view libinterp/corefcn/schur.cc @ 19781:56157a7505ed

Add new ordschur function. * libinterp/corefcn/ordschur.cc: New file. * libinterp/corefcn/module.mk: Include it in the list of source files. * scripts/help/__unimplemented__.m: Remove ordschur from the list of unimplemented functions. * doc/interpreter/linalg.txi: Add it to the interpreter manual. * NEWS: Mention it. * libinterp/corefcn/schur.cc (schur): Reference it from the documentation of the schur function. Thanks to Carnë Draug for improving the original patch, and to Mike Miller for reviewing it and suggesting improvements.
author Sébastien Villemot <sebastien@debian.org>
date Sat, 07 Feb 2015 21:51:20 +0100
parents 4197fc428c7d
children 4f45eaf83908
line wrap: on
line source

/*

Copyright (C) 1996-2015 John W. Eaton

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 <string>

#include "CmplxSCHUR.h"
#include "dbleSCHUR.h"
#include "fCmplxSCHUR.h"
#include "floatSCHUR.h"

#include "defun.h"
#include "error.h"
#include "gripes.h"
#include "oct-obj.h"
#include "utils.h"

template <class Matrix>
static octave_value
mark_upper_triangular (const Matrix& a)
{
  octave_value retval = a;

  octave_idx_type n = a.rows ();
  assert (a.columns () == n);

  const typename Matrix::element_type zero = typename Matrix::element_type ();

  for (octave_idx_type i = 0; i < n; i++)
    if (a(i,i) == zero)
      return retval;

  retval.matrix_type (MatrixType::Upper);

  return retval;
}

DEFUN (schur, args, nargout,
       "-*- texinfo -*-\n\
@deftypefn  {Built-in Function} {@var{S} =} schur (@var{A})\n\
@deftypefnx {Built-in Function} {@var{S} =} schur (@var{A}, \"real\")\n\
@deftypefnx {Built-in Function} {@var{S} =} schur (@var{A}, \"complex\")\n\
@deftypefnx {Built-in Function} {@var{S} =} schur (@var{A}, @var{opt})\n\
@deftypefnx {Built-in Function} {[@var{U}, @var{S}] =} schur (@dots{})\n\
@cindex Schur decomposition\n\
Compute the Schur@tie{}decomposition of @var{A}\n\
@tex\n\
$$\n\
 S = U^T A U\n\
$$\n\
@end tex\n\
@ifnottex\n\
\n\
@example\n\
@code{@var{S} = @var{U}' * @var{A} * @var{U}}\n\
@end example\n\
\n\
@end ifnottex\n\
where @var{U} is a unitary matrix\n\
@tex\n\
($U^T U$ is identity)\n\
@end tex\n\
@ifnottex\n\
(@code{@var{U}'* @var{U}} is identity)\n\
@end ifnottex\n\
and @var{S} is upper triangular.  The eigenvalues of @var{A} (and @var{S})\n\
are the diagonal elements of @var{S}.  If the matrix @var{A}\n\
is real, then the real Schur@tie{}decomposition is computed, in which the\n\
matrix @var{U} is orthogonal and @var{S} is block upper triangular\n\
with blocks of size at most\n\
@tex\n\
$2 \\times 2$\n\
@end tex\n\
@ifnottex\n\
@code{2 x 2}\n\
@end ifnottex\n\
along the diagonal.  The diagonal elements of @var{S}\n\
(or the eigenvalues of the\n\
@tex\n\
$2 \\times 2$\n\
@end tex\n\
@ifnottex\n\
@code{2 x 2}\n\
@end ifnottex\n\
blocks, when appropriate) are the eigenvalues of @var{A} and @var{S}.\n\
\n\
The default for real matrices is a real Schur@tie{}decomposition.\n\
A complex decomposition may be forced by passing the flag\n\
@qcode{\"complex\"}.\n\
\n\
The eigenvalues are optionally ordered along the diagonal according to\n\
the value of @var{opt}.  @code{@var{opt} = \"a\"} indicates that all\n\
eigenvalues with negative real parts should be moved to the leading\n\
block of @var{S}\n\
(used in @code{are}), @code{@var{opt} = \"d\"} indicates that all eigenvalues\n\
with magnitude less than one should be moved to the leading block of @var{S}\n\
(used in @code{dare}), and @code{@var{opt} = \"u\"}, the default, indicates\n\
that no ordering of eigenvalues should occur.  The leading @var{k}\n\
columns of @var{U} always span the @var{A}-invariant\n\
subspace corresponding to the @var{k} leading eigenvalues of @var{S}.\n\
\n\
The Schur@tie{}decomposition is used to compute eigenvalues of a\n\
square matrix, and has applications in the solution of algebraic\n\
Riccati equations in control (see @code{are} and @code{dare}).\n\
@seealso{rsf2csf, ordschur, lu, chol, hess, qr, qz, svd}\n\
@end deftypefn")
{
  octave_value_list retval;

  int nargin = args.length ();

  if (nargin < 1 || nargin > 2 || nargout > 2)
    {
      print_usage ();
      return retval;
    }

  octave_value arg = args(0);

  std::string ord;

  if (nargin == 2)
    {
      if (args(1).is_string ())
        ord = args(1).string_value ();
      else
        {
          error ("schur: second argument must be a string");
          return retval;
        }
    }

  bool force_complex = false;

  if (ord == "real")
    {
      ord = std::string ();
    }
  else if (ord == "complex")
    {
      force_complex = true;
      ord = std::string ();
    }
  else
    {
      char ord_char = ord.empty () ? 'U' : ord[0];

      if (ord_char != 'U' && ord_char != 'A' && ord_char != 'D'
          && ord_char != 'u' && ord_char != 'a' && ord_char != 'd')
        {
          warning ("schur: incorrect ordered schur argument '%s'",
                   ord.c_str ());
          return retval;
        }
    }

  octave_idx_type nr = arg.rows ();
  octave_idx_type nc = arg.columns ();

  if (nr != nc)
    {
      gripe_square_matrix_required ("schur");
      return retval;
    }

  if (! arg.is_numeric_type ())
    gripe_wrong_type_arg ("schur", arg);
  else if (arg.is_single_type ())
    {
      if (! force_complex && arg.is_real_type ())
        {
          FloatMatrix tmp = arg.float_matrix_value ();

          if (! error_state)
            {
              if (nargout == 0 || nargout == 1)
                {
                  FloatSCHUR result (tmp, ord, false);
                  retval(0) = result.schur_matrix ();
                }
              else
                {
                  FloatSCHUR result (tmp, ord, true);
                  retval(1) = result.schur_matrix ();
                  retval(0) = result.unitary_matrix ();
                }
            }
        }
      else
        {
          FloatComplexMatrix ctmp = arg.float_complex_matrix_value ();

          if (! error_state)
            {

              if (nargout == 0 || nargout == 1)
                {
                  FloatComplexSCHUR result (ctmp, ord, false);
                  retval(0) = mark_upper_triangular (result.schur_matrix ());
                }
              else
                {
                  FloatComplexSCHUR result (ctmp, ord, true);
                  retval(1) = mark_upper_triangular (result.schur_matrix ());
                  retval(0) = result.unitary_matrix ();
                }
            }
        }
    }
  else
    {
      if (! force_complex && arg.is_real_type ())
        {
          Matrix tmp = arg.matrix_value ();

          if (! error_state)
            {
              if (nargout == 0 || nargout == 1)
                {
                  SCHUR result (tmp, ord, false);
                  retval(0) = result.schur_matrix ();
                }
              else
                {
                  SCHUR result (tmp, ord, true);
                  retval(1) = result.schur_matrix ();
                  retval(0) = result.unitary_matrix ();
                }
            }
        }
      else
        {
          ComplexMatrix ctmp = arg.complex_matrix_value ();

          if (! error_state)
            {

              if (nargout == 0 || nargout == 1)
                {
                  ComplexSCHUR result (ctmp, ord, false);
                  retval(0) = mark_upper_triangular (result.schur_matrix ());
                }
              else
                {
                  ComplexSCHUR result (ctmp, ord, true);
                  retval(1) = mark_upper_triangular (result.schur_matrix ());
                  retval(0) = result.unitary_matrix ();
                }
            }
        }
    }

  return retval;
}

/*
%!test
%! a = [1, 2, 3; 4, 5, 9; 7, 8, 6];
%! [u, s] = schur (a);
%! assert (u' * a * u, s, sqrt (eps));

%!test
%! a = single ([1, 2, 3; 4, 5, 9; 7, 8, 6]);
%! [u, s] = schur (a);
%! assert (u' * a * u, s, sqrt (eps ("single")));

%!error schur ()
%!error schur (1,2,3)
%!error [a,b,c] = schur (1)
%!error <argument must be a square matrix> schur ([1, 2, 3; 4, 5, 6])
%!error <wrong type argument 'cell'> schur ({1})
%!warning <incorrect ordered schur argument> schur ([1, 2; 3, 4], "bad_opt");

*/

DEFUN (rsf2csf, args, nargout,
       "-*- texinfo -*-\n\
@deftypefn {Function File} {[@var{U}, @var{T}] =} rsf2csf (@var{UR}, @var{TR})\n\
Convert a real, upper quasi-triangular Schur@tie{}form @var{TR} to a complex,\n\
upper triangular Schur@tie{}form @var{T}.\n\
\n\
Note that the following relations hold:\n\
\n\
@tex\n\
$UR \\cdot TR \\cdot {UR}^T = U T U^{\\dagger}$ and\n\
$U^{\\dagger} U$ is the identity matrix I.\n\
@end tex\n\
@ifnottex\n\
@tcode{@var{UR} * @var{TR} * @var{UR}' = @var{U} * @var{T} * @var{U}'} and\n\
@code{@var{U}' * @var{U}} is the identity matrix I.\n\
@end ifnottex\n\
\n\
Note also that @var{U} and @var{T} are not unique.\n\
@seealso{schur}\n\
@end deftypefn")
{
  octave_value_list retval;

  if (args.length () == 2 && nargout <= 2)
    {
      if (! args(0).is_numeric_type ())
        gripe_wrong_type_arg ("rsf2csf", args(0));
      else if (! args(1).is_numeric_type ())
        gripe_wrong_type_arg ("rsf2csf", args(1));
      else if (args(0).is_complex_type () || args(1).is_complex_type ())
        error ("rsf2csf: UR and TR must be real matrices");
      else
        {

          if (args(0).is_single_type () || args(1).is_single_type ())
            {
              FloatMatrix u = args(0).float_matrix_value ();
              FloatMatrix t = args(1).float_matrix_value ();
              if (! error_state)
                {
                  FloatComplexSCHUR cs (FloatSCHUR (t, u));

                  retval(1) = cs.schur_matrix ();
                  retval(0) = cs.unitary_matrix ();
                }
            }
          else
            {
              Matrix u = args(0).matrix_value ();
              Matrix t = args(1).matrix_value ();
              if (! error_state)
                {
                  ComplexSCHUR cs (SCHUR (t, u));

                  retval(1) = cs.schur_matrix ();
                  retval(0) = cs.unitary_matrix ();
                }
            }
        }
    }
  else
    print_usage ();

  return retval;
}

/*
%!test
%! A = [1, 1, 1, 2; 1, 2, 1, 1; 1, 1, 3, 1; -2, 1, 1, 1];
%! [u, t] = schur (A);
%! [U, T] = rsf2csf (u, t);
%! assert (norm (u * t * u' - U * T * U'), 0, 1e-12);
%! assert (norm (A - U * T * U'), 0, 1e-12);

%!test
%! A = rand (10);
%! [u, t] = schur (A);
%! [U, T] = rsf2csf (u, t);
%! assert (norm (tril (T, -1)), 0);
%! assert (norm (U * U'), 1, 1e-14);

%!test
%! A = [0, 1;-1, 0];
%! [u, t] = schur (A);
%! [U, T] = rsf2csf (u,t);
%! assert (U * T * U', A, 1e-14);
*/