view src/DLD-FUNCTIONS/sqrtm.cc @ 11523:fd0a3ac60b0e

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author John W. Eaton <jwe@octave.org>
date Fri, 14 Jan 2011 05:47:45 -0500
parents 3140cb7a05a1
children 01f703952eff
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/*

Copyright (C) 2001-2011 Ross Lippert and Paul Kienzle
Copyright (C) 2010 VZLU Prague

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 <float.h>

#include "CmplxSCHUR.h"
#include "fCmplxSCHUR.h"
#include "lo-ieee.h"
#include "lo-mappers.h"
#include "oct-norm.h"

#include "defun-dld.h"
#include "error.h"
#include "gripes.h"
#include "utils.h"
#include "xnorm.h"

template <class Matrix>
static void
sqrtm_utri_inplace (Matrix& T)
{
  typedef typename Matrix::element_type element_type;

  const element_type zero = element_type ();

  bool singular = false;

  /* 
   * the following code is equivalent to this triple loop:
   *
   *  n = rows (T);
   *  for j = 1:n
   *    T(j,j) = sqrt (T(j,j));
   *    for i = j-1:-1:1
   *      T(i,j) /= (T(i,i) + T(j,j));
   *      k = 1:i-1;
   *      T(k,j) -= T(k,i) * T(i,j);
   *    endfor
   *  endfor
   *
   *  this is an in-place, cache-aligned variant of the code
   *  given in Higham's paper.
  */

  const octave_idx_type n = T.rows ();
  element_type *Tp = T.fortran_vec ();
  for (octave_idx_type j = 0; j < n; j++)
    {
      element_type *colj = Tp + n*j;
      if (colj[j] != zero)
        colj[j] = sqrt (colj[j]);
      else
        singular = true;

      for (octave_idx_type i = j-1; i >= 0; i--)
        {
          const element_type *coli = Tp + n*i;
          const element_type colji = colj[i] /= (coli[i] + colj[j]);
          for (octave_idx_type k = 0; k < i; k++)
            colj[k] -= coli[k] * colji;
        }
    }

  if (singular)
    warning_with_id ("Octave:sqrtm:SingularMatrix",
                     "sqrtm: matrix is singular, may not have a square root");
}

template <class Matrix, class ComplexMatrix, class ComplexSCHUR>
static octave_value
do_sqrtm (const octave_value& arg)
{

  octave_value retval;

  MatrixType mt = arg.matrix_type ();

  bool iscomplex = arg.is_complex_type ();

  typedef typename Matrix::element_type real_type;

  real_type cutoff = 0, one = 1;
  real_type eps = std::numeric_limits<real_type>::epsilon ();

  if (! iscomplex)
    {
      Matrix x = octave_value_extract<Matrix> (arg);

      if (mt.is_unknown ()) // if type is not known, compute it now.
        arg.matrix_type (mt = MatrixType (x));

      switch (mt.type ())
        {
        case MatrixType::Upper:
        case MatrixType::Diagonal:
            {
              if (! x.diag ().any_element_is_negative ())
                {
                  // Do it in real arithmetic.
                  sqrtm_utri_inplace (x);
                  retval = x;
                  retval.matrix_type (mt);
                }
              else
                iscomplex = true;

              break;
            }
        case MatrixType::Lower:
            {
              if (! x.diag ().any_element_is_negative ())
                {
                  x = x.transpose ();
                  sqrtm_utri_inplace (x);
                  retval = x.transpose ();
                  retval.matrix_type (mt);
                }
              else
                iscomplex = true;

              break;
            }
        default:
          {
            iscomplex = true;
            break;
          }
        }

      if (iscomplex)
        cutoff = 10 * x.rows () * eps * xnorm (x, one);
    }

  if (iscomplex)
    {
      ComplexMatrix x = octave_value_extract<ComplexMatrix> (arg);

      if (mt.is_unknown ()) // if type is not known, compute it now.
        arg.matrix_type (mt = MatrixType (x));

      switch (mt.type ())
        {
        case MatrixType::Upper:
        case MatrixType::Diagonal:
            {
              sqrtm_utri_inplace (x);
              retval = x;
              retval.matrix_type (mt);

              break;
            }
        case MatrixType::Lower:
            {
              x = x.transpose ();
              sqrtm_utri_inplace (x);
              retval = x.transpose ();
              retval.matrix_type (mt);

              break;
            }
        default:
            {
              ComplexMatrix u;

              do
                {
                  ComplexSCHUR schur (x, std::string (), true);
                  x = schur.schur_matrix ();
                  u = schur.unitary_matrix ();
                }
              while (0); // schur no longer needed.

              sqrtm_utri_inplace (x);

              x = u * x; // original x no longer needed.
              ComplexMatrix res = xgemm (x, u, blas_no_trans, blas_conj_trans);

              if (cutoff > 0 && xnorm (imag (res), one) <= cutoff)
                retval = real (res);
              else
                retval = res;

              break;
            }
        }
    }

  return retval;
}

DEFUN_DLD (sqrtm, args, nargout,
 "-*- texinfo -*-\n\
@deftypefn {Loadable Function} {[@var{result}, @var{error_estimate}] =} sqrtm (@var{a})\n\
Compute the matrix square root of the square matrix @var{a}.\n\
\n\
Ref: N.J. Higham.  @cite{A New sqrtm for @sc{matlab}}.  Numerical\n\
Analysis Report No. 336, Manchester @nospell{Centre} for Computational\n\
Mathematics, Manchester, England, January 1999.\n\
@seealso{expm, logm}\n\
@end deftypefn")
{
  octave_value_list retval;

  int nargin = args.length ();

  if (nargin != 1)
    {
      print_usage ();
      return retval;
    }

  octave_value arg = args(0);

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

  if (n != nc || arg.ndims () > 2)
    {
      gripe_square_matrix_required ("sqrtm");
      return retval;
    }

  if (arg.is_diag_matrix ())
    {
      // sqrtm of a diagonal matrix is just sqrt.
      retval(0) = arg.sqrt ();
    }
  else if (arg.is_single_type ())
    {
      retval(0) = do_sqrtm<FloatMatrix, FloatComplexMatrix, FloatComplexSCHUR> (arg);
    }
  else if (arg.is_numeric_type ())
    {
      retval(0) = do_sqrtm<Matrix, ComplexMatrix, ComplexSCHUR> (arg);
    }

  if (nargout > 1 && ! error_state)
    {
      // This corresponds to generic code
      //   norm (s*s - x, "fro") / norm (x, "fro");

      octave_value s = retval(0);
      retval(1) = xfrobnorm (s*s - arg) / xfrobnorm (arg);
    }

  return retval;
}