Mercurial > octave
annotate libinterp/corefcn/schur.cc @ 30564:796f54d4ddbf stable
update Octave Project Developers copyright for the new year
In files that have the "Octave Project Developers" copyright notice,
update for 2021.
In all .txi and .texi files except gpl.txi and gpl.texi in the
doc/liboctave and doc/interpreter directories, change the copyright
to "Octave Project Developers", the same as used for other source
files. Update copyright notices for 2022 (not done since 2019). For
gpl.txi and gpl.texi, change the copyright notice to be "Free Software
Foundation, Inc." and leave the date at 2007 only because this file
only contains the text of the GPL, not anything created by the Octave
Project Developers.
Add Paul Thomas to contributors.in.
author | John W. Eaton <jwe@octave.org> |
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date | Tue, 28 Dec 2021 18:22:40 -0500 |
parents | a61e1a0f6024 |
children | 08b08b7f05b2 da3ac42a143d |
rev | line source |
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1 //////////////////////////////////////////////////////////////////////// |
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2 // |
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3 // Copyright (C) 1996-2022 The Octave Project Developers |
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4 // |
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5 // See the file COPYRIGHT.md in the top-level directory of this |
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6 // distribution or <https://octave.org/copyright/>. |
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7 // |
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8 // This file is part of Octave. |
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9 // |
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10 // Octave is free software: you can redistribute it and/or modify it |
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11 // under the terms of the GNU General Public License as published by |
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12 // the Free Software Foundation, either version 3 of the License, or |
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13 // (at your option) any later version. |
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14 // |
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15 // Octave is distributed in the hope that it will be useful, but |
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16 // WITHOUT ANY WARRANTY; without even the implied warranty of |
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17 // MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
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18 // GNU General Public License for more details. |
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19 // |
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20 // You should have received a copy of the GNU General Public License |
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21 // along with Octave; see the file COPYING. If not, see |
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22 // <https://www.gnu.org/licenses/>. |
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23 // |
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24 //////////////////////////////////////////////////////////////////////// |
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26 #if defined (HAVE_CONFIG_H) |
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27 # include "config.h" |
2928 | 28 #endif |
29 | |
30 #include <string> | |
31 | |
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32 #include "schur.h" |
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34 #include "defun.h" |
2928 | 35 #include "error.h" |
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36 #include "errwarn.h" |
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37 #include "ovl.h" |
2928 | 38 #include "utils.h" |
39 | |
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40 OCTAVE_NAMESPACE_BEGIN |
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41 |
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42 template <typename Matrix> |
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43 static octave_value |
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44 mark_upper_triangular (const Matrix& a) |
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45 { |
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46 octave_value retval = a; |
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47 |
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48 octave_idx_type n = a.rows (); |
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49 assert (a.columns () == n); |
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50 |
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51 const typename Matrix::element_type zero = typename Matrix::element_type (); |
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52 |
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53 for (octave_idx_type i = 0; i < n; i++) |
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54 if (a(i, i) == zero) |
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55 return retval; |
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56 |
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57 retval.matrix_type (MatrixType::Upper); |
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58 |
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59 return retval; |
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60 } |
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61 |
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62 DEFUN (schur, args, nargout, |
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63 doc: /* -*- texinfo -*- |
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64 @deftypefn {} {@var{S} =} schur (@var{A}) |
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65 @deftypefnx {} {@var{S} =} schur (@var{A}, "real") |
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66 @deftypefnx {} {@var{S} =} schur (@var{A}, "complex") |
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67 @deftypefnx {} {@var{S} =} schur (@var{A}, @var{opt}) |
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68 @deftypefnx {} {[@var{U}, @var{S}] =} schur (@dots{}) |
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69 @cindex Schur decomposition |
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70 Compute the Schur@tie{}decomposition of @var{A}. |
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71 |
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72 The Schur@tie{}decomposition is defined as |
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73 @tex |
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74 $$ |
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75 S = U^T A U |
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76 $$ |
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77 @end tex |
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78 @ifnottex |
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79 |
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80 @example |
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81 @code{@var{S} = @var{U}' * @var{A} * @var{U}} |
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82 @end example |
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83 |
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84 @end ifnottex |
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85 where @var{U} is a unitary matrix |
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86 @tex |
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87 ($U^T U$ is identity) |
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88 @end tex |
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89 @ifnottex |
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90 (@code{@var{U}'* @var{U}} is identity) |
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91 @end ifnottex |
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92 and @var{S} is upper triangular. The eigenvalues of @var{A} (and @var{S}) |
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93 are the diagonal elements of @var{S}. If the matrix @var{A} is real, then |
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94 the real Schur@tie{}decomposition is computed, in which the matrix @var{U} |
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95 is orthogonal and @var{S} is block upper triangular with blocks of size at |
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96 most |
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97 @tex |
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98 $2 \times 2$ |
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99 @end tex |
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100 @ifnottex |
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101 @code{2 x 2} |
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102 @end ifnottex |
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103 along the diagonal. The diagonal elements of @var{S} |
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104 (or the eigenvalues of the |
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105 @tex |
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106 $2 \times 2$ |
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107 @end tex |
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108 @ifnottex |
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109 @code{2 x 2} |
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110 @end ifnottex |
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111 blocks, when appropriate) are the eigenvalues of @var{A} and @var{S}. |
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112 |
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113 The default for real matrices is a real Schur@tie{}decomposition. |
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114 A complex decomposition may be forced by passing the flag |
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115 @qcode{"complex"}. |
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116 |
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117 The eigenvalues are optionally ordered along the diagonal according to the |
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118 value of @var{opt}. @code{@var{opt} = "a"} indicates that all eigenvalues |
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119 with negative real parts should be moved to the leading block of @var{S} |
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120 (used in @code{are}), @code{@var{opt} = "d"} indicates that all |
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121 eigenvalues with magnitude less than one should be moved to the leading |
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122 block of @var{S} (used in @code{dare}), and @code{@var{opt} = "u"}, the |
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123 default, indicates that no ordering of eigenvalues should occur. The |
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124 leading @var{k} columns of @var{U} always span the @var{A}-invariant |
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125 subspace corresponding to the @var{k} leading eigenvalues of @var{S}. |
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126 |
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127 The Schur@tie{}decomposition is used to compute eigenvalues of a square |
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128 matrix, and has applications in the solution of algebraic @nospell{Riccati} |
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129 equations in control (see @code{are} and @code{dare}). |
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130 @seealso{rsf2csf, ordschur, ordeig, lu, chol, hess, qr, qz, svd} |
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131 @end deftypefn */) |
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133 int nargin = args.length (); | |
134 | |
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136 print_usage (); |
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138 octave_value arg = args(0); | |
139 | |
3523 | 140 std::string ord; |
2928 | 141 if (nargin == 2) |
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142 ord = args(1).xstring_value ("schur: second argument must be a string"); |
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144 bool force_complex = false; |
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146 if (ord == "real") |
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147 { |
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148 ord = ""; |
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149 } |
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150 else if (ord == "complex") |
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151 { |
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152 force_complex = true; |
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153 ord = ""; |
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154 } |
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155 else |
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157 char ord_char = (ord.empty () ? 'U' : ord[0]); |
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158 |
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159 if (ord_char != 'U' && ord_char != 'A' && ord_char != 'D' |
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160 && ord_char != 'u' && ord_char != 'a' && ord_char != 'd') |
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161 { |
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162 warning ("schur: incorrect ordered schur argument '%s'", |
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163 ord.c_str ()); |
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164 return ovl (); |
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165 } |
2928 | 166 } |
167 | |
5275 | 168 octave_idx_type nr = arg.rows (); |
169 octave_idx_type nc = arg.columns (); | |
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171 if (nr != nc) | |
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172 err_square_matrix_required ("schur", "A"); |
2928 | 173 |
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174 if (! arg.isnumeric ()) |
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175 err_wrong_type_arg ("schur", arg); |
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176 |
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177 octave_value_list retval; |
20892 | 178 |
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179 if (arg.is_single_type ()) |
2928 | 180 { |
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181 if (! force_complex && arg.isreal ()) |
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182 { |
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183 FloatMatrix tmp = arg.float_matrix_value (); |
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186 { |
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187 math::schur<FloatMatrix> result (tmp, ord, false); |
20892 | 188 retval = ovl (result.schur_matrix ()); |
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189 } |
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190 else |
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191 { |
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192 math::schur<FloatMatrix> result (tmp, ord, true); |
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193 retval = ovl (result.unitary_schur_matrix (), |
20892 | 194 result.schur_matrix ()); |
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195 } |
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196 } |
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197 else |
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198 { |
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199 FloatComplexMatrix ctmp = arg.float_complex_matrix_value (); |
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200 |
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202 { |
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203 math::schur<FloatComplexMatrix> result (ctmp, ord, false); |
20892 | 204 retval = ovl (mark_upper_triangular (result.schur_matrix ())); |
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205 } |
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206 else |
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207 { |
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208 math::schur<FloatComplexMatrix> result (ctmp, ord, true); |
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209 retval = ovl (result.unitary_schur_matrix (), |
20892 | 210 mark_upper_triangular (result.schur_matrix ())); |
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211 } |
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212 } |
2928 | 213 } |
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214 else |
2928 | 215 { |
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216 if (! force_complex && arg.isreal ()) |
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217 { |
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218 Matrix tmp = arg.matrix_value (); |
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20892 | 220 if (nargout <= 1) |
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221 { |
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222 math::schur<Matrix> result (tmp, ord, false); |
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224 } |
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225 else |
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226 { |
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227 math::schur<Matrix> result (tmp, ord, true); |
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228 retval = ovl (result.unitary_schur_matrix (), |
20892 | 229 result.schur_matrix ()); |
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230 } |
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231 } |
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232 else |
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233 { |
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234 ComplexMatrix ctmp = arg.complex_matrix_value (); |
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235 |
20892 | 236 if (nargout <= 1) |
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237 { |
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238 math::schur<ComplexMatrix> result (ctmp, ord, false); |
20892 | 239 retval = ovl (mark_upper_triangular (result.schur_matrix ())); |
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240 } |
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241 else |
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242 { |
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243 math::schur<ComplexMatrix> result (ctmp, ord, true); |
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244 retval = ovl (result.unitary_schur_matrix (), |
20892 | 245 mark_upper_triangular (result.schur_matrix ())); |
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246 } |
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247 } |
2928 | 248 } |
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249 |
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250 return retval; |
2928 | 251 } |
252 | |
253 /* | |
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254 %!test |
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255 %! a = [1, 2, 3; 4, 5, 9; 7, 8, 6]; |
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256 %! [u, s] = schur (a); |
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257 %! assert (u' * a * u, s, sqrt (eps)); |
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258 |
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259 %!test |
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260 %! a = single ([1, 2, 3; 4, 5, 9; 7, 8, 6]); |
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261 %! [u, s] = schur (a); |
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262 %! assert (u' * a * u, s, sqrt (eps ("single"))); |
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263 |
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264 %!error schur () |
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265 %!error schur (1,2,3) |
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266 %!error [a,b,c] = schur (1) |
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267 %!error <must be a square matrix> schur ([1, 2, 3; 4, 5, 6]) |
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268 %!error <wrong type argument 'cell'> schur ({1}) |
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269 %!warning <incorrect ordered schur argument> schur ([1, 2; 3, 4], "bad_opt"); |
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270 |
2928 | 271 */ |
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273 DEFUN (rsf2csf, args, nargout, |
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274 doc: /* -*- texinfo -*- |
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275 @deftypefn {} {[@var{U}, @var{T}] =} rsf2csf (@var{UR}, @var{TR}) |
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276 Convert a real, upper quasi-triangular Schur@tie{}form @var{TR} to a |
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277 complex, upper triangular Schur@tie{}form @var{T}. |
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278 |
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279 Note that the following relations hold: |
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280 |
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281 @tex |
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282 $UR \cdot TR \cdot {UR}^T = U T U^{\dagger}$ and |
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283 $U^{\dagger} U$ is the identity matrix I. |
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284 @end tex |
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285 @ifnottex |
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286 @tcode{@var{UR} * @var{TR} * @var{UR}' = @var{U} * @var{T} * @var{U}'} and |
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287 @code{@var{U}' * @var{U}} is the identity matrix I. |
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288 @end ifnottex |
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289 |
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290 Note also that @var{U} and @var{T} are not unique. |
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291 @seealso{schur} |
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292 @end deftypefn */) |
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294 if (args.length () != 2 || nargout > 2) |
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295 print_usage (); |
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296 |
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297 if (! args(0).isnumeric ()) |
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298 err_wrong_type_arg ("rsf2csf", args(0)); |
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299 if (! args(1).isnumeric ()) |
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300 err_wrong_type_arg ("rsf2csf", args(1)); |
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301 if (args(0).iscomplex () || args(1).iscomplex ()) |
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302 error ("rsf2csf: UR and TR must be real matrices"); |
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303 |
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304 if (args(0).is_single_type () || args(1).is_single_type ()) |
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305 { |
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306 FloatMatrix u = args(0).float_matrix_value (); |
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307 FloatMatrix t = args(1).float_matrix_value (); |
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308 |
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309 math::schur<FloatComplexMatrix> cs |
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310 = math::rsf2csf<FloatComplexMatrix, FloatMatrix> (t, u); |
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311 |
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312 return ovl (cs.unitary_schur_matrix (), cs.schur_matrix ()); |
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313 } |
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314 else |
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316 Matrix u = args(0).matrix_value (); |
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317 Matrix t = args(1).matrix_value (); |
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318 |
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319 math::schur<ComplexMatrix> cs |
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320 = math::rsf2csf<ComplexMatrix, Matrix> (t, u); |
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322 return ovl (cs.unitary_schur_matrix (), cs.schur_matrix ()); |
10822 | 323 } |
324 } | |
325 | |
326 /* | |
327 %!test | |
328 %! A = [1, 1, 1, 2; 1, 2, 1, 1; 1, 1, 3, 1; -2, 1, 1, 1]; | |
329 %! [u, t] = schur (A); | |
330 %! [U, T] = rsf2csf (u, t); | |
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331 %! assert (norm (u * t * u' - U * T * U'), 0, 1e-12); |
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332 %! assert (norm (A - U * T * U'), 0, 1e-12); |
10822 | 333 |
334 %!test | |
335 %! A = rand (10); | |
336 %! [u, t] = schur (A); | |
337 %! [U, T] = rsf2csf (u, t); | |
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338 %! assert (norm (tril (T, -1)), 0); |
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339 %! assert (norm (U * U'), 1, 1e-14); |
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341 %!test |
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342 %! A = [0, 1;-1, 0]; |
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343 %! [u, t] = schur (A); |
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344 %! [U, T] = rsf2csf (u,t); |
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345 %! assert (U * T * U', A, 1e-14); |
10822 | 346 */ |
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347 |
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348 OCTAVE_NAMESPACE_END |