Mercurial > octave-nkf
view libcruft/qrupdate/zch1up.f @ 7554:40574114c514
implement Cholesky factorization updating
author | Jaroslav Hajek <highegg@gmail.com> |
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date | Tue, 04 Mar 2008 22:25:50 -0500 |
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c Copyright (C) 2008 VZLU Prague, a.s., Czech Republic c c Author: Jaroslav Hajek <highegg@gmail.com> c c This source is free software; you can redistribute it and/or modify c it under the terms of the GNU General Public License as published by c the Free Software Foundation; either version 2 of the License, or c (at your option) any later version. c c This program is distributed in the hope that it will be useful, c but WITHOUT ANY WARRANTY; without even the implied warranty of c MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the c GNU General Public License for more details. c c You should have received a copy of the GNU General Public License c along with this software; see the file COPYING. If not, see c <http://www.gnu.org/licenses/>. c subroutine zch1up(n,R,u,w) c purpose: given an upper triangular matrix R that is a Cholesky c factor of a hermitian positive definite matrix A, i.e. c A = R'*R, this subroutine updates R -> R1 so that c R1'*R1 = A + u*u' or A - u*u' c (complex version) c arguments: c n (in) the order of matrix R c R (io) on entry, the upper triangular matrix R c on exit, the updated matrix R1 c u (io) the vector determining the rank-1 update c on exit, u is destroyed. c w (w) a real workspace vector of size n c c NOTE: the workspace vector is used to store the rotations c so that R does not need to be traversed by rows. c integer n double complex R(n,n),u(n) double precision w(n) external zlartg double complex rr,ui,t integer i,j do i = 1,n c apply stored rotations, column-wise ui = conjg(u(i)) do j = 1,i-1 t = w(j)*R(j,i) + u(j)*ui ui = w(j)*ui - conjg(u(j))*R(j,i) R(j,i) = t end do c generate next rotation call zlartg(R(i,i),ui,w(i),u(i),rr) R(i,i) = rr end do end