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annotate liboctave/floatCHOL.cc @ 11117:3cbc0d77db48 ss-3-3-53

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update version info for snapshot
author John W. Eaton <jwe@octave.org>
date Tue, 19 Oct 2010 02:25:32 -0400
parents 12884915a8e4
children 8a5e980da6aa
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1 /*
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2
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3 Copyright (C) 1994, 1995, 1996, 1997, 2002, 2003, 2004, 2005, 2007
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4 John W. Eaton
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5 Copyright (C) 2008, 2009 Jaroslav Hajek
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6
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7 This file is part of Octave.
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8
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9 Octave is free software; you can redistribute it and/or modify it
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10 under the terms of the GNU General Public License as published by the
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11 Free Software Foundation; either version 3 of the License, or (at your
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12 option) any later version.
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13
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14 Octave is distributed in the hope that it will be useful, but WITHOUT
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15 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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16 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
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17 for more details.
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18
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19 You should have received a copy of the GNU General Public License
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20 along with Octave; see the file COPYING. If not, see
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21 <http://www.gnu.org/licenses/>.
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22
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23 */
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24
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25 #ifdef HAVE_CONFIG_H
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26 #include <config.h>
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27 #endif
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28
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29 #include <vector>
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30
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31 #include "fRowVector.h"
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32 #include "floatCHOL.h"
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33 #include "f77-fcn.h"
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34 #include "lo-error.h"
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35 #include "oct-locbuf.h"
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36 #include "oct-norm.h"
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37 #ifndef HAVE_QRUPDATE
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38 #include "dbleQR.h"
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39 #endif
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40
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41 extern "C"
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42 {
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43 F77_RET_T
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44 F77_FUNC (spotrf, SPOTRF) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
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45 float*, const octave_idx_type&, octave_idx_type&
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46 F77_CHAR_ARG_LEN_DECL);
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47
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48 F77_RET_T
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49 F77_FUNC (spotri, SPOTRI) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
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50 float*, const octave_idx_type&, octave_idx_type&
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51 F77_CHAR_ARG_LEN_DECL);
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52
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53 F77_RET_T
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54 F77_FUNC (spocon, SPOCON) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
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55 float*, const octave_idx_type&, const float&,
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56 float&, float*, octave_idx_type*,
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57 octave_idx_type& F77_CHAR_ARG_LEN_DECL);
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58 #ifdef HAVE_QRUPDATE
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59
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60 F77_RET_T
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61 F77_FUNC (sch1up, SCH1UP) (const octave_idx_type&, float*, const octave_idx_type&,
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62 float*, float*);
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63
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64 F77_RET_T
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65 F77_FUNC (sch1dn, SCH1DN) (const octave_idx_type&, float*, const octave_idx_type&,
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66 float*, float*, octave_idx_type&);
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67
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68 F77_RET_T
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69 F77_FUNC (schinx, SCHINX) (const octave_idx_type&, float*, const octave_idx_type&,
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70 const octave_idx_type&, float*, float*,
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71 octave_idx_type&);
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72
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73 F77_RET_T
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74 F77_FUNC (schdex, SCHDEX) (const octave_idx_type&, float*, const octave_idx_type&,
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75 const octave_idx_type&, float*);
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76
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77 F77_RET_T
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78 F77_FUNC (schshx, SCHSHX) (const octave_idx_type&, float*, const octave_idx_type&,
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79 const octave_idx_type&, const octave_idx_type&,
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80 float*);
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81 #endif
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82 }
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83
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84 octave_idx_type
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85 FloatCHOL::init (const FloatMatrix& a, bool calc_cond)
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86 {
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87 octave_idx_type a_nr = a.rows ();
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88 octave_idx_type a_nc = a.cols ();
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89
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90 if (a_nr != a_nc)
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91 {
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92 (*current_liboctave_error_handler) ("FloatCHOL requires square matrix");
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93 return -1;
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94 }
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95
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96 octave_idx_type n = a_nc;
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97 octave_idx_type info;
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98
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99 chol_mat.clear (n, n);
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100 for (octave_idx_type j = 0; j < n; j++)
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101 {
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102 for (octave_idx_type i = 0; i <= j; i++)
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103 chol_mat.xelem (i, j) = a(i, j);
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104 for (octave_idx_type i = j+1; i < n; i++)
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105 chol_mat.xelem (i, j) = 0.0f;
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106 }
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107 float *h = chol_mat.fortran_vec ();
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108
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109 // Calculate the norm of the matrix, for later use.
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110 float anorm = 0;
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111 if (calc_cond)
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112 anorm = xnorm (a, 1);
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113
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114 F77_XFCN (spotrf, SPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1),
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115 n, h, n, info
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116 F77_CHAR_ARG_LEN (1)));
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117
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118 xrcond = 0.0;
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119 if (info > 0)
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120 chol_mat.resize (info - 1, info - 1);
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121 else if (calc_cond)
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122 {
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123 octave_idx_type spocon_info = 0;
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124
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125 // Now calculate the condition number for non-singular matrix.
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126 Array<float> z (3*n, 1);
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127 float *pz = z.fortran_vec ();
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128 Array<octave_idx_type> iz (n, 1);
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129 octave_idx_type *piz = iz.fortran_vec ();
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130 F77_XFCN (spocon, SPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h,
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131 n, anorm, xrcond, pz, piz, spocon_info
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132 F77_CHAR_ARG_LEN (1)));
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133
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134 if (spocon_info != 0)
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135 info = -1;
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136 }
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137
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138 return info;
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139 }
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140
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141 static FloatMatrix
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142 chol2inv_internal (const FloatMatrix& r)
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143 {
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144 FloatMatrix retval;
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145
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146 octave_idx_type r_nr = r.rows ();
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147 octave_idx_type r_nc = r.cols ();
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148
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149 if (r_nr == r_nc)
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150 {
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151 octave_idx_type n = r_nc;
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152 octave_idx_type info = 0;
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153
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154 FloatMatrix tmp = r;
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155 float *v = tmp.fortran_vec();
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156
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157 if (info == 0)
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158 {
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159 F77_XFCN (spotri, SPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n,
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160 v, n, info
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161 F77_CHAR_ARG_LEN (1)));
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162
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163 // If someone thinks of a more graceful way of doing this (or
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164 // faster for that matter :-)), please let me know!
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165
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166 if (n > 1)
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167 for (octave_idx_type j = 0; j < r_nc; j++)
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168 for (octave_idx_type i = j+1; i < r_nr; i++)
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169 tmp.xelem (i, j) = tmp.xelem (j, i);
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170
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171 retval = tmp;
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172 }
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173 }
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174 else
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175 (*current_liboctave_error_handler) ("chol2inv requires square matrix");
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176
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177 return retval;
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178 }
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179
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180 // Compute the inverse of a matrix using the Cholesky factorization.
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181 FloatMatrix
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182 FloatCHOL::inverse (void) const
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183 {
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184 return chol2inv_internal (chol_mat);
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185 }
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186
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187 void
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188 FloatCHOL::set (const FloatMatrix& R)
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189 {
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190 if (R.is_square ())
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191 chol_mat = R;
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192 else
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193 (*current_liboctave_error_handler) ("FloatCHOL requires square matrix");
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194 }
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195
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196 #ifdef HAVE_QRUPDATE
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197
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198 void
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199 FloatCHOL::update (const FloatColumnVector& u)
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200 {
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201 octave_idx_type n = chol_mat.rows ();
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202
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203 if (u.length () == n)
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204 {
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205 FloatColumnVector utmp = u;
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206
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207 OCTAVE_LOCAL_BUFFER (float, w, n);
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208
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209 F77_XFCN (sch1up, SCH1UP, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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210 utmp.fortran_vec (), w));
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211 }
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212 else
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213 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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214 }
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215
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216 octave_idx_type
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217 FloatCHOL::downdate (const FloatColumnVector& u)
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218 {
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219 octave_idx_type info = -1;
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220
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221 octave_idx_type n = chol_mat.rows ();
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222
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223 if (u.length () == n)
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224 {
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225 FloatColumnVector utmp = u;
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226
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227 OCTAVE_LOCAL_BUFFER (float, w, n);
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228
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229 F77_XFCN (sch1dn, SCH1DN, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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230 utmp.fortran_vec (), w, info));
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231 }
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232 else
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233 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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234
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235 return info;
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236 }
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237
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238 octave_idx_type
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239 FloatCHOL::insert_sym (const FloatColumnVector& u, octave_idx_type j)
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240 {
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241 octave_idx_type info = -1;
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242
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243 octave_idx_type n = chol_mat.rows ();
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244
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245 if (u.length () != n + 1)
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246 (*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
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247 else if (j < 0 || j > n)
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248 (*current_liboctave_error_handler) ("cholinsert: index out of range");
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249 else
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250 {
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251 FloatColumnVector utmp = u;
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252
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253 OCTAVE_LOCAL_BUFFER (float, w, n);
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254
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255 chol_mat.resize (n+1, n+1);
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256
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257 F77_XFCN (schinx, SCHINX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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258 j + 1, utmp.fortran_vec (), w, info));
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259 }
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260
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261 return info;
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262 }
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263
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264 void
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265 FloatCHOL::delete_sym (octave_idx_type j)
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266 {
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267 octave_idx_type n = chol_mat.rows ();
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268
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269 if (j < 0 || j > n-1)
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270 (*current_liboctave_error_handler) ("choldelete: index out of range");
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271 else
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272 {
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273 OCTAVE_LOCAL_BUFFER (float, w, n);
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274
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275 F77_XFCN (schdex, SCHDEX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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276 j + 1, w));
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277
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278 chol_mat.resize (n-1, n-1);
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279 }
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280 }
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281
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282 void
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283 FloatCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
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284 {
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285 octave_idx_type n = chol_mat.rows ();
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286
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287 if (i < 0 || i > n-1 || j < 0 || j > n-1)
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288 (*current_liboctave_error_handler) ("cholshift: index out of range");
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289 else
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290 {
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291 OCTAVE_LOCAL_BUFFER (float, w, 2*n);
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292
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293 F77_XFCN (schshx, SCHSHX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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294 i + 1, j + 1, w));
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295 }
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296 }
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297
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298 #else
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299
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300 void
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301 FloatCHOL::update (const FloatColumnVector& u)
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302 {
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303 warn_qrupdate_once ();
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304
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305 octave_idx_type n = chol_mat.rows ();
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306
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307 if (u.length () == n)
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308 {
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309 init (chol_mat.transpose () * chol_mat
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310 + FloatMatrix (u) * FloatMatrix (u).transpose (), false);
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311 }
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312 else
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313 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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314 }
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315
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316 static bool
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317 singular (const FloatMatrix& a)
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318 {
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319 for (octave_idx_type i = 0; i < a.rows (); i++)
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320 if (a(i,i) == 0.0f) return true;
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321 return false;
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322 }
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323
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324 octave_idx_type
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diff changeset
325 FloatCHOL::downdate (const FloatColumnVector& u)
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diff changeset
326 {
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327 warn_qrupdate_once ();
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diff changeset
328
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329 octave_idx_type info = -1;
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diff changeset
330
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diff changeset
331 octave_idx_type n = chol_mat.rows ();
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332
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333 if (u.length () == n)
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334 {
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335 if (singular (chol_mat))
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336 info = 2;
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337 else
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338 {
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339 info = init (chol_mat.transpose () * chol_mat
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340 - FloatMatrix (u) * FloatMatrix (u).transpose (), false);
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341 if (info) info = 1;
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342 }
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343 }
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344 else
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345 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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346
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347 return info;
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348 }
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349
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diff changeset
350 octave_idx_type
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diff changeset
351 FloatCHOL::insert_sym (const FloatColumnVector& u, octave_idx_type j)
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352 {
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353 warn_qrupdate_once ();
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diff changeset
354
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355 octave_idx_type info = -1;
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diff changeset
356
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diff changeset
357 octave_idx_type n = chol_mat.rows ();
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358
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359 if (u.length () != n + 1)
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diff changeset
360 (*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
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361 else if (j < 0 || j > n)
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362 (*current_liboctave_error_handler) ("cholinsert: index out of range");
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diff changeset
363 else
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diff changeset
364 {
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diff changeset
365 if (singular (chol_mat))
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diff changeset
366 info = 2;
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367 else
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diff changeset
368 {
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diff changeset
369 FloatMatrix a = chol_mat.transpose () * chol_mat;
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370 FloatMatrix a1 (n+1, n+1);
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371 for (octave_idx_type k = 0; k < n+1; k++)
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diff changeset
372 for (octave_idx_type l = 0; l < n+1; l++)
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diff changeset
373 {
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374 if (l == j)
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375 a1(k, l) = u(k);
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376 else if (k == j)
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377 a1(k, l) = u(l);
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378 else
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379 a1(k, l) = a(k < j ? k : k-1, l < j ? l : l-1);
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380 }
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381 info = init (a1, false);
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382 if (info) info = 1;
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383 }
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diff changeset
384 }
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diff changeset
385
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386 return info;
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diff changeset
387 }
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diff changeset
388
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389 void
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diff changeset
390 FloatCHOL::delete_sym (octave_idx_type j)
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diff changeset
391 {
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392 warn_qrupdate_once ();
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diff changeset
393
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diff changeset
394 octave_idx_type n = chol_mat.rows ();
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diff changeset
395
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diff changeset
396 if (j < 0 || j > n-1)
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diff changeset
397 (*current_liboctave_error_handler) ("choldelete: index out of range");
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diff changeset
398 else
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diff changeset
399 {
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diff changeset
400 FloatMatrix a = chol_mat.transpose () * chol_mat;
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diff changeset
401 a.delete_elements (1, idx_vector (j));
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diff changeset
402 a.delete_elements (0, idx_vector (j));
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diff changeset
403 init (a, false);
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diff changeset
404 }
a6edd5c23cb5 use replacement methods if qrupdate is not available
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parents: 8547
diff changeset
405 }
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parents: 8547
diff changeset
406
a6edd5c23cb5 use replacement methods if qrupdate is not available
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parents: 8547
diff changeset
407 void
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parents: 8547
diff changeset
408 FloatCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
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diff changeset
409 {
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diff changeset
410 warn_qrupdate_once ();
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parents: 8547
diff changeset
411
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parents: 8547
diff changeset
412 octave_idx_type n = chol_mat.rows ();
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parents: 8547
diff changeset
413
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parents: 8547
diff changeset
414 if (i < 0 || i > n-1 || j < 0 || j > n-1)
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Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
415 (*current_liboctave_error_handler) ("cholshift: index out of range");
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diff changeset
416 else
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diff changeset
417 {
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parents: 8547
diff changeset
418 FloatMatrix a = chol_mat.transpose () * chol_mat;
10350
12884915a8e4 merge MArray classes & improve Array interface
Jaroslav Hajek <highegg@gmail.com>
parents: 10314
diff changeset
419 Array<octave_idx_type> p (n, 1);
8562
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parents: 8547
diff changeset
420 for (octave_idx_type k = 0; k < n; k++) p(k) = k;
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diff changeset
421 if (i < j)
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parents: 8547
diff changeset
422 {
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parents: 8547
diff changeset
423 for (octave_idx_type k = i; k < j; k++) p(k) = k+1;
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parents: 8547
diff changeset
424 p(j) = i;
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parents: 8547
diff changeset
425 }
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parents: 8547
diff changeset
426 else if (j < i)
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parents: 8547
diff changeset
427 {
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parents: 8547
diff changeset
428 p(j) = i;
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parents: 8547
diff changeset
429 for (octave_idx_type k = j+1; k < i+1; k++) p(k) = k-1;
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diff changeset
430 }
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diff changeset
431
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parents: 8547
diff changeset
432 init (a.index (idx_vector (p), idx_vector (p)), false);
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diff changeset
433 }
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diff changeset
434 }
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parents: 8547
diff changeset
435
8547
d66c9b6e506a imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents: 8377
diff changeset
436 #endif
d66c9b6e506a imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents: 8377
diff changeset
437
7789
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
438 FloatMatrix
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
439 chol2inv (const FloatMatrix& r)
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
440 {
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
441 return chol2inv_internal (r);
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
442 }