Mercurial > octave-nkf
view liboctave/numeric/dbleCHOL.cc @ 17769:49a5a4be04a1
maint: Use GNU style coding conventions for code in liboctave/
* liboctave/array/Array-C.cc, liboctave/array/Array-b.cc,
liboctave/array/Array-ch.cc, liboctave/array/Array-d.cc,
liboctave/array/Array-f.cc, liboctave/array/Array-fC.cc,
liboctave/array/Array-util.cc, liboctave/array/Array-util.h,
liboctave/array/Array.cc, liboctave/array/Array.h, liboctave/array/Array3.h,
liboctave/array/CColVector.cc, liboctave/array/CColVector.h,
liboctave/array/CDiagMatrix.cc, liboctave/array/CDiagMatrix.h,
liboctave/array/CMatrix.cc, liboctave/array/CMatrix.h,
liboctave/array/CNDArray.cc, liboctave/array/CNDArray.h,
liboctave/array/CRowVector.cc, liboctave/array/CRowVector.h,
liboctave/array/CSparse.cc, liboctave/array/CSparse.h,
liboctave/array/DiagArray2.h, liboctave/array/MArray.cc,
liboctave/array/MArray.h, liboctave/array/MDiagArray2.cc,
liboctave/array/MDiagArray2.h, liboctave/array/MSparse.cc,
liboctave/array/MSparse.h, liboctave/array/MatrixType.cc,
liboctave/array/MatrixType.h, liboctave/array/PermMatrix.h,
liboctave/array/Range.cc, liboctave/array/Range.h, liboctave/array/Sparse.cc,
liboctave/array/Sparse.h, liboctave/array/boolMatrix.cc,
liboctave/array/boolMatrix.h, liboctave/array/boolNDArray.cc,
liboctave/array/boolNDArray.h, liboctave/array/boolSparse.cc,
liboctave/array/boolSparse.h, liboctave/array/chMatrix.cc,
liboctave/array/chMatrix.h, liboctave/array/chNDArray.cc,
liboctave/array/chNDArray.h, liboctave/array/dColVector.h,
liboctave/array/dDiagMatrix.cc, liboctave/array/dDiagMatrix.h,
liboctave/array/dMatrix.cc, liboctave/array/dMatrix.h,
liboctave/array/dNDArray.cc, liboctave/array/dNDArray.h,
liboctave/array/dRowVector.h, liboctave/array/dSparse.cc,
liboctave/array/dSparse.h, liboctave/array/dim-vector.cc,
liboctave/array/dim-vector.h, liboctave/array/fCColVector.cc,
liboctave/array/fCColVector.h, liboctave/array/fCDiagMatrix.cc,
liboctave/array/fCDiagMatrix.h, liboctave/array/fCMatrix.cc,
liboctave/array/fCMatrix.h, liboctave/array/fCNDArray.cc,
liboctave/array/fCNDArray.h, liboctave/array/fCRowVector.cc,
liboctave/array/fCRowVector.h, liboctave/array/fColVector.h,
liboctave/array/fDiagMatrix.cc, liboctave/array/fDiagMatrix.h,
liboctave/array/fMatrix.cc, liboctave/array/fMatrix.h,
liboctave/array/fNDArray.cc, liboctave/array/fNDArray.h,
liboctave/array/fRowVector.h, liboctave/array/idx-vector.cc,
liboctave/array/idx-vector.h, liboctave/array/intNDArray.cc,
liboctave/array/intNDArray.h, liboctave/cruft/misc/blaswrap.c,
liboctave/cruft/misc/quit.cc, liboctave/numeric/CmplxCHOL.cc,
liboctave/numeric/CmplxCHOL.h, liboctave/numeric/CmplxGEPBAL.cc,
liboctave/numeric/CmplxGEPBAL.h, liboctave/numeric/CmplxHESS.h,
liboctave/numeric/CmplxLU.cc, liboctave/numeric/CmplxLU.h,
liboctave/numeric/CmplxQR.cc, liboctave/numeric/CmplxQRP.cc,
liboctave/numeric/CmplxQRP.h, liboctave/numeric/CmplxSCHUR.h,
liboctave/numeric/CmplxSVD.cc, liboctave/numeric/CmplxSVD.h,
liboctave/numeric/CollocWt.h, liboctave/numeric/DAE.h,
liboctave/numeric/DAEFunc.h, liboctave/numeric/DAERT.h,
liboctave/numeric/DAERTFunc.h, liboctave/numeric/DASPK.cc,
liboctave/numeric/DASRT.cc, liboctave/numeric/DASRT.h,
liboctave/numeric/DASSL.cc, liboctave/numeric/DET.h, liboctave/numeric/EIG.cc,
liboctave/numeric/EIG.h, liboctave/numeric/LSODE.cc, liboctave/numeric/ODE.h,
liboctave/numeric/ODEFunc.h, liboctave/numeric/ODES.h,
liboctave/numeric/ODESFunc.h, liboctave/numeric/Quad.cc,
liboctave/numeric/Quad.h, liboctave/numeric/SparseCmplxCHOL.h,
liboctave/numeric/SparseCmplxLU.cc, liboctave/numeric/SparseCmplxLU.h,
liboctave/numeric/SparseCmplxQR.cc, liboctave/numeric/SparseCmplxQR.h,
liboctave/numeric/SparseQR.cc, liboctave/numeric/SparseQR.h,
liboctave/numeric/SparsedbleCHOL.h, liboctave/numeric/SparsedbleLU.cc,
liboctave/numeric/SparsedbleLU.h, liboctave/numeric/base-aepbal.h,
liboctave/numeric/base-dae.h, liboctave/numeric/base-de.h,
liboctave/numeric/base-lu.cc, liboctave/numeric/base-lu.h,
liboctave/numeric/base-min.h, liboctave/numeric/base-qr.h,
liboctave/numeric/bsxfun.h, liboctave/numeric/dbleCHOL.cc,
liboctave/numeric/dbleCHOL.h, liboctave/numeric/dbleGEPBAL.h,
liboctave/numeric/dbleHESS.h, liboctave/numeric/dbleLU.cc,
liboctave/numeric/dbleLU.h, liboctave/numeric/dbleQR.cc,
liboctave/numeric/dbleQRP.cc, liboctave/numeric/dbleQRP.h,
liboctave/numeric/dbleSCHUR.cc, liboctave/numeric/dbleSCHUR.h,
liboctave/numeric/dbleSVD.cc, liboctave/numeric/dbleSVD.h,
liboctave/numeric/eigs-base.cc, liboctave/numeric/fCmplxAEPBAL.cc,
liboctave/numeric/fCmplxAEPBAL.h, liboctave/numeric/fCmplxCHOL.cc,
liboctave/numeric/fCmplxCHOL.h, liboctave/numeric/fCmplxGEPBAL.cc,
liboctave/numeric/fCmplxGEPBAL.h, liboctave/numeric/fCmplxHESS.h,
liboctave/numeric/fCmplxLU.cc, liboctave/numeric/fCmplxLU.h,
liboctave/numeric/fCmplxQR.cc, liboctave/numeric/fCmplxQR.h,
liboctave/numeric/fCmplxQRP.cc, liboctave/numeric/fCmplxQRP.h,
liboctave/numeric/fCmplxSCHUR.cc, liboctave/numeric/fCmplxSCHUR.h,
liboctave/numeric/fCmplxSVD.h, liboctave/numeric/fEIG.cc,
liboctave/numeric/fEIG.h, liboctave/numeric/floatCHOL.cc,
liboctave/numeric/floatCHOL.h, liboctave/numeric/floatGEPBAL.cc,
liboctave/numeric/floatGEPBAL.h, liboctave/numeric/floatHESS.h,
liboctave/numeric/floatLU.cc, liboctave/numeric/floatLU.h,
liboctave/numeric/floatQR.cc, liboctave/numeric/floatQRP.cc,
liboctave/numeric/floatQRP.h, liboctave/numeric/floatSCHUR.cc,
liboctave/numeric/floatSCHUR.h, liboctave/numeric/floatSVD.cc,
liboctave/numeric/floatSVD.h, liboctave/numeric/lo-mappers.cc,
liboctave/numeric/lo-mappers.h, liboctave/numeric/lo-specfun.cc,
liboctave/numeric/lo-specfun.h, liboctave/numeric/oct-convn.cc,
liboctave/numeric/oct-fftw.cc, liboctave/numeric/oct-fftw.h,
liboctave/numeric/oct-norm.cc, liboctave/numeric/oct-rand.cc,
liboctave/numeric/oct-rand.h, liboctave/numeric/randgamma.c,
liboctave/numeric/randgamma.h, liboctave/numeric/randmtzig.c,
liboctave/numeric/randpoisson.c, liboctave/numeric/randpoisson.h,
liboctave/numeric/sparse-base-chol.h, liboctave/numeric/sparse-base-lu.h,
liboctave/numeric/sparse-dmsolve.cc, liboctave/operators/Sparse-diag-op-defs.h,
liboctave/operators/Sparse-op-defs.h, liboctave/operators/mx-inlines.cc,
liboctave/system/dir-ops.h, liboctave/system/file-ops.cc,
liboctave/system/file-stat.cc, liboctave/system/file-stat.h,
liboctave/system/lo-sysdep.cc, liboctave/system/lo-sysdep.h,
liboctave/system/mach-info.cc, liboctave/system/mach-info.h,
liboctave/system/oct-env.cc, liboctave/system/oct-group.cc,
liboctave/system/oct-syscalls.cc, liboctave/system/oct-syscalls.h,
liboctave/system/oct-time.h, liboctave/system/tempname.c,
liboctave/util/action-container.h, liboctave/util/base-list.h,
liboctave/util/cmd-edit.cc, liboctave/util/cmd-edit.h,
liboctave/util/cmd-hist.cc, liboctave/util/cmd-hist.h,
liboctave/util/data-conv.cc, liboctave/util/data-conv.h,
liboctave/util/kpse.cc, liboctave/util/lo-array-gripes.cc,
liboctave/util/lo-cieee.c, liboctave/util/lo-regexp.cc,
liboctave/util/lo-utils.cc, liboctave/util/oct-alloc.cc,
liboctave/util/oct-base64.cc, liboctave/util/oct-binmap.h,
liboctave/util/oct-cmplx.h, liboctave/util/oct-glob.cc,
liboctave/util/oct-inttypes.cc, liboctave/util/oct-inttypes.h,
liboctave/util/oct-locbuf.cc, liboctave/util/oct-locbuf.h,
liboctave/util/oct-mem.h, liboctave/util/oct-mutex.cc,
liboctave/util/oct-refcount.h, liboctave/util/oct-shlib.cc,
liboctave/util/oct-shlib.h, liboctave/util/oct-sort.cc,
liboctave/util/oct-sort.h, liboctave/util/pathsearch.cc,
liboctave/util/pathsearch.h, liboctave/util/sparse-util.cc,
liboctave/util/str-vec.cc, liboctave/util/str-vec.h,
liboctave/util/unwind-prot.h, liboctave/util/url-transfer.cc,
liboctave/util/url-transfer.h: Use GNU style coding conventions.
author | Rik <rik@octave.org> |
---|---|
date | Sat, 26 Oct 2013 18:57:05 -0700 |
parents | d63878346099 |
children | 4197fc428c7d |
line wrap: on
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/* Copyright (C) 1994-2013 John W. Eaton Copyright (C) 2008-2009 Jaroslav Hajek This file is part of Octave. Octave is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 3 of the License, or (at your option) any later version. Octave is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with Octave; see the file COPYING. If not, see <http://www.gnu.org/licenses/>. */ #ifdef HAVE_CONFIG_H #include <config.h> #endif #include <vector> #include "dRowVector.h" #include "dbleCHOL.h" #include "f77-fcn.h" #include "lo-error.h" #include "oct-locbuf.h" #include "oct-norm.h" #ifndef HAVE_QRUPDATE #include "dbleQR.h" #endif extern "C" { F77_RET_T F77_FUNC (dpotrf, DPOTRF) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&, double*, const octave_idx_type&, octave_idx_type& F77_CHAR_ARG_LEN_DECL); F77_RET_T F77_FUNC (dpotri, DPOTRI) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&, double*, const octave_idx_type&, octave_idx_type& F77_CHAR_ARG_LEN_DECL); F77_RET_T F77_FUNC (dpocon, DPOCON) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&, double*, const octave_idx_type&, const double&, double&, double*, octave_idx_type*, octave_idx_type& F77_CHAR_ARG_LEN_DECL); #ifdef HAVE_QRUPDATE F77_RET_T F77_FUNC (dch1up, DCH1UP) (const octave_idx_type&, double*, const octave_idx_type&, double*, double*); F77_RET_T F77_FUNC (dch1dn, DCH1DN) (const octave_idx_type&, double*, const octave_idx_type&, double*, double*, octave_idx_type&); F77_RET_T F77_FUNC (dchinx, DCHINX) (const octave_idx_type&, double*, const octave_idx_type&, const octave_idx_type&, double*, double*, octave_idx_type&); F77_RET_T F77_FUNC (dchdex, DCHDEX) (const octave_idx_type&, double*, const octave_idx_type&, const octave_idx_type&, double*); F77_RET_T F77_FUNC (dchshx, DCHSHX) (const octave_idx_type&, double*, const octave_idx_type&, const octave_idx_type&, const octave_idx_type&, double*); #endif } octave_idx_type CHOL::init (const Matrix& a, bool calc_cond) { octave_idx_type a_nr = a.rows (); octave_idx_type a_nc = a.cols (); if (a_nr != a_nc) { (*current_liboctave_error_handler) ("CHOL requires square matrix"); return -1; } octave_idx_type n = a_nc; octave_idx_type info; chol_mat.clear (n, n); for (octave_idx_type j = 0; j < n; j++) { for (octave_idx_type i = 0; i <= j; i++) chol_mat.xelem (i, j) = a(i, j); for (octave_idx_type i = j+1; i < n; i++) chol_mat.xelem (i, j) = 0.0; } double *h = chol_mat.fortran_vec (); // Calculate the norm of the matrix, for later use. double anorm = 0; if (calc_cond) anorm = xnorm (a, 1); F77_XFCN (dpotrf, DPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1), n, h, n, info F77_CHAR_ARG_LEN (1))); xrcond = 0.0; if (info > 0) chol_mat.resize (info - 1, info - 1); else if (calc_cond) { octave_idx_type dpocon_info = 0; // Now calculate the condition number for non-singular matrix. Array<double> z (dim_vector (3*n, 1)); double *pz = z.fortran_vec (); Array<octave_idx_type> iz (dim_vector (n, 1)); octave_idx_type *piz = iz.fortran_vec (); F77_XFCN (dpocon, DPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h, n, anorm, xrcond, pz, piz, dpocon_info F77_CHAR_ARG_LEN (1))); if (dpocon_info != 0) info = -1; } return info; } static Matrix chol2inv_internal (const Matrix& r) { Matrix retval; octave_idx_type r_nr = r.rows (); octave_idx_type r_nc = r.cols (); if (r_nr == r_nc) { octave_idx_type n = r_nc; octave_idx_type info = 0; Matrix tmp = r; double *v = tmp.fortran_vec (); if (info == 0) { F77_XFCN (dpotri, DPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n, v, n, info F77_CHAR_ARG_LEN (1))); // If someone thinks of a more graceful way of doing this (or // faster for that matter :-)), please let me know! if (n > 1) for (octave_idx_type j = 0; j < r_nc; j++) for (octave_idx_type i = j+1; i < r_nr; i++) tmp.xelem (i, j) = tmp.xelem (j, i); retval = tmp; } } else (*current_liboctave_error_handler) ("chol2inv requires square matrix"); return retval; } // Compute the inverse of a matrix using the Cholesky factorization. Matrix CHOL::inverse (void) const { return chol2inv_internal (chol_mat); } void CHOL::set (const Matrix& R) { if (R.is_square ()) chol_mat = R; else (*current_liboctave_error_handler) ("CHOL requires square matrix"); } #ifdef HAVE_QRUPDATE void CHOL::update (const ColumnVector& u) { octave_idx_type n = chol_mat.rows (); if (u.length () == n) { ColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (double, w, n); F77_XFCN (dch1up, DCH1UP, (n, chol_mat.fortran_vec (), chol_mat.rows (), utmp.fortran_vec (), w)); } else (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); } octave_idx_type CHOL::downdate (const ColumnVector& u) { octave_idx_type info = -1; octave_idx_type n = chol_mat.rows (); if (u.length () == n) { ColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (double, w, n); F77_XFCN (dch1dn, DCH1DN, (n, chol_mat.fortran_vec (), chol_mat.rows (), utmp.fortran_vec (), w, info)); } else (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); return info; } octave_idx_type CHOL::insert_sym (const ColumnVector& u, octave_idx_type j) { octave_idx_type info = -1; octave_idx_type n = chol_mat.rows (); if (u.length () != n + 1) (*current_liboctave_error_handler) ("cholinsert: dimension mismatch"); else if (j < 0 || j > n) (*current_liboctave_error_handler) ("cholinsert: index out of range"); else { ColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (double, w, n); chol_mat.resize (n+1, n+1); F77_XFCN (dchinx, DCHINX, (n, chol_mat.fortran_vec (), chol_mat.rows (), j + 1, utmp.fortran_vec (), w, info)); } return info; } void CHOL::delete_sym (octave_idx_type j) { octave_idx_type n = chol_mat.rows (); if (j < 0 || j > n-1) (*current_liboctave_error_handler) ("choldelete: index out of range"); else { OCTAVE_LOCAL_BUFFER (double, w, n); F77_XFCN (dchdex, DCHDEX, (n, chol_mat.fortran_vec (), chol_mat.rows (), j + 1, w)); chol_mat.resize (n-1, n-1); } } void CHOL::shift_sym (octave_idx_type i, octave_idx_type j) { octave_idx_type n = chol_mat.rows (); if (i < 0 || i > n-1 || j < 0 || j > n-1) (*current_liboctave_error_handler) ("cholshift: index out of range"); else { OCTAVE_LOCAL_BUFFER (double, w, 2*n); F77_XFCN (dchshx, DCHSHX, (n, chol_mat.fortran_vec (), chol_mat.rows (), i + 1, j + 1, w)); } } #else void CHOL::update (const ColumnVector& u) { warn_qrupdate_once (); octave_idx_type n = chol_mat.rows (); if (u.length () == n) { init (chol_mat.transpose () * chol_mat + Matrix (u) * Matrix (u).transpose (), false); } else (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); } static bool singular (const Matrix& a) { for (octave_idx_type i = 0; i < a.rows (); i++) if (a(i,i) == 0.0) return true; return false; } octave_idx_type CHOL::downdate (const ColumnVector& u) { warn_qrupdate_once (); octave_idx_type info = -1; octave_idx_type n = chol_mat.rows (); if (u.length () == n) { if (singular (chol_mat)) info = 2; else { info = init (chol_mat.transpose () * chol_mat - Matrix (u) * Matrix (u).transpose (), false); if (info) info = 1; } } else (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); return info; } octave_idx_type CHOL::insert_sym (const ColumnVector& u, octave_idx_type j) { warn_qrupdate_once (); octave_idx_type info = -1; octave_idx_type n = chol_mat.rows (); if (u.length () != n + 1) (*current_liboctave_error_handler) ("cholinsert: dimension mismatch"); else if (j < 0 || j > n) (*current_liboctave_error_handler) ("cholinsert: index out of range"); else { if (singular (chol_mat)) info = 2; else { Matrix a = chol_mat.transpose () * chol_mat; Matrix a1 (n+1, n+1); for (octave_idx_type k = 0; k < n+1; k++) for (octave_idx_type l = 0; l < n+1; l++) { if (l == j) a1(k, l) = u(k); else if (k == j) a1(k, l) = u(l); else a1(k, l) = a(k < j ? k : k-1, l < j ? l : l-1); } info = init (a1, false); if (info) info = 1; } } return info; } void CHOL::delete_sym (octave_idx_type j) { warn_qrupdate_once (); octave_idx_type n = chol_mat.rows (); if (j < 0 || j > n-1) (*current_liboctave_error_handler) ("choldelete: index out of range"); else { Matrix a = chol_mat.transpose () * chol_mat; a.delete_elements (1, idx_vector (j)); a.delete_elements (0, idx_vector (j)); init (a, false); } } void CHOL::shift_sym (octave_idx_type i, octave_idx_type j) { warn_qrupdate_once (); octave_idx_type n = chol_mat.rows (); if (i < 0 || i > n-1 || j < 0 || j > n-1) (*current_liboctave_error_handler) ("cholshift: index out of range"); else { Matrix a = chol_mat.transpose () * chol_mat; Array<octave_idx_type> p (dim_vector (n, 1)); for (octave_idx_type k = 0; k < n; k++) p(k) = k; if (i < j) { for (octave_idx_type k = i; k < j; k++) p(k) = k+1; p(j) = i; } else if (j < i) { p(j) = i; for (octave_idx_type k = j+1; k < i+1; k++) p(k) = k-1; } init (a.index (idx_vector (p), idx_vector (p)), false); } } #endif Matrix chol2inv (const Matrix& r) { return chol2inv_internal (r); }