annotate libinterp/corefcn/schur.cc @ 21266:e69eaee28737

make better use of templates for Schur decomposition * liboctave/numeric/schur.h, liboctave/numeric/schur.cc: New files generated from SCHUR.h, SCHUR.cc, CmplxSCHUR.h, CmplxSCHUR.cc, dbleSCHUR.h, dbleSCHUR.cc, fCmplxSCHUR.h, fCmplxSCHUR.cc, floatSCHUR.h, and floatSCHUR.cc and making them templates. * liboctave/numeric/module.mk: Update. * libinterp/corefcn/schur.cc, sqrtm.cc, CMatrix.cc, dMatrix.cc, fCMatrix.cc, fMatrix.cc, mx-defs.h, mx-ext.h: Use new template classes and header file.
author John W. Eaton <jwe@octave.org>
date Mon, 15 Feb 2016 20:06:12 -0500
parents fcac5dbbf9ed
children 40de9f8f23a6
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1 /*
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2
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3 Copyright (C) 1996-2015 John W. Eaton
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4
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5 This file is part of Octave.
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6
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7 Octave is free software; you can redistribute it and/or modify it
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8 under the terms of the GNU General Public License as published by the
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9 Free Software Foundation; either version 3 of the License, or (at your
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10 option) any later version.
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11
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12 Octave is distributed in the hope that it will be useful, but WITHOUT
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13 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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14 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
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15 for more details.
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16
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17 You should have received a copy of the GNU General Public License
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18 along with Octave; see the file COPYING. If not, see
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19 <http://www.gnu.org/licenses/>.
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21 */
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22
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23 #ifdef HAVE_CONFIG_H
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24 # include <config.h>
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25 #endif
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27 #include <string>
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29 #include "schur.h"
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30
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31 #include "defun.h"
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32 #include "error.h"
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33 #include "errwarn.h"
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34 #include "ovl.h"
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35 #include "utils.h"
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36
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37 template <typename Matrix>
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38 static octave_value
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39 mark_upper_triangular (const Matrix& a)
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40 {
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41 octave_value retval = a;
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42
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43 octave_idx_type n = a.rows ();
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44 assert (a.columns () == n);
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45
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46 const typename Matrix::element_type zero = typename Matrix::element_type ();
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47
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48 for (octave_idx_type i = 0; i < n; i++)
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49 if (a(i,i) == zero)
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50 return retval;
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51
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52 retval.matrix_type (MatrixType::Upper);
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53
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54 return retval;
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55 }
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56
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57 DEFUN (schur, args, nargout,
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58 "-*- texinfo -*-\n\
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59 @deftypefn {} {@var{S} =} schur (@var{A})\n\
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60 @deftypefnx {} {@var{S} =} schur (@var{A}, \"real\")\n\
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61 @deftypefnx {} {@var{S} =} schur (@var{A}, \"complex\")\n\
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62 @deftypefnx {} {@var{S} =} schur (@var{A}, @var{opt})\n\
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63 @deftypefnx {} {[@var{U}, @var{S}] =} schur (@dots{})\n\
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64 @cindex Schur decomposition\n\
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65 Compute the Schur@tie{}decomposition of @var{A}.\n\
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66 \n\
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67 The Schur@tie{}decomposition is defined as\n\
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68 @tex\n\
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69 $$\n\
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70 S = U^T A U\n\
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71 $$\n\
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72 @end tex\n\
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73 @ifnottex\n\
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74 \n\
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75 @example\n\
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76 @code{@var{S} = @var{U}' * @var{A} * @var{U}}\n\
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77 @end example\n\
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78 \n\
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79 @end ifnottex\n\
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80 where @var{U} is a unitary matrix\n\
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81 @tex\n\
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82 ($U^T U$ is identity)\n\
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83 @end tex\n\
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84 @ifnottex\n\
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85 (@code{@var{U}'* @var{U}} is identity)\n\
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86 @end ifnottex\n\
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87 and @var{S} is upper triangular. The eigenvalues of @var{A} (and @var{S})\n\
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88 are the diagonal elements of @var{S}. If the matrix @var{A} is real, then\n\
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89 the real Schur@tie{}decomposition is computed, in which the matrix @var{U}\n\
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90 is orthogonal and @var{S} is block upper triangular with blocks of size at\n\
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91 most\n\
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92 @tex\n\
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93 $2 \\times 2$\n\
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94 @end tex\n\
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95 @ifnottex\n\
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96 @code{2 x 2}\n\
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97 @end ifnottex\n\
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98 along the diagonal. The diagonal elements of @var{S}\n\
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99 (or the eigenvalues of the\n\
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100 @tex\n\
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101 $2 \\times 2$\n\
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102 @end tex\n\
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103 @ifnottex\n\
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104 @code{2 x 2}\n\
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105 @end ifnottex\n\
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106 blocks, when appropriate) are the eigenvalues of @var{A} and @var{S}.\n\
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107 \n\
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108 The default for real matrices is a real Schur@tie{}decomposition.\n\
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109 A complex decomposition may be forced by passing the flag\n\
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110 @qcode{\"complex\"}.\n\
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111 \n\
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112 The eigenvalues are optionally ordered along the diagonal according to the\n\
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113 value of @var{opt}. @code{@var{opt} = \"a\"} indicates that all eigenvalues\n\
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114 with negative real parts should be moved to the leading block of @var{S}\n\
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115 (used in @code{are}), @code{@var{opt} = \"d\"} indicates that all\n\
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116 eigenvalues with magnitude less than one should be moved to the leading\n\
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117 block of @var{S} (used in @code{dare}), and @code{@var{opt} = \"u\"}, the\n\
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118 default, indicates that no ordering of eigenvalues should occur. The\n\
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119 leading @var{k} columns of @var{U} always span the @var{A}-invariant\n\
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120 subspace corresponding to the @var{k} leading eigenvalues of @var{S}.\n\
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121 \n\
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122 The Schur@tie{}decomposition is used to compute eigenvalues of a square\n\
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123 matrix, and has applications in the solution of algebraic Riccati equations\n\
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124 in control (see @code{are} and @code{dare}).\n\
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125 @seealso{rsf2csf, ordschur, lu, chol, hess, qr, qz, svd}\n\
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126 @end deftypefn")
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127 {
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128 int nargin = args.length ();
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129
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130 if (nargin < 1 || nargin > 2 || nargout > 2)
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131 print_usage ();
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132
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133 octave_value arg = args(0);
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134
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135 std::string ord;
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136 if (nargin == 2)
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137 ord = args(1).xstring_value ("schur: second argument must be a string");
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138
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139 bool force_complex = false;
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140
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141 if (ord == "real")
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142 {
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143 ord = "";
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144 }
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145 else if (ord == "complex")
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146 {
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147 force_complex = true;
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148 ord = "";
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149 }
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150 else
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151 {
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152 char ord_char = ord.empty () ? 'U' : ord[0];
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153
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154 if (ord_char != 'U' && ord_char != 'A' && ord_char != 'D'
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155 && ord_char != 'u' && ord_char != 'a' && ord_char != 'd')
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156 {
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157 warning ("schur: incorrect ordered schur argument '%s'",
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158 ord.c_str ());
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159 return ovl ();
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160 }
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161 }
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162
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163 octave_idx_type nr = arg.rows ();
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164 octave_idx_type nc = arg.columns ();
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165
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166 if (nr != nc)
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167 err_square_matrix_required ("schur", "A");
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168
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169 if (! arg.is_numeric_type ())
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170 err_wrong_type_arg ("schur", arg);
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171
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172 octave_value_list retval;
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173
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174 if (arg.is_single_type ())
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175 {
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176 if (! force_complex && arg.is_real_type ())
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177 {
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178 FloatMatrix tmp = arg.float_matrix_value ();
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179
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180 if (nargout <= 1)
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181 {
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182 schur<FloatMatrix> result (tmp, ord, false);
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183 retval = ovl (result.schur_matrix ());
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184 }
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185 else
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186 {
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187 schur<FloatMatrix> result (tmp, ord, true);
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188 retval = ovl (result.unitary_matrix (),
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189 result.schur_matrix ());
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190 }
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191 }
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192 else
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193 {
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194 FloatComplexMatrix ctmp = arg.float_complex_matrix_value ();
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195
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196 if (nargout <= 1)
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197 {
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198 schur<FloatComplexMatrix> result (ctmp, ord, false);
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diff changeset
199 retval = ovl (mark_upper_triangular (result.schur_matrix ()));
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200 }
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201 else
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202 {
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diff changeset
203 schur<FloatComplexMatrix> result (ctmp, ord, true);
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diff changeset
204 retval = ovl (result.unitary_matrix (),
c07bee629973 2015 Code Sprint: use ovl ().
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diff changeset
205 mark_upper_triangular (result.schur_matrix ()));
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diff changeset
206 }
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diff changeset
207 }
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208 }
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209 else
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210 {
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211 if (! force_complex && arg.is_real_type ())
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diff changeset
212 {
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diff changeset
213 Matrix tmp = arg.matrix_value ();
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214
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215 if (nargout <= 1)
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diff changeset
216 {
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diff changeset
217 schur<Matrix> result (tmp, ord, false);
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diff changeset
218 retval = ovl (result.schur_matrix ());
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219 }
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220 else
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221 {
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diff changeset
222 schur<Matrix> result (tmp, ord, true);
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diff changeset
223 retval = ovl (result.unitary_matrix (),
c07bee629973 2015 Code Sprint: use ovl ().
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diff changeset
224 result.schur_matrix ());
10154
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diff changeset
225 }
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226 }
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227 else
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228 {
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diff changeset
229 ComplexMatrix ctmp = arg.complex_matrix_value ();
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diff changeset
230
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diff changeset
231 if (nargout <= 1)
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diff changeset
232 {
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diff changeset
233 schur<ComplexMatrix> result (ctmp, ord, false);
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diff changeset
234 retval = ovl (mark_upper_triangular (result.schur_matrix ()));
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235 }
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diff changeset
236 else
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237 {
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diff changeset
238 schur<ComplexMatrix> result (ctmp, ord, true);
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diff changeset
239 retval = ovl (result.unitary_matrix (),
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diff changeset
240 mark_upper_triangular (result.schur_matrix ()));
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diff changeset
241 }
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diff changeset
242 }
2928
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parents:
diff changeset
243 }
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diff changeset
244
12df7854fa7c strip trailing whitespace from source files
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diff changeset
245 return retval;
2928
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diff changeset
246 }
295f037b4b3e [project @ 1997-05-05 05:32:33 by jwe]
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diff changeset
247
295f037b4b3e [project @ 1997-05-05 05:32:33 by jwe]
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parents:
diff changeset
248 /*
7814
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249 %!test
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diff changeset
250 %! a = [1, 2, 3; 4, 5, 9; 7, 8, 6];
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diff changeset
251 %! [u, s] = schur (a);
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diff changeset
252 %! assert (u' * a * u, s, sqrt (eps));
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253
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diff changeset
254 %!test
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diff changeset
255 %! a = single ([1, 2, 3; 4, 5, 9; 7, 8, 6]);
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diff changeset
256 %! [u, s] = schur (a);
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diff changeset
257 %! assert (u' * a * u, s, sqrt (eps ("single")));
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diff changeset
258
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diff changeset
259 %!error schur ()
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diff changeset
260 %!error schur (1,2,3)
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diff changeset
261 %!error [a,b,c] = schur (1)
21110
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diff changeset
262 %!error <must be a square matrix> schur ([1, 2, 3; 4, 5, 6])
19016
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diff changeset
263 %!error <wrong type argument 'cell'> schur ({1})
19034
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parents: 19016
diff changeset
264 %!warning <incorrect ordered schur argument> schur ([1, 2; 3, 4], "bad_opt");
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diff changeset
265
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diff changeset
266 */
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diff changeset
267
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diff changeset
268 DEFUN (rsf2csf, args, nargout,
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parents: 17744
diff changeset
269 "-*- texinfo -*-\n\
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parents: 20802
diff changeset
270 @deftypefn {} {[@var{U}, @var{T}] =} rsf2csf (@var{UR}, @var{TR})\n\
11553
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diff changeset
271 Convert a real, upper quasi-triangular Schur@tie{}form @var{TR} to a complex,\n\
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diff changeset
272 upper triangular Schur@tie{}form @var{T}.\n\
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diff changeset
273 \n\
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diff changeset
274 Note that the following relations hold:\n\
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diff changeset
275 \n\
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276 @tex\n\
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277 $UR \\cdot TR \\cdot {UR}^T = U T U^{\\dagger}$ and\n\
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278 $U^{\\dagger} U$ is the identity matrix I.\n\
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279 @end tex\n\
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280 @ifnottex\n\
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281 @tcode{@var{UR} * @var{TR} * @var{UR}' = @var{U} * @var{T} * @var{U}'} and\n\
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282 @code{@var{U}' * @var{U}} is the identity matrix I.\n\
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283 @end ifnottex\n\
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284 \n\
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285 Note also that @var{U} and @var{T} are not unique.\n\
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286 @seealso{schur}\n\
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287 @end deftypefn")
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288 {
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289 if (args.length () != 2 || nargout > 2)
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290 print_usage ();
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291
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292 if (! args(0).is_numeric_type ())
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293 err_wrong_type_arg ("rsf2csf", args(0));
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294 if (! args(1).is_numeric_type ())
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295 err_wrong_type_arg ("rsf2csf", args(1));
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296 if (args(0).is_complex_type () || args(1).is_complex_type ())
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297 error ("rsf2csf: UR and TR must be real matrices");
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298
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299 if (args(0).is_single_type () || args(1).is_single_type ())
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300 {
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301 FloatMatrix u = args(0).float_matrix_value ();
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302 FloatMatrix t = args(1).float_matrix_value ();
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303
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304 schur<FloatComplexMatrix> cs
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305 = rsf2csf<FloatComplexMatrix, FloatMatrix> (t, u);
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306
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307 return ovl (cs.unitary_matrix (), cs.schur_matrix ());
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308 }
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309 else
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310 {
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311 Matrix u = args(0).matrix_value ();
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312 Matrix t = args(1).matrix_value ();
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313
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314 schur<ComplexMatrix> cs = rsf2csf<ComplexMatrix, Matrix> (t, u);
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315
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316 return ovl (cs.unitary_matrix (), cs.schur_matrix ());
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317 }
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318 }
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319
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320 /*
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321 %!test
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322 %! A = [1, 1, 1, 2; 1, 2, 1, 1; 1, 1, 3, 1; -2, 1, 1, 1];
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323 %! [u, t] = schur (A);
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324 %! [U, T] = rsf2csf (u, t);
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325 %! assert (norm (u * t * u' - U * T * U'), 0, 1e-12);
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326 %! assert (norm (A - U * T * U'), 0, 1e-12);
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327
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328 %!test
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329 %! A = rand (10);
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330 %! [u, t] = schur (A);
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331 %! [U, T] = rsf2csf (u, t);
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332 %! assert (norm (tril (T, -1)), 0);
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333 %! assert (norm (U * U'), 1, 1e-14);
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334
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335 %!test
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336 %! A = [0, 1;-1, 0];
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337 %! [u, t] = schur (A);
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338 %! [U, T] = rsf2csf (u,t);
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339 %! assert (U * T * U', A, 1e-14);
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340 */