Mercurial > octave
annotate liboctave/numeric/sparse-chol.cc @ 27923:bd51beb6205e
update formatting of copyright notices
* Use <https://octave.org/copyright/> instead of
<https://octave.org/COPYRIGHT.html/>.
* For consistency with other comments in the Octave sources, use
C++-style comments for copyright blocks in C and C++ files.
* Use delimiters above and below copyright blocks that are appropriate
for the language used in the file.
* Eliminate extra spacing inside copyright blocks.
* lex.ll (looks_like_copyright): Also allow newlines and carriage
returns before the word "Copyright".
* scripts/mk-doc.pl (gethelp): Also skip empty comment lines.
* bp-table.cc, type.m: Adjust tests.
author | John W. Eaton <jwe@octave.org> |
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date | Wed, 08 Jan 2020 11:59:41 -0500 |
parents | 1891570abac8 |
children | 5c14f81e0937 0a5b15007766 |
rev | line source |
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1 //////////////////////////////////////////////////////////////////////// |
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2 // |
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3 // Copyright (C) 1998-2020 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 //////////////////////////////////////////////////////////////////////// |
5506 | 25 |
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26 #if defined (HAVE_CONFIG_H) |
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27 # include "config.h" |
5506 | 28 #endif |
29 | |
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30 #include <cstddef> |
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31 |
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32 #include "CSparse.h" |
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33 #include "MatrixType.h" |
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34 #include "dRowVector.h" |
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35 #include "dSparse.h" |
5506 | 36 #include "lo-error.h" |
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37 #include "oct-cmplx.h" |
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38 #include "oct-refcount.h" |
5506 | 39 #include "oct-sparse.h" |
40 #include "oct-spparms.h" | |
41 #include "quit.h" | |
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42 #include "sparse-chol.h" |
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43 #include "sparse-util.h" |
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45 namespace octave |
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46 { |
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47 namespace math |
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48 { |
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49 template <typename chol_type> |
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50 class sparse_chol<chol_type>::sparse_chol_rep |
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51 { |
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52 public: |
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53 |
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54 sparse_chol_rep (void) |
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55 : count (1), is_pd (false), minor_p (0), perms (), cond (0) |
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56 #if defined (HAVE_CHOLMOD) |
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57 , Lsparse (nullptr), Common () |
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58 #endif |
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59 { } |
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60 |
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61 sparse_chol_rep (const chol_type& a, bool natural, bool force) |
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62 : count (1), is_pd (false), minor_p (0), perms (), cond (0) |
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63 #if defined (HAVE_CHOLMOD) |
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64 , Lsparse (nullptr), Common () |
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65 #endif |
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66 { |
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67 init (a, natural, force); |
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68 } |
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69 |
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70 sparse_chol_rep (const chol_type& a, octave_idx_type& info, |
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71 bool natural, bool force) |
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72 : count (1), is_pd (false), minor_p (0), perms (), cond (0) |
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73 #if defined (HAVE_CHOLMOD) |
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74 , Lsparse (nullptr), Common () |
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75 #endif |
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76 { |
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77 info = init (a, natural, force); |
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78 } |
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79 |
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80 // No copying! |
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81 |
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82 sparse_chol_rep (const sparse_chol_rep&) = delete; |
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83 |
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84 sparse_chol_rep& operator = (const sparse_chol_rep&) = delete; |
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85 |
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86 ~sparse_chol_rep (void) |
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87 { |
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88 #if defined (HAVE_CHOLMOD) |
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89 if (Lsparse) |
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90 CHOLMOD_NAME (free_sparse) (&Lsparse, &Common); |
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91 |
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92 CHOLMOD_NAME(finish) (&Common); |
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93 #endif |
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94 } |
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95 |
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96 #if defined (HAVE_CHOLMOD) |
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97 cholmod_sparse * L (void) const |
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98 { |
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99 return Lsparse; |
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100 } |
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101 #endif |
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102 |
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103 octave_idx_type P (void) const |
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104 { |
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105 #if defined (HAVE_CHOLMOD) |
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106 return (minor_p == static_cast<octave_idx_type> (Lsparse->ncol) ? |
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107 0 : minor_p + 1); |
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108 #else |
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109 return 0; |
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110 #endif |
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111 } |
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112 |
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113 RowVector perm (void) const { return perms + 1; } |
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114 |
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115 SparseMatrix Q (void) const; |
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116 |
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117 bool is_positive_definite (void) const { return is_pd; } |
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118 |
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119 double rcond (void) const { return cond; } |
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120 |
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121 refcount<octave_idx_type> count; |
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122 |
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123 private: |
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124 |
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125 bool is_pd; |
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126 |
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127 octave_idx_type minor_p; |
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128 |
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129 RowVector perms; |
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130 |
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131 double cond; |
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132 |
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133 #if defined (HAVE_CHOLMOD) |
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134 cholmod_sparse *Lsparse; |
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135 |
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136 cholmod_common Common; |
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137 |
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138 void drop_zeros (const cholmod_sparse *S); |
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139 #endif |
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140 |
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141 octave_idx_type init (const chol_type& a, bool natural, bool force); |
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142 }; |
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143 |
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144 #if defined (HAVE_CHOLMOD) |
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145 |
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146 // Can't use CHOLMOD_NAME(drop)(0.0, S, cm) because it doesn't treat |
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147 // complex matrices. |
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148 |
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149 template <typename chol_type> |
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150 void |
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151 sparse_chol<chol_type>::sparse_chol_rep::drop_zeros (const cholmod_sparse *S) |
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152 { |
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153 if (! S) |
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154 return; |
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156 octave_idx_type *Sp = static_cast<octave_idx_type *>(S->p); |
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157 octave_idx_type *Si = static_cast<octave_idx_type *>(S->i); |
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158 chol_elt *Sx = static_cast<chol_elt *>(S->x); |
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159 |
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160 octave_idx_type pdest = 0; |
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161 octave_idx_type ncol = S->ncol; |
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163 for (octave_idx_type k = 0; k < ncol; k++) |
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164 { |
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165 octave_idx_type p = Sp[k]; |
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166 octave_idx_type pend = Sp[k+1]; |
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167 Sp[k] = pdest; |
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168 |
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169 for (; p < pend; p++) |
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170 { |
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171 chol_elt sik = Sx[p]; |
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172 |
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173 if (CHOLMOD_IS_NONZERO (sik)) |
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174 { |
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175 if (p != pdest) |
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176 { |
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177 Si[pdest] = Si[p]; |
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178 Sx[pdest] = sik; |
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179 } |
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180 |
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181 pdest++; |
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182 } |
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183 } |
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184 } |
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185 |
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186 Sp[ncol] = pdest; |
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188 |
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189 // Must provide a specialization for this function. |
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190 template <typename T> |
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191 int |
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192 get_xtype (void); |
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193 |
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194 template <> |
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195 inline int |
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196 get_xtype<double> (void) |
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197 { |
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198 return CHOLMOD_REAL; |
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199 } |
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200 |
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201 template <> |
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202 inline int |
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203 get_xtype<Complex> (void) |
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204 { |
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205 return CHOLMOD_COMPLEX; |
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206 } |
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207 |
5511 | 208 #endif |
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210 template <typename chol_type> |
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211 octave_idx_type |
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212 sparse_chol<chol_type>::sparse_chol_rep::init (const chol_type& a, |
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213 bool natural, bool force) |
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214 { |
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215 volatile octave_idx_type info = 0; |
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216 |
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217 #if defined (HAVE_CHOLMOD) |
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218 |
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219 octave_idx_type a_nr = a.rows (); |
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220 octave_idx_type a_nc = a.cols (); |
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222 if (a_nr != a_nc) |
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223 (*current_liboctave_error_handler) |
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224 ("sparse_chol requires square matrix"); |
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226 cholmod_common *cm = &Common; |
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228 // Setup initial parameters |
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229 |
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230 CHOLMOD_NAME(start) (cm); |
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231 cm->prefer_zomplex = false; |
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233 double spu = octave_sparse_params::get_key ("spumoni"); |
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234 |
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235 if (spu == 0.) |
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236 { |
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237 cm->print = -1; |
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238 SUITESPARSE_ASSIGN_FPTR (printf_func, cm->print_function, nullptr); |
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239 } |
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240 else |
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241 { |
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242 cm->print = static_cast<int> (spu) + 2; |
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243 SUITESPARSE_ASSIGN_FPTR (printf_func, cm->print_function, |
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244 &SparseCholPrint); |
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245 } |
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246 |
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247 cm->error_handler = &SparseCholError; |
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248 |
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249 SUITESPARSE_ASSIGN_FPTR2 (divcomplex_func, cm->complex_divide, |
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250 divcomplex); |
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251 |
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252 SUITESPARSE_ASSIGN_FPTR2 (hypot_func, cm->hypotenuse, hypot); |
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254 cm->final_asis = false; |
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255 cm->final_super = false; |
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256 cm->final_ll = true; |
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257 cm->final_pack = true; |
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258 cm->final_monotonic = true; |
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259 cm->final_resymbol = false; |
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260 |
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261 cholmod_sparse A; |
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262 cholmod_sparse *ac = &A; |
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263 double dummy; |
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265 ac->nrow = a_nr; |
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266 ac->ncol = a_nc; |
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268 ac->p = a.cidx (); |
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269 ac->i = a.ridx (); |
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270 ac->nzmax = a.nnz (); |
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271 ac->packed = true; |
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272 ac->sorted = true; |
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273 ac->nz = nullptr; |
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274 #if defined (OCTAVE_ENABLE_64) |
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275 ac->itype = CHOLMOD_LONG; |
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276 #else |
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277 ac->itype = CHOLMOD_INT; |
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278 #endif |
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279 ac->dtype = CHOLMOD_DOUBLE; |
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280 ac->stype = 1; |
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281 ac->xtype = get_xtype<chol_elt> (); |
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283 if (a_nr < 1) |
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284 ac->x = &dummy; |
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285 else |
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286 ac->x = a.data (); |
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288 // use natural ordering if no q output parameter |
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289 if (natural) |
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290 { |
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291 cm->nmethods = 1; |
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292 cm->method[0].ordering = CHOLMOD_NATURAL; |
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293 cm->postorder = false; |
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294 } |
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296 cholmod_factor *Lfactor; |
5506 | 297 BEGIN_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE; |
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298 Lfactor = CHOLMOD_NAME(analyze) (ac, cm); |
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299 CHOLMOD_NAME(factorize) (ac, Lfactor, cm); |
5506 | 300 END_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE; |
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301 |
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302 is_pd = cm->status == CHOLMOD_OK; |
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303 info = (is_pd ? 0 : cm->status); |
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304 |
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305 if (is_pd || force) |
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306 { |
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307 BEGIN_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE; |
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308 cond = CHOLMOD_NAME(rcond) (Lfactor, cm); |
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309 END_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE; |
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310 |
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311 minor_p = Lfactor->minor; |
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312 |
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313 BEGIN_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE; |
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314 Lsparse = CHOLMOD_NAME(factor_to_sparse) (Lfactor, cm); |
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315 END_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE; |
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316 |
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317 if (minor_p > 0 && minor_p < a_nr) |
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318 { |
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319 size_t n1 = a_nr + 1; |
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320 Lsparse->p = CHOLMOD_NAME(realloc) (minor_p+1, |
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321 sizeof(octave_idx_type), |
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322 Lsparse->p, &n1, cm); |
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323 BEGIN_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE; |
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324 CHOLMOD_NAME(reallocate_sparse) |
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325 (static_cast<octave_idx_type *>(Lsparse->p)[minor_p], |
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326 Lsparse, cm); |
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327 END_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE; |
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328 |
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329 Lsparse->ncol = minor_p; |
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330 } |
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331 |
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332 drop_zeros (Lsparse); |
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333 |
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334 if (! natural) |
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335 { |
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336 perms.resize (a_nr); |
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337 for (octave_idx_type i = 0; i < a_nr; i++) |
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338 perms(i) = static_cast<octave_idx_type *>(Lfactor->Perm)[i]; |
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339 } |
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340 } |
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341 |
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342 // NAME used to prefix statistics report from print_common |
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343 static char blank_name[] = " "; |
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344 |
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345 BEGIN_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE; |
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346 CHOLMOD_NAME(print_common) (blank_name, cm); |
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347 CHOLMOD_NAME(free_factor) (&Lfactor, cm); |
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348 END_INTERRUPT_IMMEDIATELY_IN_FOREIGN_CODE; |
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349 |
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350 return info; |
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351 |
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353 |
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354 octave_unused_parameter (a); |
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355 octave_unused_parameter (natural); |
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356 octave_unused_parameter (force); |
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357 |
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358 (*current_liboctave_error_handler) |
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359 ("support for CHOLMOD was unavailable or disabled when liboctave was built"); |
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360 |
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361 return info; |
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362 |
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364 } |
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366 template <typename chol_type> |
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367 SparseMatrix |
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368 sparse_chol<chol_type>::sparse_chol_rep::Q (void) const |
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369 { |
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370 #if defined (HAVE_CHOLMOD) |
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371 |
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372 octave_idx_type n = Lsparse->nrow; |
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373 SparseMatrix p (n, n, n); |
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374 |
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375 for (octave_idx_type i = 0; i < n; i++) |
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376 { |
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377 p.xcidx (i) = i; |
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378 p.xridx (i) = static_cast<octave_idx_type> (perms (i)); |
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379 p.xdata (i) = 1; |
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380 } |
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381 |
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382 p.xcidx (n) = n; |
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383 |
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384 return p; |
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385 |
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386 #else |
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387 |
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388 return SparseMatrix (); |
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389 |
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390 #endif |
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391 } |
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392 |
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393 template <typename chol_type> |
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394 sparse_chol<chol_type>::sparse_chol (void) |
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395 : rep (new typename sparse_chol<chol_type>::sparse_chol_rep ()) |
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396 { } |
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397 |
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398 template <typename chol_type> |
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399 sparse_chol<chol_type>::sparse_chol (const chol_type& a, bool natural, |
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400 bool force) |
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401 : rep (new typename |
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402 sparse_chol<chol_type>::sparse_chol_rep (a, natural, force)) |
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403 { } |
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404 |
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405 template <typename chol_type> |
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406 sparse_chol<chol_type>::sparse_chol (const chol_type& a, |
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407 octave_idx_type& info, |
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408 bool natural, bool force) |
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409 : rep (new typename |
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410 sparse_chol<chol_type>::sparse_chol_rep (a, info, natural, force)) |
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411 { } |
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412 |
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413 template <typename chol_type> |
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414 sparse_chol<chol_type>::sparse_chol (const chol_type& a, |
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415 octave_idx_type& info, |
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416 bool natural) |
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417 : rep (new typename |
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418 sparse_chol<chol_type>::sparse_chol_rep (a, info, natural, false)) |
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419 { } |
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420 |
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421 template <typename chol_type> |
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422 sparse_chol<chol_type>::sparse_chol (const chol_type& a, |
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423 octave_idx_type& info) |
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424 : rep (new typename |
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425 sparse_chol<chol_type>::sparse_chol_rep (a, info, false, false)) |
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426 { } |
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427 |
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428 template <typename chol_type> |
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429 sparse_chol<chol_type>::sparse_chol (const sparse_chol<chol_type>& a) |
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430 : rep (a.rep) |
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431 { |
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432 rep->count++; |
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433 } |
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434 |
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435 template <typename chol_type> |
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436 sparse_chol<chol_type>::~sparse_chol (void) |
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437 { |
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438 if (--rep->count == 0) |
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439 delete rep; |
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440 } |
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441 |
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442 template <typename chol_type> |
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443 sparse_chol<chol_type>& |
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444 sparse_chol<chol_type>::operator = (const sparse_chol& a) |
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445 { |
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446 if (this != &a) |
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447 { |
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448 if (--rep->count == 0) |
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449 delete rep; |
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450 |
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451 rep = a.rep; |
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452 rep->count++; |
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453 } |
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454 |
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455 return *this; |
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456 } |
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457 |
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458 template <typename chol_type> |
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459 chol_type |
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460 sparse_chol<chol_type>::L (void) const |
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461 { |
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462 #if defined (HAVE_CHOLMOD) |
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463 |
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464 cholmod_sparse *m = rep->L (); |
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465 |
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466 octave_idx_type nc = m->ncol; |
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467 octave_idx_type nnz = m->nzmax; |
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468 |
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469 chol_type ret (m->nrow, nc, nnz); |
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470 |
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471 for (octave_idx_type j = 0; j < nc+1; j++) |
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472 ret.xcidx (j) = static_cast<octave_idx_type *>(m->p)[j]; |
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473 |
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474 for (octave_idx_type i = 0; i < nnz; i++) |
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475 { |
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476 ret.xridx (i) = static_cast<octave_idx_type *>(m->i)[i]; |
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477 ret.xdata (i) = static_cast<chol_elt *>(m->x)[i]; |
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478 } |
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479 |
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480 return ret; |
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|
481 |
5506 | 482 #else |
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|
483 |
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|
484 return chol_type (); |
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|
485 |
5506 | 486 #endif |
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487 } |
5506 | 488 |
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489 template <typename chol_type> |
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490 octave_idx_type |
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|
491 sparse_chol<chol_type>::P (void) const |
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492 { |
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493 return rep->P (); |
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494 } |
5506 | 495 |
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496 template <typename chol_type> |
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|
497 RowVector |
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|
498 sparse_chol<chol_type>::perm (void) const |
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499 { |
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|
500 return rep->perm (); |
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501 } |
5506 | 502 |
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503 template <typename chol_type> |
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504 SparseMatrix |
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|
505 sparse_chol<chol_type>::Q (void) const |
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|
506 { |
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|
507 return rep->Q (); |
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508 } |
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revamp sparse Cholesky factorization classes
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|
509 |
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|
510 template <typename chol_type> |
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|
511 bool |
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|
512 sparse_chol<chol_type>::is_positive_definite (void) const |
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513 { |
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|
514 return rep->is_positive_definite (); |
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|
515 } |
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|
516 |
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|
517 template <typename chol_type> |
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518 double |
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|
519 sparse_chol<chol_type>::rcond (void) const |
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520 { |
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521 return rep->rcond (); |
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|
522 } |
21145
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revamp sparse Cholesky factorization classes
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|
523 |
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524 template <typename chol_type> |
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|
525 chol_type |
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|
526 sparse_chol<chol_type>::inverse (void) const |
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527 { |
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528 chol_type retval; |
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|
529 |
21724
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530 #if defined (HAVE_CHOLMOD) |
21177
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|
531 |
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|
532 cholmod_sparse *m = rep->L (); |
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533 octave_idx_type n = m->ncol; |
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|
534 RowVector perms = rep->perm (); |
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535 double rcond2; |
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|
536 octave_idx_type info; |
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|
537 MatrixType mattype (MatrixType::Upper); |
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|
538 chol_type linv = L ().hermitian ().inverse (mattype, info, rcond2, 1, 0); |
5506 | 539 |
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540 if (perms.numel () == n) |
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|
541 { |
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|
542 SparseMatrix Qc = Q (); |
21177
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|
543 |
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544 retval = Qc * linv * linv.hermitian () * Qc.transpose (); |
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545 } |
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|
546 else |
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|
547 retval = linv * linv.hermitian (); |
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changeset
|
548 |
5506 | 549 #endif |
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|
550 |
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|
551 return retval; |
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552 } |
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|
553 |
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|
554 template <typename chol_type> |
7f3c7a8bd131
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diff
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|
555 chol_type |
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|
556 chol2inv (const chol_type& r) |
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|
557 { |
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|
558 octave_idx_type r_nr = r.rows (); |
7f3c7a8bd131
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|
559 octave_idx_type r_nc = r.cols (); |
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parents:
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|
560 chol_type retval; |
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|
561 |
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562 if (r_nr != r_nc) |
7f3c7a8bd131
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|
563 (*current_liboctave_error_handler) ("U must be a square matrix"); |
21145
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diff
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|
564 |
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|
565 MatrixType mattype (r); |
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|
566 int typ = mattype.type (false); |
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567 double rcond; |
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|
568 octave_idx_type info; |
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|
569 chol_type rtra, multip; |
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|
570 |
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|
571 if (typ == MatrixType::Upper) |
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|
572 { |
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|
573 rtra = r.transpose (); |
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|
574 multip = (rtra*r); |
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|
575 } |
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|
576 else if (typ == MatrixType::Lower) |
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|
577 { |
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|
578 rtra = r.transpose (); |
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|
579 multip = (r*rtra); |
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|
580 } |
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|
581 else |
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|
582 (*current_liboctave_error_handler) ("U must be a triangular matrix"); |
21186
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|
583 |
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|
584 MatrixType mattypenew (multip); |
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|
585 retval = multip.inverse (mattypenew, info, rcond, true, false); |
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|
586 return retval; |
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|
587 } |
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|
588 |
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589 // SparseComplexMatrix specialization (the value for the NATURAL |
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590 // parameter in the sparse_chol<T>::sparse_chol_rep constructor is |
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|
591 // different from the default). |
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|
592 |
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|
593 template <> |
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|
594 sparse_chol<SparseComplexMatrix>::sparse_chol (const SparseComplexMatrix& a, |
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|
595 octave_idx_type& info) |
22402
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|
596 : rep (new sparse_chol<SparseComplexMatrix>::sparse_chol_rep (a, info, |
4caa7b28d183
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|
597 true, |
4caa7b28d183
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|
598 false)) |
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599 { } |
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don't install some internal headers and template sources
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600 |
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601 // Instantiations we need. |
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602 |
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603 template class sparse_chol<SparseMatrix>; |
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604 |
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605 template class sparse_chol<SparseComplexMatrix>; |
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606 |
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607 template SparseMatrix |
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608 chol2inv<SparseMatrix> (const SparseMatrix& r); |
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609 |
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610 template SparseComplexMatrix |
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611 chol2inv<SparseComplexMatrix> (const SparseComplexMatrix& r); |
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612 } |
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613 } |