norm (R1'*R1 - A(p,p), Inf) < 1e1*eps); |
7814
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Second set of single precision test code and fix of resulting bugs
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|
1197 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
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diff
changeset
|
1198 %!test |
14501
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parents:
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|
1199 %! R = chol (Ac); |
60e5cf354d80
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diff
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|
1200 %! |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1201 %! j = 3; p = [1:j-1,j+1:4]; |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1202 %! R1 = choldelete (R, j); |
11586
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strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
1203 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
1204 %! assert (norm (triu (R1)-R1, Inf), 0); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1205 %! assert (norm (R1'*R1 - Ac(p,p), Inf) < 1e1*eps); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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diff
changeset
|
1206 |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1207 %!test |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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diff
changeset
|
1208 %! R = chol (single (A)); |
11586
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11553
diff
changeset
|
1209 %! |
14501
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parents:
14361
diff
changeset
|
1210 %! j = 3; p = [1:j-1,j+1:4]; |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1211 %! R1 = choldelete (R, j); |
11586
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strip trailing whitespace from source files
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parents:
11553
diff
changeset
|
1212 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1213 %! assert (norm (triu (R1)-R1, Inf), single (0)); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1214 %! assert (norm (R1'*R1 - single (A(p,p)), Inf) < 1e1*eps ("single")); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
1215 |
7814
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Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
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7789
diff
changeset
|
1216 %!test |
14854
5ae9f0f77635
maint: Use Octave coding conventions for coddling parenthis is DLD-FUNCTIONS directory
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parents:
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diff
changeset
|
1217 %! R = chol (single (Ac)); |
11586
12df7854fa7c
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parents:
11553
diff
changeset
|
1218 %! |
14501
60e5cf354d80
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parents:
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diff
changeset
|
1219 %! j = 3; p = [1:j-1,j+1:4]; |
14854
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parents:
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diff
changeset
|
1220 %! R1 = choldelete (R,j); |
11586
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11553
diff
changeset
|
1221 %! |
14501
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parents:
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diff
changeset
|
1222 %! assert (norm (triu (R1)-R1, Inf), single (0)); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1223 %! assert (norm (R1'*R1 - single (Ac(p,p)), Inf) < 1e1*eps ("single")); |
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|
1224 */ |
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|
1225 |
7924 | 1226 DEFUN_DLD (cholshift, args, , |
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changeset
|
1227 "-*- texinfo -*-\n\ |
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|
1228 @deftypefn {Loadable Function} {@var{R1} =} cholshift (@var{R}, @var{i}, @var{j})\n\ |
10840 | 1229 Given a Cholesky@tie{}factorization of a real symmetric or complex Hermitian\n\ |
1230 positive definite matrix @w{@var{A} = @var{R}'*@var{R}}, @var{R}@tie{}upper\n\ | |
1231 triangular, return the Cholesky@tie{}factorization of\n\ | |
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|
1232 @w{@var{A}(p,p)}, where @w{p} is the permutation @*\n\ |
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changeset
|
1233 @code{p = [1:i-1, shift(i:j, 1), j+1:n]} if @w{@var{i} < @var{j}} @*\n\ |
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diff
changeset
|
1234 or @*\n\ |
9064
7c02ec148a3c
Check grammar on all .cc files
Rik <rdrider0-list@yahoo.com>
parents:
8880
diff
changeset
|
1235 @code{p = [1:j-1, shift(j:i,-1), i+1:n]} if @w{@var{j} < @var{i}}. @*\n\ |
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|
1236 \n\ |
16920
53eaa83e4181
doc: Add seealso links between various factorization forms.
Rik <rik@octave.org>
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15264
diff
changeset
|
1237 @seealso{chol, cholupdate, cholinsert, choldelete}\n\ |
7700
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|
1238 @end deftypefn") |
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|
1239 { |
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changeset
|
1240 octave_idx_type nargin = args.length (); |
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|
1241 |
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|
1242 octave_value_list retval; |
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|
1243 |
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|
1244 if (nargin != 3) |
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|
1245 { |
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changeset
|
1246 print_usage (); |
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changeset
|
1247 return retval; |
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changeset
|
1248 } |
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changeset
|
1249 |
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changeset
|
1250 octave_value argr = args(0); |
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|
1251 octave_value argi = args(1); |
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|
1252 octave_value argj = args(2); |
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changeset
|
1253 |
9453
5fcf008c7c41
fix Cholesky updating with scalars
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parents:
9065
diff
changeset
|
1254 if (argr.is_numeric_type () && argi.is_real_scalar () && argj.is_real_scalar ()) |
7700
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|
1255 { |
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changeset
|
1256 octave_idx_type n = argr.rows (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
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diff
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|
1257 octave_idx_type i = argi.scalar_value (); |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
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diff
changeset
|
1258 octave_idx_type j = argj.scalar_value (); |
efccca5f2ad7
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|
1259 |
efccca5f2ad7
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Jaroslav Hajek <highegg@gmail.com>
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diff
changeset
|
1260 if (argr.columns () == n) |
efccca5f2ad7
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diff
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|
1261 { |
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more QR & Cholesky updating functions
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parents:
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diff
changeset
|
1262 if (j > 0 && j <= n+1 && i > 0 && i <= n+1) |
efccca5f2ad7
more QR & Cholesky updating functions
Jaroslav Hajek <highegg@gmail.com>
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diff
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|
1263 { |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
1264 |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
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diff
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|
1265 if (argr.is_single_type () && argi.is_single_type () && |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1266 argj.is_single_type ()) |
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John W. Eaton <jwe@octave.org>
parents:
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|
1267 { |
40dfc0c99116
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John W. Eaton <jwe@octave.org>
parents:
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changeset
|
1268 if (argr.is_real_type ()) |
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John W. Eaton <jwe@octave.org>
parents:
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changeset
|
1269 { |
40dfc0c99116
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John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1270 // real case |
40dfc0c99116
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John W. Eaton <jwe@octave.org>
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|
1271 FloatMatrix R = argr.float_matrix_value (); |
7700
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|
1272 |
10154
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John W. Eaton <jwe@octave.org>
parents:
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diff
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|
1273 FloatCHOL fact; |
40dfc0c99116
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John W. Eaton <jwe@octave.org>
parents:
9862
diff
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|
1274 fact.set (R); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
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diff
changeset
|
1275 fact.shift_sym (i-1, j-1); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
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diff
changeset
|
1276 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1277 retval(0) = get_chol_r (fact); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1278 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1279 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1280 { |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1281 // complex case |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1282 FloatComplexMatrix R = argr.float_complex_matrix_value (); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
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|
1283 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
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changeset
|
1284 FloatComplexCHOL fact; |
40dfc0c99116
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John W. Eaton <jwe@octave.org>
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changeset
|
1285 fact.set (R); |
40dfc0c99116
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John W. Eaton <jwe@octave.org>
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diff
changeset
|
1286 fact.shift_sym (i-1, j-1); |
7700
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more QR & Cholesky updating functions
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|
1287 |
10154
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John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1288 retval(0) = get_chol_r (fact); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1289 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1290 } |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1291 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1292 { |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1293 if (argr.is_real_type ()) |
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John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1294 { |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1295 // real case |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
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changeset
|
1296 Matrix R = argr.matrix_value (); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1297 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1298 CHOL fact; |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1299 fact.set (R); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1300 fact.shift_sym (i-1, j-1); |
7700
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|
1301 |
10154
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John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1302 retval(0) = get_chol_r (fact); |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1303 } |
40dfc0c99116
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John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1304 else |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1305 { |
40dfc0c99116
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John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1306 // complex case |
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1307 ComplexMatrix R = argr.complex_matrix_value (); |
7700
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|
1308 |
10154
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John W. Eaton <jwe@octave.org>
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diff
changeset
|
1309 ComplexCHOL fact; |
40dfc0c99116
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parents:
9862
diff
changeset
|
1310 fact.set (R); |
40dfc0c99116
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John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1311 fact.shift_sym (i-1, j-1); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
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changeset
|
1312 |
10154
40dfc0c99116
DLD-FUNCTIONS/*.cc: untabify
John W. Eaton <jwe@octave.org>
parents:
9862
diff
changeset
|
1313 retval(0) = get_chol_r (fact); |
40dfc0c99116
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parents:
9862
diff
changeset
|
1314 } |
40dfc0c99116
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John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1315 } |
7700
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|
1316 } |
efccca5f2ad7
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diff
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|
1317 else |
11553
01f703952eff
Improve docstrings for functions in DLD-FUNCTIONS directory.
Rik <octave@nomad.inbox5.com>
parents:
11523
diff
changeset
|
1318 error ("cholshift: index I or J is out of range"); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
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|
1319 } |
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more QR & Cholesky updating functions
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diff
changeset
|
1320 else |
11553
01f703952eff
Improve docstrings for functions in DLD-FUNCTIONS directory.
Rik <octave@nomad.inbox5.com>
parents:
11523
diff
changeset
|
1321 error ("cholshift: R must be a square matrix"); |
7700
efccca5f2ad7
more QR & Cholesky updating functions
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|
1322 } |
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diff
changeset
|
1323 else |
efccca5f2ad7
more QR & Cholesky updating functions
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diff
changeset
|
1324 print_usage (); |
efccca5f2ad7
more QR & Cholesky updating functions
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diff
changeset
|
1325 |
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diff
changeset
|
1326 return retval; |
efccca5f2ad7
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7650
diff
changeset
|
1327 } |
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changeset
|
1328 |
efccca5f2ad7
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changeset
|
1329 /* |
efccca5f2ad7
more QR & Cholesky updating functions
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changeset
|
1330 %!test |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
1331 %! R = chol (A); |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
1332 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
1333 %! i = 1; j = 3; p = [1:i-1, shift(i:j,-1), j+1:4]; |
60e5cf354d80
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parents:
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diff
changeset
|
1334 %! R1 = cholshift (R, i, j); |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
1335 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1336 %! assert (norm (triu (R1)-R1, Inf), 0); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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parents:
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diff
changeset
|
1337 %! assert (norm (R1'*R1 - A(p,p), Inf) < 1e1*eps); |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
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diff
changeset
|
1338 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1339 %! j = 1; i = 3; p = [1:j-1, shift(j:i,+1), i+1:4]; |
60e5cf354d80
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Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
1340 %! R1 = cholshift (R, i, j); |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
1341 %! |
14854
5ae9f0f77635
maint: Use Octave coding conventions for coddling parenthis is DLD-FUNCTIONS directory
Rik <octave@nomad.inbox5.com>
parents:
14846
diff
changeset
|
1342 %! assert (norm (triu (R1) - R1, Inf), 0); |
5ae9f0f77635
maint: Use Octave coding conventions for coddling parenthis is DLD-FUNCTIONS directory
Rik <octave@nomad.inbox5.com>
parents:
14846
diff
changeset
|
1343 %! assert (norm (R1'*R1 - A(p,p), Inf) < 1e1*eps); |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1344 |
7700
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changeset
|
1345 %!test |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
1346 %! R = chol (Ac); |
11586
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strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
1347 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1348 %! i = 1; j = 3; p = [1:i-1, shift(i:j,-1), j+1:4]; |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
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diff
changeset
|
1349 %! R1 = cholshift (R, i, j); |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
1350 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1351 %! assert (norm (triu (R1)-R1, Inf), 0); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
1352 %! assert (norm (R1'*R1 - Ac(p,p), Inf) < 1e1*eps); |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
1353 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1354 %! j = 1; i = 3; p = [1:j-1, shift(j:i,+1), i+1:4]; |
60e5cf354d80
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Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
1355 %! R1 = cholshift (R, i, j); |
11586
12df7854fa7c
strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents:
11553
diff
changeset
|
1356 %! |
14501
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1357 %! assert (norm (triu (R1)-R1, Inf), 0); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1358 %! assert (norm (R1'*R1 - Ac(p,p), Inf) < 1e1*eps); |
7814
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1359 |
87865ed7405f
Second set of single precision test code and fix of resulting bugs
David Bateman <dbateman@free.fr>
parents:
7789
diff
changeset
|
1360 %!test |
14501
60e5cf354d80
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Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1361 %! R = chol (single (A)); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
1362 %! |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1363 %! i = 1; j = 3; p = [1:i-1, shift(i:j,-1), j+1:4]; |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
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diff
changeset
|
1364 %! R1 = cholshift (R, i, j); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1365 %! |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1366 %! assert (norm (triu (R1)-R1, Inf), 0); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1367 %! assert (norm (R1'*R1 - single (A(p,p)), Inf) < 1e1*eps ("single")); |
60e5cf354d80
Update %!tests in DLD-FUNCTIONS/ directory with Octave coding conventions.
Rik <octave@nomad.inbox5.com>
parents:
14361
diff
changeset
|
1368 %! |
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1369 %! j = 1; i = 3; p = [1:j-1, shift(j:i,+1), i+1:4]; |
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1370 %! R1 = cholshift (R, i, j); |
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1371 %! |
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1372 %! assert (norm (triu (R1)-R1, Inf), 0); |
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1373 %! assert (norm (R1'*R1 - single (A(p,p)), Inf) < 1e1*eps ("single")); |
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1374 |
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1375 %!test |
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1376 %! R = chol (single (Ac)); |
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1377 %! |
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1378 %! i = 1; j = 3; p = [1:i-1, shift(i:j,-1), j+1:4]; |
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1379 %! R1 = cholshift (R, i, j); |
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1380 %! |
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1381 %! assert (norm (triu (R1)-R1, Inf), 0); |
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1382 %! assert (norm (R1'*R1 - single (Ac(p,p)), Inf) < 1e1*eps ("single")); |
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1383 %! |
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1384 %! j = 1; i = 3; p = [1:j-1, shift(j:i,+1), i+1:4]; |
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1385 %! R1 = cholshift (R, i, j); |
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1386 %! |
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1387 %! assert (norm (triu (R1)-R1, Inf), 0); |
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1388 %! assert (norm (R1'*R1 - single (Ac(p,p)), Inf) < 1e1*eps ("single")); |
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1389 */ |