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annotate liboctave/floatCHOL.cc @ 7961:a5d1e27ee1f4 ss-3-1-51

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3.1.51 snapshot
author John W. Eaton <jwe@octave.org>
date Tue, 22 Jul 2008 11:40:48 -0400
parents 82be108cc558
children 25bc2d31e1bf
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rev   line source
7789
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1 /*
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2
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3 Copyright (C) 1994, 1995, 1996, 1997, 2002, 2003, 2004, 2005, 2007
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4 John W. Eaton
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5
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6 This file is part of Octave.
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7
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8 Octave is free software; you can redistribute it and/or modify it
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9 under the terms of the GNU General Public License as published by the
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10 Free Software Foundation; either version 3 of the License, or (at your
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11 option) any later version.
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12
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13 Octave is distributed in the hope that it will be useful, but WITHOUT
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14 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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15 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
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16 for more details.
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17
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18 You should have received a copy of the GNU General Public License
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19 along with Octave; see the file COPYING. If not, see
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20 <http://www.gnu.org/licenses/>.
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21
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22 */
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23
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24 // updating/downdating by Jaroslav Hajek 2008
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25
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26 #ifdef HAVE_CONFIG_H
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27 #include <config.h>
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28 #endif
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29
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30 #include <vector>
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31
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32 #include "fRowVector.h"
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33 #include "floatCHOL.h"
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34 #include "f77-fcn.h"
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35 #include "lo-error.h"
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36
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37 extern "C"
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38 {
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39 F77_RET_T
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40 F77_FUNC (spotrf, SPOTRF) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
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41 float*, const octave_idx_type&, octave_idx_type&
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42 F77_CHAR_ARG_LEN_DECL);
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43
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44 F77_RET_T
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45 F77_FUNC (spotri, SPOTRI) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
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46 float*, const octave_idx_type&, octave_idx_type&
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47 F77_CHAR_ARG_LEN_DECL);
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48
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49 F77_RET_T
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50 F77_FUNC (spocon, SPOCON) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
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51 float*, const octave_idx_type&, const float&,
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52 float&, float*, octave_idx_type*,
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53 octave_idx_type& F77_CHAR_ARG_LEN_DECL);
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54 F77_RET_T
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55 F77_FUNC (sch1up, SCH1UP) (const octave_idx_type&, float*, float*, float*);
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56
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57 F77_RET_T
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58 F77_FUNC (sch1dn, SCH1DN) (const octave_idx_type&, float*, float*, float*,
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59 octave_idx_type&);
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60
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61 F77_RET_T
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62 F77_FUNC (sqrshc, SQRSHC) (const octave_idx_type&, const octave_idx_type&, const octave_idx_type&,
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63 float*, float*, const octave_idx_type&, const octave_idx_type&);
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64
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65 F77_RET_T
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66 F77_FUNC (schinx, SCHINX) (const octave_idx_type&, const float*, float*, const octave_idx_type&,
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67 const float*, octave_idx_type&);
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68
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69 F77_RET_T
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70 F77_FUNC (schdex, SCHDEX) (const octave_idx_type&, const float*, float*, const octave_idx_type&);
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71 }
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72
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73 octave_idx_type
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74 FloatCHOL::init (const FloatMatrix& a, bool calc_cond)
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75 {
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76 octave_idx_type a_nr = a.rows ();
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77 octave_idx_type a_nc = a.cols ();
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78
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79 if (a_nr != a_nc)
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80 {
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81 (*current_liboctave_error_handler) ("FloatCHOL requires square matrix");
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82 return -1;
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83 }
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84
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85 octave_idx_type n = a_nc;
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86 octave_idx_type info;
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87
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88 chol_mat = a;
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89 float *h = chol_mat.fortran_vec ();
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90
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91 // Calculate the norm of the matrix, for later use.
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92 float anorm = 0;
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93 if (calc_cond)
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94 anorm = chol_mat.abs().sum().row(static_cast<octave_idx_type>(0)).max();
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95
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96 F77_XFCN (spotrf, SPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1),
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97 n, h, n, info
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98 F77_CHAR_ARG_LEN (1)));
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99
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100 xrcond = 0.0;
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101 if (info != 0)
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102 info = -1;
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103 else if (calc_cond)
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104 {
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105 octave_idx_type spocon_info = 0;
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106
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107 // Now calculate the condition number for non-singular matrix.
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108 Array<float> z (3*n);
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109 float *pz = z.fortran_vec ();
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110 Array<octave_idx_type> iz (n);
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111 octave_idx_type *piz = iz.fortran_vec ();
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112 F77_XFCN (spocon, SPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h,
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113 n, anorm, xrcond, pz, piz, spocon_info
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114 F77_CHAR_ARG_LEN (1)));
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115
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116 if (spocon_info != 0)
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117 info = -1;
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118 }
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119 else
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120 {
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121 // If someone thinks of a more graceful way of doing this (or
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122 // faster for that matter :-)), please let me know!
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123
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124 if (n > 1)
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125 for (octave_idx_type j = 0; j < a_nc; j++)
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126 for (octave_idx_type i = j+1; i < a_nr; i++)
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127 chol_mat.xelem (i, j) = 0.0;
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128 }
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129
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130 return info;
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131 }
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132
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133 static FloatMatrix
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134 chol2inv_internal (const FloatMatrix& r)
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135 {
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136 FloatMatrix retval;
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137
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138 octave_idx_type r_nr = r.rows ();
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139 octave_idx_type r_nc = r.cols ();
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140
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141 if (r_nr == r_nc)
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142 {
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143 octave_idx_type n = r_nc;
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144 octave_idx_type info = 0;
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145
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146 FloatMatrix tmp = r;
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147 float *v = tmp.fortran_vec();
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148
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149 if (info == 0)
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150 {
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151 F77_XFCN (spotri, SPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n,
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152 v, n, info
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153 F77_CHAR_ARG_LEN (1)));
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154
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155 // If someone thinks of a more graceful way of doing this (or
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156 // faster for that matter :-)), please let me know!
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157
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158 if (n > 1)
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159 for (octave_idx_type j = 0; j < r_nc; j++)
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160 for (octave_idx_type i = j+1; i < r_nr; i++)
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161 tmp.xelem (i, j) = tmp.xelem (j, i);
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162
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163 retval = tmp;
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164 }
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165 }
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166 else
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167 (*current_liboctave_error_handler) ("chol2inv requires square matrix");
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168
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169 return retval;
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170 }
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171
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172 // Compute the inverse of a matrix using the Cholesky factorization.
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173 FloatMatrix
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174 FloatCHOL::inverse (void) const
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175 {
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176 return chol2inv_internal (chol_mat);
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177 }
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178
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179 void
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180 FloatCHOL::set (const FloatMatrix& R)
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181 {
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182 if (R.is_square ())
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183 chol_mat = R;
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184 else
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185 (*current_liboctave_error_handler) ("FloatCHOL requires square matrix");
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186 }
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187
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188 void
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189 FloatCHOL::update (const FloatMatrix& u)
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190 {
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191 octave_idx_type n = chol_mat.rows ();
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192
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193 if (u.length () == n)
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194 {
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195 FloatMatrix tmp = u;
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196
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197 OCTAVE_LOCAL_BUFFER (float, w, n);
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198
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199 F77_XFCN (sch1up, SCH1UP, (n, chol_mat.fortran_vec (),
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200 tmp.fortran_vec (), w));
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201 }
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202 else
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203 (*current_liboctave_error_handler) ("FloatCHOL update dimension mismatch");
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204 }
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205
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206 octave_idx_type
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207 FloatCHOL::downdate (const FloatMatrix& u)
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208 {
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209 octave_idx_type info = -1;
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210
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211 octave_idx_type n = chol_mat.rows ();
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212
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213 if (u.length () == n)
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214 {
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215 FloatMatrix tmp = u;
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216
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217 OCTAVE_LOCAL_BUFFER (float, w, n);
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218
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219 F77_XFCN (sch1dn, SCH1DN, (n, chol_mat.fortran_vec (),
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220 tmp.fortran_vec (), w, info));
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221 }
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222 else
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223 (*current_liboctave_error_handler) ("FloatCHOL downdate dimension mismatch");
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224
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225 return info;
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226 }
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227
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228 octave_idx_type
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229 FloatCHOL::insert_sym (const FloatMatrix& u, octave_idx_type j)
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230 {
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231 octave_idx_type info = -1;
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232
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233 octave_idx_type n = chol_mat.rows ();
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234
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235 if (u.length () != n+1)
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236 (*current_liboctave_error_handler) ("FloatCHOL insert dimension mismatch");
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237 else if (j < 0 || j > n)
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238 (*current_liboctave_error_handler) ("FloatCHOL insert index out of range");
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239 else
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240 {
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241 FloatMatrix chol_mat1 (n+1, n+1);
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242
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243 F77_XFCN (schinx, SCHINX, (n, chol_mat.data (), chol_mat1.fortran_vec (),
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244 j+1, u.data (), info));
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245
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246 chol_mat = chol_mat1;
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247 }
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248
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249 return info;
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250 }
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251
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252 void
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253 FloatCHOL::delete_sym (octave_idx_type j)
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254 {
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255 octave_idx_type n = chol_mat.rows ();
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256
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257 if (j < 0 || j > n-1)
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258 (*current_liboctave_error_handler) ("FloatCHOL delete index out of range");
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259 else
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260 {
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261 FloatMatrix chol_mat1 (n-1, n-1);
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262
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263 F77_XFCN (schdex, SCHDEX, (n, chol_mat.data (), chol_mat1.fortran_vec (), j+1));
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264
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265 chol_mat = chol_mat1;
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266 }
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267 }
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268
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269 void
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270 FloatCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
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271 {
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272 octave_idx_type n = chol_mat.rows ();
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273 float dummy;
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274
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275 if (i < 0 || i > n-1 || j < 0 || j > n-1)
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276 (*current_liboctave_error_handler) ("FloatCHOL shift index out of range");
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277 else
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278 F77_XFCN (sqrshc, SQRSHC, (0, n, n, &dummy, chol_mat.fortran_vec (), i+1, j+1));
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279 }
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280
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281 FloatMatrix
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282 chol2inv (const FloatMatrix& r)
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283 {
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284 return chol2inv_internal (r);
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285 }
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286
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287 /*
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288 ;;; Local Variables: ***
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289 ;;; mode: C++ ***
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290 ;;; End: ***
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291 */