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maint: Update copyright notices for 2016.
author John W. Eaton <jwe@octave.org>
date Wed, 17 Aug 2016 01:05:19 -0400
parents 93b3cdd36854
children 7f3c7a8bd131
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1 /*
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2
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3 Copyright (C) 2016 Carnë Draug
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4 Copyright (C) 1994-2016 John W. Eaton
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5
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe]
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6 This file is part of Octave.
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7
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe]
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8 Octave is free software; you can redistribute it and/or modify it
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9 under the terms of the GNU General Public License as published by the
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10 Free Software Foundation; either version 3 of the License, or (at your
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11 option) any later version.
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12
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe]
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13 Octave is distributed in the hope that it will be useful, but WITHOUT
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14 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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15 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
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16 for more details.
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17
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18 You should have received a copy of the GNU General Public License
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19 along with Octave; see the file COPYING. If not, see
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20 <http://www.gnu.org/licenses/>.
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21
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22 */
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23
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24 #if defined (HAVE_CONFIG_H)
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25 # include "config.h"
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26 #endif
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27
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28 #include "svd.h"
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29
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30 #include <cassert>
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31 #include <algorithm>
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32
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33 #include "CMatrix.h"
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34 #include "dDiagMatrix.h"
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35 #include "fDiagMatrix.h"
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36 #include "dMatrix.h"
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37 #include "fCMatrix.h"
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38 #include "fMatrix.h"
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39 #include "lo-error.h"
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40 #include "lo-lapack-proto.h"
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41 #include "oct-locbuf.h"
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42
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43 namespace octave
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44 {
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45 namespace math
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46 {
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47
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48 template <typename T>
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49 T
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50 svd<T>::left_singular_matrix (void) const
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51 {
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52 if (m_type == svd::Type::sigma_only)
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53 (*current_liboctave_error_handler)
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54 ("svd: U not computed because type == svd::sigma_only");
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55
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56 return left_sm;
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57 }
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58
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59 template <typename T>
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60 T
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61 svd<T>::right_singular_matrix (void) const
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62 {
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63 if (m_type == svd::Type::sigma_only)
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64 (*current_liboctave_error_handler)
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65 ("svd: V not computed because type == svd::sigma_only");
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66
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67 return right_sm;
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68 }
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69
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70
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71 // GESVD specializations
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72
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73 #define GESVD_REAL_STEP(f, F) \
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74 F77_XFCN (f, F, (F77_CONST_CHAR_ARG2 (&jobu, 1), \
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75 F77_CONST_CHAR_ARG2 (&jobv, 1), \
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76 m, n, tmp_data, m1, s_vec, u, m1, vt, \
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77 nrow_vt1, work.data (), lwork, info \
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78 F77_CHAR_ARG_LEN (1) \
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79 F77_CHAR_ARG_LEN (1)))
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80
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81 #define GESVD_COMPLEX_STEP(f, F, CMPLX_ARG) \
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82 F77_XFCN (f, F, (F77_CONST_CHAR_ARG2 (&jobu, 1), \
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83 F77_CONST_CHAR_ARG2 (&jobv, 1), \
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84 m, n, CMPLX_ARG (tmp_data), \
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85 m1, s_vec, CMPLX_ARG (u), m1, \
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86 CMPLX_ARG (vt), nrow_vt1, \
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87 CMPLX_ARG (work.data ()), \
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88 lwork, rwork.data (), info \
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89 F77_CHAR_ARG_LEN (1) \
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90 F77_CHAR_ARG_LEN (1)))
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91
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92 // DGESVD
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93 template<>
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94 void
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95 svd<Matrix>::gesvd (char& jobu, char& jobv, octave_idx_type m,
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96 octave_idx_type n, double* tmp_data, octave_idx_type m1,
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97 double* s_vec, double* u, double* vt,
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98 octave_idx_type nrow_vt1, std::vector<double>& work,
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99 octave_idx_type& lwork, octave_idx_type& info)
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100 {
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101 GESVD_REAL_STEP (dgesvd, DGESVD);
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102
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103 lwork = work[0];
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104 work.reserve (lwork);
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105
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106 GESVD_REAL_STEP (dgesvd, DGESVD);
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107 }
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108
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109 // SGESVD
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110 template<>
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111 void
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112 svd<FloatMatrix>::gesvd (char& jobu, char& jobv, octave_idx_type m,
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113 octave_idx_type n, float* tmp_data,
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114 octave_idx_type m1, float* s_vec, float* u, float* vt,
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115 octave_idx_type nrow_vt1, std::vector<float>& work,
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116 octave_idx_type& lwork, octave_idx_type& info)
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117 {
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118 GESVD_REAL_STEP (sgesvd, SGESVD);
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119
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120 lwork = work[0];
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121 work.reserve (lwork);
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122
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123 GESVD_REAL_STEP (sgesvd, SGESVD);
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124 }
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125
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126 // ZGESVD
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127 template<>
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128 void
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129 svd<ComplexMatrix>::gesvd (char& jobu, char& jobv, octave_idx_type m,
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130 octave_idx_type n, Complex* tmp_data,
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131 octave_idx_type m1, double* s_vec, Complex* u,
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132 Complex* vt, octave_idx_type nrow_vt1,
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133 std::vector<Complex>& work,
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134 octave_idx_type& lwork, octave_idx_type& info)
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135 {
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136 std::vector<double> rwork (5 * std::max (m, n));
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137
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138 GESVD_COMPLEX_STEP (zgesvd, ZGESVD, F77_DBLE_CMPLX_ARG);
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139
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140 lwork = work[0].real ();
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141 work.reserve (lwork);
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142
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143 GESVD_COMPLEX_STEP (zgesvd, ZGESVD, F77_DBLE_CMPLX_ARG);
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144 }
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145
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146 // CGESVD
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147 template<>
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148 void
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149 svd<FloatComplexMatrix>::gesvd (char& jobu, char& jobv,
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150 octave_idx_type m, octave_idx_type n,
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151 FloatComplex* tmp_data, octave_idx_type m1,
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152 float* s_vec, FloatComplex* u,
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153 FloatComplex* vt, octave_idx_type nrow_vt1,
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154 std::vector<FloatComplex>& work,
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155 octave_idx_type& lwork, octave_idx_type& info)
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156 {
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157 std::vector<float> rwork (5 * std::max (m, n));
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158
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159 GESVD_COMPLEX_STEP (cgesvd, CGESVD, F77_CMPLX_ARG);
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160
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161 lwork = work[0].real ();
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162 work.reserve (lwork);
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163
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164 GESVD_COMPLEX_STEP (cgesvd, CGESVD, F77_CMPLX_ARG);
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165 }
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166
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167 #undef GESVD_REAL_STEP
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168 #undef GESVD_COMPLEX_STEP
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169
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170
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171 // GESDD specializations
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172
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173 #define GESDD_REAL_STEP(f, F) \
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174 F77_XFCN (f, F, (F77_CONST_CHAR_ARG2 (&jobz, 1), \
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175 m, n, tmp_data, m1, s_vec, u, m1, vt, nrow_vt1, \
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176 work.data (), lwork, iwork, info \
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177 F77_CHAR_ARG_LEN (1)))
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178
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179 #define GESDD_COMPLEX_STEP(f, F, CMPLX_ARG) \
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180 F77_XFCN (f, F, (F77_CONST_CHAR_ARG2 (&jobz, 1), m, n, \
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181 CMPLX_ARG (tmp_data), m1, \
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182 s_vec, CMPLX_ARG (u), m1, \
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183 CMPLX_ARG (vt), nrow_vt1, \
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184 CMPLX_ARG (work.data ()), lwork, \
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185 rwork.data (), iwork, info \
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186 F77_CHAR_ARG_LEN (1)))
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187
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188 // DGESDD
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189 template<>
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190 void
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191 svd<Matrix>::gesdd (char& jobz, octave_idx_type m, octave_idx_type n,
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192 double* tmp_data, octave_idx_type m1,
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193 double* s_vec, double* u,
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194 double* vt, octave_idx_type nrow_vt1,
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195 std::vector<double>& work, octave_idx_type& lwork,
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196 octave_idx_type* iwork, octave_idx_type& info)
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197 {
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198 GESDD_REAL_STEP (dgesdd, DGESDD);
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199
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200 lwork = work[0];
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201 work.reserve (lwork);
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202
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203 GESDD_REAL_STEP (dgesdd, DGESDD);
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204 }
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205
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206 // SGESDD
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207 template<>
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208 void
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209 svd<FloatMatrix>::gesdd (char& jobz, octave_idx_type m, octave_idx_type n,
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210 float* tmp_data, octave_idx_type m1,
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211 float* s_vec, float* u,
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212 float* vt, octave_idx_type nrow_vt1,
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213 std::vector<float>& work, octave_idx_type& lwork,
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214 octave_idx_type* iwork, octave_idx_type& info)
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215 {
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216 GESDD_REAL_STEP (sgesdd, SGESDD);
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217
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218 lwork = work[0];
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219 work.reserve (lwork);
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220
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221 GESDD_REAL_STEP (sgesdd, SGESDD);
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222 }
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223
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224 // ZGESDD
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225 template<>
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226 void
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227 svd<ComplexMatrix>::gesdd (char& jobz, octave_idx_type m, octave_idx_type n,
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228 Complex* tmp_data, octave_idx_type m1,
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229 double* s_vec, Complex* u,
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230 Complex* vt, octave_idx_type nrow_vt1,
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231 std::vector<Complex>& work, octave_idx_type& lwork,
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232 octave_idx_type* iwork, octave_idx_type& info)
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233 {
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234
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235 octave_idx_type min_mn = std::min (m, n);
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236
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237 octave_idx_type lrwork;
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238 if (jobz == 'N')
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239 lrwork = 7*min_mn;
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240 else
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241 lrwork = 5*min_mn*min_mn + 5*min_mn;
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242
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243 std::vector<double> rwork (lrwork);
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244
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245 GESDD_COMPLEX_STEP (zgesdd, ZGESDD, F77_DBLE_CMPLX_ARG);
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246
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247 lwork = work[0].real ();
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248 work.reserve (lwork);
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249
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250 GESDD_COMPLEX_STEP (zgesdd, ZGESDD, F77_DBLE_CMPLX_ARG);
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251 }
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252
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253 // CGESDD
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254 template<>
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255 void
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256 svd<FloatComplexMatrix>::gesdd (char& jobz, octave_idx_type m,
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257 octave_idx_type n,
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258 FloatComplex* tmp_data, octave_idx_type m1,
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259 float* s_vec, FloatComplex* u,
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260 FloatComplex* vt, octave_idx_type nrow_vt1,
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diff changeset
261 std::vector<FloatComplex>& work,
22204
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diff changeset
262 octave_idx_type& lwork, octave_idx_type* iwork,
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diff changeset
263 octave_idx_type& info)
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diff changeset
264 {
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diff changeset
265 octave_idx_type min_mn = std::min (m, n);
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266 octave_idx_type max_mn = std::max (m, n);
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diff changeset
267
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diff changeset
268 octave_idx_type lrwork;
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diff changeset
269 if (jobz == 'N')
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diff changeset
270 lrwork = 5*min_mn;
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diff changeset
271 else
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272 lrwork = min_mn * std::max (5*min_mn+7, 2*max_mn+2*min_mn+1);
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273 std::vector<float> rwork (lrwork);
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274
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275 GESDD_COMPLEX_STEP (cgesdd, CGESDD, F77_CMPLX_ARG);
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276
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diff changeset
277 lwork = work[0].real ();
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diff changeset
278 work.reserve (lwork);
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diff changeset
279
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280 GESDD_COMPLEX_STEP (cgesdd, CGESDD, F77_CMPLX_ARG);
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281 }
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282
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diff changeset
283 #undef GESDD_REAL_STEP
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284 #undef GESDD_COMPLEX_STEP
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285
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286
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diff changeset
287 template<typename T>
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diff changeset
288 svd<T>::svd (const T& a, svd::Type type,
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289 svd::Driver driver)
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290 : m_type (type), m_driver (driver), left_sm (), sigma (), right_sm ()
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291 {
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292 octave_idx_type info;
457
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293
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294 octave_idx_type m = a.rows ();
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jwe
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295 octave_idx_type n = a.cols ();
457
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296
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297 if (m == 0 || n == 0)
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298 {
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diff changeset
299 switch (m_type)
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300 {
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diff changeset
301 case svd::Type::std:
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diff changeset
302 left_sm = T (m, m, 0);
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diff changeset
303 for (octave_idx_type i = 0; i < m; i++)
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304 left_sm.xelem (i, i) = 1;
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305 sigma = DM_T (m, n);
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diff changeset
306 right_sm = T (n, n, 0);
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diff changeset
307 for (octave_idx_type i = 0; i < n; i++)
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diff changeset
308 right_sm.xelem (i, i) = 1;
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diff changeset
309 break;
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310
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diff changeset
311 case svd::Type::economy:
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diff changeset
312 left_sm = T (m, 0, 0);
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diff changeset
313 sigma = DM_T (0, 0);
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diff changeset
314 right_sm = T (0, n, 0);
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diff changeset
315 break;
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316
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diff changeset
317 case svd::Type::sigma_only:
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318 default:
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diff changeset
319 sigma = DM_T (0, 1);
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320 break;
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321 }
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diff changeset
322 return;
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diff changeset
323 }
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diff changeset
324
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diff changeset
325 T atmp = a;
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diff changeset
326 P* tmp_data = atmp.fortran_vec ();
457
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe]
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parents:
diff changeset
327
5275
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diff changeset
328 octave_idx_type min_mn = m < n ? m : n;
457
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe]
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diff changeset
329
1930
d20ab06301e8 [project @ 1996-02-11 22:30:18 by jwe]
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diff changeset
330 char jobu = 'A';
d20ab06301e8 [project @ 1996-02-11 22:30:18 by jwe]
jwe
parents: 1882
diff changeset
331 char jobv = 'A';
537
4ecbfd3c3710 [project @ 1994-07-21 22:30:34 by jwe]
jwe
parents: 457
diff changeset
332
5275
23b37da9fd5b [project @ 2005-04-08 16:07:35 by jwe]
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diff changeset
333 octave_idx_type ncol_u = m;
23b37da9fd5b [project @ 2005-04-08 16:07:35 by jwe]
jwe
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diff changeset
334 octave_idx_type nrow_vt = n;
23b37da9fd5b [project @ 2005-04-08 16:07:35 by jwe]
jwe
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diff changeset
335 octave_idx_type nrow_s = m;
23b37da9fd5b [project @ 2005-04-08 16:07:35 by jwe]
jwe
parents: 5105
diff changeset
336 octave_idx_type ncol_s = n;
537
4ecbfd3c3710 [project @ 1994-07-21 22:30:34 by jwe]
jwe
parents: 457
diff changeset
337
22228
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diff changeset
338 switch (m_type)
537
4ecbfd3c3710 [project @ 1994-07-21 22:30:34 by jwe]
jwe
parents: 457
diff changeset
339 {
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diff changeset
340 case svd::Type::economy:
1930
d20ab06301e8 [project @ 1996-02-11 22:30:18 by jwe]
jwe
parents: 1882
diff changeset
341 jobu = jobv = 'S';
537
4ecbfd3c3710 [project @ 1994-07-21 22:30:34 by jwe]
jwe
parents: 457
diff changeset
342 ncol_u = nrow_vt = nrow_s = ncol_s = min_mn;
1543
d6e96e0bc681 [project @ 1995-10-06 05:49:21 by jwe]
jwe
parents: 1368
diff changeset
343 break;
d6e96e0bc681 [project @ 1995-10-06 05:49:21 by jwe]
jwe
parents: 1368
diff changeset
344
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diff changeset
345 case svd::Type::sigma_only:
21273
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diff changeset
346
cbced1c09916 better use of templates for svd classes
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diff changeset
347 // Note: for this case, both jobu and jobv should be 'N', but
cbced1c09916 better use of templates for svd classes
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parents: 21202
diff changeset
348 // there seems to be a bug in dgesvd from Lapack V2.0. To
cbced1c09916 better use of templates for svd classes
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parents: 21202
diff changeset
349 // demonstrate the bug, set both jobu and jobv to 'N' and find
cbced1c09916 better use of templates for svd classes
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diff changeset
350 // the singular values of [eye(3), eye(3)]. The result is
cbced1c09916 better use of templates for svd classes
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diff changeset
351 // [-sqrt(2), -sqrt(2), -sqrt(2)].
cbced1c09916 better use of templates for svd classes
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diff changeset
352 //
cbced1c09916 better use of templates for svd classes
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diff changeset
353 // For Lapack 3.0, this problem seems to be fixed.
cbced1c09916 better use of templates for svd classes
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diff changeset
354
cbced1c09916 better use of templates for svd classes
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diff changeset
355 jobu = jobv = 'N';
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diff changeset
356 ncol_u = nrow_vt = 1;
cbced1c09916 better use of templates for svd classes
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diff changeset
357 break;
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parents: 21202
diff changeset
358
cbced1c09916 better use of templates for svd classes
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parents: 21202
diff changeset
359 default:
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diff changeset
360 break;
cbced1c09916 better use of templates for svd classes
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diff changeset
361 }
cbced1c09916 better use of templates for svd classes
John W. Eaton <jwe@octave.org>
parents: 21202
diff changeset
362
cbced1c09916 better use of templates for svd classes
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parents: 21202
diff changeset
363 if (! (jobu == 'N' || jobu == 'O'))
cbced1c09916 better use of templates for svd classes
John W. Eaton <jwe@octave.org>
parents: 21202
diff changeset
364 left_sm.resize (m, ncol_u);
cbced1c09916 better use of templates for svd classes
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parents: 21202
diff changeset
365
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diff changeset
366 P* u = left_sm.fortran_vec ();
21273
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parents: 21202
diff changeset
367
cbced1c09916 better use of templates for svd classes
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diff changeset
368 sigma.resize (nrow_s, ncol_s);
22204
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diff changeset
369 DM_P* s_vec = sigma.fortran_vec ();
21273
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parents: 21202
diff changeset
370
cbced1c09916 better use of templates for svd classes
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parents: 21202
diff changeset
371 if (! (jobv == 'N' || jobv == 'O'))
cbced1c09916 better use of templates for svd classes
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parents: 21202
diff changeset
372 right_sm.resize (nrow_vt, n);
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diff changeset
373
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diff changeset
374 P* vt = right_sm.fortran_vec ();
21273
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diff changeset
375
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diff changeset
376 // Query _GESVD for the correct dimension of WORK.
21273
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diff changeset
377
cbced1c09916 better use of templates for svd classes
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parents: 21202
diff changeset
378 octave_idx_type lwork = -1;
cbced1c09916 better use of templates for svd classes
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parents: 21202
diff changeset
379
22248
60986498af9e svd: use std::vector instead of Matrix when a std::vector is enough.
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diff changeset
380 std::vector<P> work (1);
21273
cbced1c09916 better use of templates for svd classes
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parents: 21202
diff changeset
381
22297
bc2a5db96754 Resolve compile time issues, when octave_idx_type is long int.
Kai T. Ohlhus <k.ohlhus@gmail.com>
parents: 22249
diff changeset
382 octave_idx_type m1 = std::max (m, static_cast<octave_idx_type> (1));
bc2a5db96754 Resolve compile time issues, when octave_idx_type is long int.
Kai T. Ohlhus <k.ohlhus@gmail.com>
parents: 22249
diff changeset
383 octave_idx_type nrow_vt1 = std::max (nrow_vt,
bc2a5db96754 Resolve compile time issues, when octave_idx_type is long int.
Kai T. Ohlhus <k.ohlhus@gmail.com>
parents: 22249
diff changeset
384 static_cast<octave_idx_type> (1));
21273
cbced1c09916 better use of templates for svd classes
John W. Eaton <jwe@octave.org>
parents: 21202
diff changeset
385
22228
4afe3705ea75 svd: do not shadow member variables with local variables.
Carnë Draug <carandraug@octave.org>
parents: 22204
diff changeset
386 if (m_driver == svd::Driver::GESVD)
22204
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diff changeset
387 gesvd (jobu, jobv, m, n, tmp_data, m1, s_vec, u, vt, nrow_vt1,
469c817eb256 svd: reduce code duplication with more use of template and macro.
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diff changeset
388 work, lwork, info);
22228
4afe3705ea75 svd: do not shadow member variables with local variables.
Carnë Draug <carandraug@octave.org>
parents: 22204
diff changeset
389 else if (m_driver == svd::Driver::GESDD)
21273
cbced1c09916 better use of templates for svd classes
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parents: 21202
diff changeset
390 {
cbced1c09916 better use of templates for svd classes
John W. Eaton <jwe@octave.org>
parents: 21202
diff changeset
391 assert (jobu == jobv);
cbced1c09916 better use of templates for svd classes
John W. Eaton <jwe@octave.org>
parents: 21202
diff changeset
392 char jobz = jobu;
cbced1c09916 better use of templates for svd classes
John W. Eaton <jwe@octave.org>
parents: 21202
diff changeset
393
22248
60986498af9e svd: use std::vector instead of Matrix when a std::vector is enough.
Carnë Draug <carandraug@octave.org>
parents: 22228
diff changeset
394 std::vector<octave_idx_type> iwork (8 * std::min (m, n));
21273
cbced1c09916 better use of templates for svd classes
John W. Eaton <jwe@octave.org>
parents: 21202
diff changeset
395
22204
469c817eb256 svd: reduce code duplication with more use of template and macro.
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diff changeset
396 gesdd (jobz, m, n, tmp_data, m1, s_vec, u, vt, nrow_vt1,
22248
60986498af9e svd: use std::vector instead of Matrix when a std::vector is enough.
Carnë Draug <carandraug@octave.org>
parents: 22228
diff changeset
397 work, lwork, iwork.data (), info);
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398 }
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399 else
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400 abort ();
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401
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402 if (! (jobv == 'N' || jobv == 'O'))
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403 right_sm = right_sm.transpose ();
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404 }
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405
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406 // Instantiations we need.
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407
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408 template class svd<Matrix>;
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409
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410 template class svd<FloatMatrix>;
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411
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412 template class svd<ComplexMatrix>;
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413
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414 template class svd<FloatComplexMatrix>;
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415
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416 }
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417 }