Mercurial > octave
view liboctave/numeric/chol.cc @ 29358:0a5b15007766 stable
update Octave Project Developers copyright for the new year
In files that have the "Octave Project Developers" copyright notice,
update for 2021.
author | John W. Eaton <jwe@octave.org> |
---|---|
date | Wed, 10 Feb 2021 09:52:15 -0500 |
parents | bd51beb6205e |
children | 7854d5752dd2 |
line wrap: on
line source
//////////////////////////////////////////////////////////////////////// // // Copyright (C) 1994-2021 The Octave Project Developers // // See the file COPYRIGHT.md in the top-level directory of this // distribution or <https://octave.org/copyright/>. // // This file is part of Octave. // // Octave is free software: you can redistribute it and/or modify it // under the terms of the GNU General Public License as published by // the Free Software Foundation, either version 3 of the License, or // (at your option) any later version. // // Octave is distributed in the hope that it will be useful, but // WITHOUT ANY WARRANTY; without even the implied warranty of // MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the // GNU General Public License for more details. // // You should have received a copy of the GNU General Public License // along with Octave; see the file COPYING. If not, see // <https://www.gnu.org/licenses/>. // //////////////////////////////////////////////////////////////////////// #if defined (HAVE_CONFIG_H) # include "config.h" #endif #include "Array.h" #include "CColVector.h" #include "CMatrix.h" #include "chol.h" #include "dColVector.h" #include "dMatrix.h" #include "fCColVector.h" #include "fCMatrix.h" #include "fColVector.h" #include "fMatrix.h" #include "lo-error.h" #include "lo-lapack-proto.h" #include "lo-qrupdate-proto.h" #include "oct-locbuf.h" #include "oct-norm.h" #if ! defined (HAVE_QRUPDATE) # include "qr.h" #endif namespace octave { static Matrix chol2inv_internal (const Matrix& r, bool is_upper = true) { Matrix retval; octave_idx_type r_nr = r.rows (); octave_idx_type r_nc = r.cols (); if (r_nr != r_nc) (*current_liboctave_error_handler) ("chol2inv requires square matrix"); F77_INT n = to_f77_int (r_nc); F77_INT info; Matrix tmp = r; double *v = tmp.fortran_vec (); if (is_upper) F77_XFCN (dpotri, DPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n, v, n, info F77_CHAR_ARG_LEN (1))); else F77_XFCN (dpotri, DPOTRI, (F77_CONST_CHAR_ARG2 ("L", 1), n, v, n, info F77_CHAR_ARG_LEN (1))); // FIXME: Should we check info exit value and possibly report an error? // If someone thinks of a more graceful way of doing this // (or faster for that matter :-)), please let me know! if (n > 1) { if (is_upper) for (octave_idx_type j = 0; j < r_nc; j++) for (octave_idx_type i = j+1; i < r_nr; i++) tmp.xelem (i, j) = tmp.xelem (j, i); else for (octave_idx_type j = 0; j < r_nc; j++) for (octave_idx_type i = j+1; i < r_nr; i++) tmp.xelem (j, i) = tmp.xelem (i, j); } retval = tmp; return retval; } static FloatMatrix chol2inv_internal (const FloatMatrix& r, bool is_upper = true) { FloatMatrix retval; octave_idx_type r_nr = r.rows (); octave_idx_type r_nc = r.cols (); if (r_nr != r_nc) (*current_liboctave_error_handler) ("chol2inv requires square matrix"); F77_INT n = to_f77_int (r_nc); F77_INT info; FloatMatrix tmp = r; float *v = tmp.fortran_vec (); if (is_upper) F77_XFCN (spotri, SPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n, v, n, info F77_CHAR_ARG_LEN (1))); else F77_XFCN (spotri, SPOTRI, (F77_CONST_CHAR_ARG2 ("L", 1), n, v, n, info F77_CHAR_ARG_LEN (1))); // FIXME: Should we check info exit value and possibly report an error? // If someone thinks of a more graceful way of doing this (or // faster for that matter :-)), please let me know! if (n > 1) { if (is_upper) for (octave_idx_type j = 0; j < r_nc; j++) for (octave_idx_type i = j+1; i < r_nr; i++) tmp.xelem (i, j) = tmp.xelem (j, i); else for (octave_idx_type j = 0; j < r_nc; j++) for (octave_idx_type i = j+1; i < r_nr; i++) tmp.xelem (j, i) = tmp.xelem (i, j); } retval = tmp; return retval; } static ComplexMatrix chol2inv_internal (const ComplexMatrix& r, bool is_upper = true) { ComplexMatrix retval; octave_idx_type r_nr = r.rows (); octave_idx_type r_nc = r.cols (); if (r_nr != r_nc) (*current_liboctave_error_handler) ("chol2inv requires square matrix"); F77_INT n = to_f77_int (r_nc); F77_INT info; ComplexMatrix tmp = r; if (is_upper) F77_XFCN (zpotri, ZPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n, F77_DBLE_CMPLX_ARG (tmp.fortran_vec ()), n, info F77_CHAR_ARG_LEN (1))); else F77_XFCN (zpotri, ZPOTRI, (F77_CONST_CHAR_ARG2 ("L", 1), n, F77_DBLE_CMPLX_ARG (tmp.fortran_vec ()), n, info F77_CHAR_ARG_LEN (1))); // If someone thinks of a more graceful way of doing this (or // faster for that matter :-)), please let me know! if (n > 1) { if (is_upper) for (octave_idx_type j = 0; j < r_nc; j++) for (octave_idx_type i = j+1; i < r_nr; i++) tmp.xelem (i, j) = std::conj (tmp.xelem (j, i)); else for (octave_idx_type j = 0; j < r_nc; j++) for (octave_idx_type i = j+1; i < r_nr; i++) tmp.xelem (j, i) = std::conj (tmp.xelem (i, j)); } retval = tmp; return retval; } static FloatComplexMatrix chol2inv_internal (const FloatComplexMatrix& r, bool is_upper = true) { FloatComplexMatrix retval; octave_idx_type r_nr = r.rows (); octave_idx_type r_nc = r.cols (); if (r_nr != r_nc) (*current_liboctave_error_handler) ("chol2inv requires square matrix"); F77_INT n = to_f77_int (r_nc); F77_INT info; FloatComplexMatrix tmp = r; if (is_upper) F77_XFCN (cpotri, CPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n, F77_CMPLX_ARG (tmp.fortran_vec ()), n, info F77_CHAR_ARG_LEN (1))); else F77_XFCN (cpotri, CPOTRI, (F77_CONST_CHAR_ARG2 ("L", 1), n, F77_CMPLX_ARG (tmp.fortran_vec ()), n, info F77_CHAR_ARG_LEN (1))); // If someone thinks of a more graceful way of doing this (or // faster for that matter :-)), please let me know! if (n > 1) { if (is_upper) for (octave_idx_type j = 0; j < r_nc; j++) for (octave_idx_type i = j+1; i < r_nr; i++) tmp.xelem (i, j) = std::conj (tmp.xelem (j, i)); else for (octave_idx_type j = 0; j < r_nc; j++) for (octave_idx_type i = j+1; i < r_nr; i++) tmp.xelem (j, i) = std::conj (tmp.xelem (i, j)); } retval = tmp; return retval; } namespace math { template <typename T> T chol2inv (const T& r) { return chol2inv_internal (r); } // Compute the inverse of a matrix using the Cholesky factorization. template <typename T> T chol<T>::inverse (void) const { return chol2inv_internal (chol_mat, is_upper); } template <typename T> void chol<T>::set (const T& R) { if (! R.issquare ()) (*current_liboctave_error_handler) ("chol: requires square matrix"); chol_mat = R; } #if ! defined (HAVE_QRUPDATE) template <typename T> void chol<T>::update (const VT& u) { warn_qrupdate_once (); octave_idx_type n = chol_mat.rows (); if (u.numel () != n) (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); init (chol_mat.hermitian () * chol_mat + T (u) * T (u).hermitian (), true, false); } template <typename T> bool singular (const T& a) { static typename T::element_type zero (0); for (octave_idx_type i = 0; i < a.rows (); i++) if (a(i,i) == zero) return true; return false; } template <typename T> octave_idx_type chol<T>::downdate (const VT& u) { warn_qrupdate_once (); octave_idx_type info = -1; octave_idx_type n = chol_mat.rows (); if (u.numel () != n) (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); if (singular (chol_mat)) info = 2; else { info = init (chol_mat.hermitian () * chol_mat - T (u) * T (u).hermitian (), true, false); if (info) info = 1; } return info; } template <typename T> octave_idx_type chol<T>::insert_sym (const VT& u, octave_idx_type j) { static typename T::element_type zero (0); warn_qrupdate_once (); octave_idx_type info = -1; octave_idx_type n = chol_mat.rows (); if (u.numel () != n + 1) (*current_liboctave_error_handler) ("cholinsert: dimension mismatch"); if (j < 0 || j > n) (*current_liboctave_error_handler) ("cholinsert: index out of range"); if (singular (chol_mat)) info = 2; else if (std::imag (u(j)) != zero) info = 3; else { T a = chol_mat.hermitian () * chol_mat; T a1 (n+1, n+1); for (octave_idx_type k = 0; k < n+1; k++) for (octave_idx_type l = 0; l < n+1; l++) { if (l == j) a1(k, l) = u(k); else if (k == j) a1(k, l) = math::conj (u(l)); else a1(k, l) = a(k < j ? k : k-1, l < j ? l : l-1); } info = init (a1, true, false); if (info) info = 1; } return info; } template <typename T> void chol<T>::delete_sym (octave_idx_type j) { warn_qrupdate_once (); octave_idx_type n = chol_mat.rows (); if (j < 0 || j > n-1) (*current_liboctave_error_handler) ("choldelete: index out of range"); T a = chol_mat.hermitian () * chol_mat; a.delete_elements (1, idx_vector (j)); a.delete_elements (0, idx_vector (j)); init (a, true, false); } template <typename T> void chol<T>::shift_sym (octave_idx_type i, octave_idx_type j) { warn_qrupdate_once (); octave_idx_type n = chol_mat.rows (); if (i < 0 || i > n-1 || j < 0 || j > n-1) (*current_liboctave_error_handler) ("cholshift: index out of range"); T a = chol_mat.hermitian () * chol_mat; Array<octave_idx_type> p (dim_vector (n, 1)); for (octave_idx_type k = 0; k < n; k++) p(k) = k; if (i < j) { for (octave_idx_type k = i; k < j; k++) p(k) = k+1; p(j) = i; } else if (j < i) { p(j) = i; for (octave_idx_type k = j+1; k < i+1; k++) p(k) = k-1; } init (a.index (idx_vector (p), idx_vector (p)), true, false); } #endif // Specializations. template <> octave_idx_type chol<Matrix>::init (const Matrix& a, bool upper, bool calc_cond) { octave_idx_type a_nr = a.rows (); octave_idx_type a_nc = a.cols (); if (a_nr != a_nc) (*current_liboctave_error_handler) ("chol: requires square matrix"); F77_INT n = to_f77_int (a_nc); F77_INT info; is_upper = upper; chol_mat.clear (n, n); if (is_upper) for (octave_idx_type j = 0; j < n; j++) { for (octave_idx_type i = 0; i <= j; i++) chol_mat.xelem (i, j) = a(i, j); for (octave_idx_type i = j+1; i < n; i++) chol_mat.xelem (i, j) = 0.0; } else for (octave_idx_type j = 0; j < n; j++) { for (octave_idx_type i = 0; i < j; i++) chol_mat.xelem (i, j) = 0.0; for (octave_idx_type i = j; i < n; i++) chol_mat.xelem (i, j) = a(i, j); } double *h = chol_mat.fortran_vec (); // Calculate the norm of the matrix, for later use. double anorm = 0; if (calc_cond) anorm = xnorm (a, 1); if (is_upper) F77_XFCN (dpotrf, DPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1), n, h, n, info F77_CHAR_ARG_LEN (1))); else F77_XFCN (dpotrf, DPOTRF, (F77_CONST_CHAR_ARG2 ("L", 1), n, h, n, info F77_CHAR_ARG_LEN (1))); xrcond = 0.0; if (info > 0) chol_mat.resize (info - 1, info - 1); else if (calc_cond) { F77_INT dpocon_info = 0; // Now calculate the condition number for non-singular matrix. Array<double> z (dim_vector (3*n, 1)); double *pz = z.fortran_vec (); OCTAVE_LOCAL_BUFFER (F77_INT, iz, n); if (is_upper) F77_XFCN (dpocon, DPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h, n, anorm, xrcond, pz, iz, dpocon_info F77_CHAR_ARG_LEN (1))); else F77_XFCN (dpocon, DPOCON, (F77_CONST_CHAR_ARG2 ("L", 1), n, h, n, anorm, xrcond, pz, iz, dpocon_info F77_CHAR_ARG_LEN (1))); if (dpocon_info != 0) info = -1; } return info; } #if defined (HAVE_QRUPDATE) template <> void chol<Matrix>::update (const ColumnVector& u) { F77_INT n = to_f77_int (chol_mat.rows ()); if (u.numel () != n) (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); ColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (double, w, n); F77_XFCN (dch1up, DCH1UP, (n, chol_mat.fortran_vec (), n, utmp.fortran_vec (), w)); } template <> octave_idx_type chol<Matrix>::downdate (const ColumnVector& u) { F77_INT info = -1; F77_INT n = to_f77_int (chol_mat.rows ()); if (u.numel () != n) (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); ColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (double, w, n); F77_XFCN (dch1dn, DCH1DN, (n, chol_mat.fortran_vec (), n, utmp.fortran_vec (), w, info)); return info; } template <> octave_idx_type chol<Matrix>::insert_sym (const ColumnVector& u, octave_idx_type j_arg) { F77_INT info = -1; F77_INT n = to_f77_int (chol_mat.rows ()); F77_INT j = to_f77_int (j_arg); if (u.numel () != n + 1) (*current_liboctave_error_handler) ("cholinsert: dimension mismatch"); if (j < 0 || j > n) (*current_liboctave_error_handler) ("cholinsert: index out of range"); ColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (double, w, n); chol_mat.resize (n+1, n+1); F77_INT ldcm = to_f77_int (chol_mat.rows ()); F77_XFCN (dchinx, DCHINX, (n, chol_mat.fortran_vec (), ldcm, j + 1, utmp.fortran_vec (), w, info)); return info; } template <> void chol<Matrix>::delete_sym (octave_idx_type j_arg) { F77_INT n = to_f77_int (chol_mat.rows ()); F77_INT j = to_f77_int (j_arg); if (j < 0 || j > n-1) (*current_liboctave_error_handler) ("choldelete: index out of range"); OCTAVE_LOCAL_BUFFER (double, w, n); F77_XFCN (dchdex, DCHDEX, (n, chol_mat.fortran_vec (), n, j + 1, w)); chol_mat.resize (n-1, n-1); } template <> void chol<Matrix>::shift_sym (octave_idx_type i_arg, octave_idx_type j_arg) { F77_INT n = to_f77_int (chol_mat.rows ()); F77_INT i = to_f77_int (i_arg); F77_INT j = to_f77_int (j_arg); if (i < 0 || i > n-1 || j < 0 || j > n-1) (*current_liboctave_error_handler) ("cholshift: index out of range"); OCTAVE_LOCAL_BUFFER (double, w, 2*n); F77_XFCN (dchshx, DCHSHX, (n, chol_mat.fortran_vec (), n, i + 1, j + 1, w)); } #endif template <> octave_idx_type chol<FloatMatrix>::init (const FloatMatrix& a, bool upper, bool calc_cond) { octave_idx_type a_nr = a.rows (); octave_idx_type a_nc = a.cols (); if (a_nr != a_nc) (*current_liboctave_error_handler) ("chol: requires square matrix"); F77_INT n = to_f77_int (a_nc); F77_INT info; is_upper = upper; chol_mat.clear (n, n); if (is_upper) for (octave_idx_type j = 0; j < n; j++) { for (octave_idx_type i = 0; i <= j; i++) chol_mat.xelem (i, j) = a(i, j); for (octave_idx_type i = j+1; i < n; i++) chol_mat.xelem (i, j) = 0.0f; } else for (octave_idx_type j = 0; j < n; j++) { for (octave_idx_type i = 0; i < j; i++) chol_mat.xelem (i, j) = 0.0f; for (octave_idx_type i = j; i < n; i++) chol_mat.xelem (i, j) = a(i, j); } float *h = chol_mat.fortran_vec (); // Calculate the norm of the matrix, for later use. float anorm = 0; if (calc_cond) anorm = xnorm (a, 1); if (is_upper) F77_XFCN (spotrf, SPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1), n, h, n, info F77_CHAR_ARG_LEN (1))); else F77_XFCN (spotrf, SPOTRF, (F77_CONST_CHAR_ARG2 ("L", 1), n, h, n, info F77_CHAR_ARG_LEN (1))); xrcond = 0.0; if (info > 0) chol_mat.resize (info - 1, info - 1); else if (calc_cond) { F77_INT spocon_info = 0; // Now calculate the condition number for non-singular matrix. Array<float> z (dim_vector (3*n, 1)); float *pz = z.fortran_vec (); OCTAVE_LOCAL_BUFFER (F77_INT, iz, n); if (is_upper) F77_XFCN (spocon, SPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h, n, anorm, xrcond, pz, iz, spocon_info F77_CHAR_ARG_LEN (1))); else F77_XFCN (spocon, SPOCON, (F77_CONST_CHAR_ARG2 ("L", 1), n, h, n, anorm, xrcond, pz, iz, spocon_info F77_CHAR_ARG_LEN (1))); if (spocon_info != 0) info = -1; } return info; } #if defined (HAVE_QRUPDATE) template <> void chol<FloatMatrix>::update (const FloatColumnVector& u) { F77_INT n = to_f77_int (chol_mat.rows ()); if (u.numel () != n) (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); FloatColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (float, w, n); F77_XFCN (sch1up, SCH1UP, (n, chol_mat.fortran_vec (), n, utmp.fortran_vec (), w)); } template <> octave_idx_type chol<FloatMatrix>::downdate (const FloatColumnVector& u) { F77_INT info = -1; F77_INT n = to_f77_int (chol_mat.rows ()); if (u.numel () != n) (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); FloatColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (float, w, n); F77_XFCN (sch1dn, SCH1DN, (n, chol_mat.fortran_vec (), n, utmp.fortran_vec (), w, info)); return info; } template <> octave_idx_type chol<FloatMatrix>::insert_sym (const FloatColumnVector& u, octave_idx_type j_arg) { F77_INT info = -1; F77_INT n = to_f77_int (chol_mat.rows ()); F77_INT j = to_f77_int (j_arg); if (u.numel () != n + 1) (*current_liboctave_error_handler) ("cholinsert: dimension mismatch"); if (j < 0 || j > n) (*current_liboctave_error_handler) ("cholinsert: index out of range"); FloatColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (float, w, n); chol_mat.resize (n+1, n+1); F77_INT ldcm = to_f77_int (chol_mat.rows ()); F77_XFCN (schinx, SCHINX, (n, chol_mat.fortran_vec (), ldcm, j + 1, utmp.fortran_vec (), w, info)); return info; } template <> void chol<FloatMatrix>::delete_sym (octave_idx_type j_arg) { F77_INT n = to_f77_int (chol_mat.rows ()); F77_INT j = to_f77_int (j_arg); if (j < 0 || j > n-1) (*current_liboctave_error_handler) ("choldelete: index out of range"); OCTAVE_LOCAL_BUFFER (float, w, n); F77_XFCN (schdex, SCHDEX, (n, chol_mat.fortran_vec (), n, j + 1, w)); chol_mat.resize (n-1, n-1); } template <> void chol<FloatMatrix>::shift_sym (octave_idx_type i_arg, octave_idx_type j_arg) { F77_INT n = to_f77_int (chol_mat.rows ()); F77_INT i = to_f77_int (i_arg); F77_INT j = to_f77_int (j_arg); if (i < 0 || i > n-1 || j < 0 || j > n-1) (*current_liboctave_error_handler) ("cholshift: index out of range"); OCTAVE_LOCAL_BUFFER (float, w, 2*n); F77_XFCN (schshx, SCHSHX, (n, chol_mat.fortran_vec (), n, i + 1, j + 1, w)); } #endif template <> octave_idx_type chol<ComplexMatrix>::init (const ComplexMatrix& a, bool upper, bool calc_cond) { octave_idx_type a_nr = a.rows (); octave_idx_type a_nc = a.cols (); if (a_nr != a_nc) (*current_liboctave_error_handler) ("chol: requires square matrix"); F77_INT n = to_f77_int (a_nc); F77_INT info; is_upper = upper; chol_mat.clear (n, n); if (is_upper) for (octave_idx_type j = 0; j < n; j++) { for (octave_idx_type i = 0; i <= j; i++) chol_mat.xelem (i, j) = a(i, j); for (octave_idx_type i = j+1; i < n; i++) chol_mat.xelem (i, j) = 0.0; } else for (octave_idx_type j = 0; j < n; j++) { for (octave_idx_type i = 0; i < j; i++) chol_mat.xelem (i, j) = 0.0; for (octave_idx_type i = j; i < n; i++) chol_mat.xelem (i, j) = a(i, j); } Complex *h = chol_mat.fortran_vec (); // Calculate the norm of the matrix, for later use. double anorm = 0; if (calc_cond) anorm = xnorm (a, 1); if (is_upper) F77_XFCN (zpotrf, ZPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1), n, F77_DBLE_CMPLX_ARG (h), n, info F77_CHAR_ARG_LEN (1))); else F77_XFCN (zpotrf, ZPOTRF, (F77_CONST_CHAR_ARG2 ("L", 1), n, F77_DBLE_CMPLX_ARG (h), n, info F77_CHAR_ARG_LEN (1))); xrcond = 0.0; if (info > 0) chol_mat.resize (info - 1, info - 1); else if (calc_cond) { F77_INT zpocon_info = 0; // Now calculate the condition number for non-singular matrix. Array<Complex> z (dim_vector (2*n, 1)); Complex *pz = z.fortran_vec (); Array<double> rz (dim_vector (n, 1)); double *prz = rz.fortran_vec (); F77_XFCN (zpocon, ZPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, F77_DBLE_CMPLX_ARG (h), n, anorm, xrcond, F77_DBLE_CMPLX_ARG (pz), prz, zpocon_info F77_CHAR_ARG_LEN (1))); if (zpocon_info != 0) info = -1; } return info; } #if defined (HAVE_QRUPDATE) template <> void chol<ComplexMatrix>::update (const ComplexColumnVector& u) { F77_INT n = to_f77_int (chol_mat.rows ()); if (u.numel () != n) (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); ComplexColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (double, rw, n); F77_XFCN (zch1up, ZCH1UP, (n, F77_DBLE_CMPLX_ARG (chol_mat.fortran_vec ()), n, F77_DBLE_CMPLX_ARG (utmp.fortran_vec ()), rw)); } template <> octave_idx_type chol<ComplexMatrix>::downdate (const ComplexColumnVector& u) { F77_INT info = -1; F77_INT n = to_f77_int (chol_mat.rows ()); if (u.numel () != n) (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); ComplexColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (double, rw, n); F77_XFCN (zch1dn, ZCH1DN, (n, F77_DBLE_CMPLX_ARG (chol_mat.fortran_vec ()), n, F77_DBLE_CMPLX_ARG (utmp.fortran_vec ()), rw, info)); return info; } template <> octave_idx_type chol<ComplexMatrix>::insert_sym (const ComplexColumnVector& u, octave_idx_type j_arg) { F77_INT info = -1; F77_INT n = to_f77_int (chol_mat.rows ()); F77_INT j = to_f77_int (j_arg); if (u.numel () != n + 1) (*current_liboctave_error_handler) ("cholinsert: dimension mismatch"); if (j < 0 || j > n) (*current_liboctave_error_handler) ("cholinsert: index out of range"); ComplexColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (double, rw, n); chol_mat.resize (n+1, n+1); F77_INT ldcm = to_f77_int (chol_mat.rows ()); F77_XFCN (zchinx, ZCHINX, (n, F77_DBLE_CMPLX_ARG (chol_mat.fortran_vec ()), ldcm, j + 1, F77_DBLE_CMPLX_ARG (utmp.fortran_vec ()), rw, info)); return info; } template <> void chol<ComplexMatrix>::delete_sym (octave_idx_type j_arg) { F77_INT n = to_f77_int (chol_mat.rows ()); F77_INT j = to_f77_int (j_arg); if (j < 0 || j > n-1) (*current_liboctave_error_handler) ("choldelete: index out of range"); OCTAVE_LOCAL_BUFFER (double, rw, n); F77_XFCN (zchdex, ZCHDEX, (n, F77_DBLE_CMPLX_ARG (chol_mat.fortran_vec ()), n, j + 1, rw)); chol_mat.resize (n-1, n-1); } template <> void chol<ComplexMatrix>::shift_sym (octave_idx_type i_arg, octave_idx_type j_arg) { F77_INT n = to_f77_int (chol_mat.rows ()); F77_INT i = to_f77_int (i_arg); F77_INT j = to_f77_int (j_arg); if (i < 0 || i > n-1 || j < 0 || j > n-1) (*current_liboctave_error_handler) ("cholshift: index out of range"); OCTAVE_LOCAL_BUFFER (Complex, w, n); OCTAVE_LOCAL_BUFFER (double, rw, n); F77_XFCN (zchshx, ZCHSHX, (n, F77_DBLE_CMPLX_ARG (chol_mat.fortran_vec ()), n, i + 1, j + 1, F77_DBLE_CMPLX_ARG (w), rw)); } #endif template <> octave_idx_type chol<FloatComplexMatrix>::init (const FloatComplexMatrix& a, bool upper, bool calc_cond) { octave_idx_type a_nr = a.rows (); octave_idx_type a_nc = a.cols (); if (a_nr != a_nc) (*current_liboctave_error_handler) ("chol: requires square matrix"); F77_INT n = to_f77_int (a_nc); F77_INT info; is_upper = upper; chol_mat.clear (n, n); if (is_upper) for (octave_idx_type j = 0; j < n; j++) { for (octave_idx_type i = 0; i <= j; i++) chol_mat.xelem (i, j) = a(i, j); for (octave_idx_type i = j+1; i < n; i++) chol_mat.xelem (i, j) = 0.0f; } else for (octave_idx_type j = 0; j < n; j++) { for (octave_idx_type i = 0; i < j; i++) chol_mat.xelem (i, j) = 0.0f; for (octave_idx_type i = j; i < n; i++) chol_mat.xelem (i, j) = a(i, j); } FloatComplex *h = chol_mat.fortran_vec (); // Calculate the norm of the matrix, for later use. float anorm = 0; if (calc_cond) anorm = xnorm (a, 1); if (is_upper) F77_XFCN (cpotrf, CPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1), n, F77_CMPLX_ARG (h), n, info F77_CHAR_ARG_LEN (1))); else F77_XFCN (cpotrf, CPOTRF, (F77_CONST_CHAR_ARG2 ("L", 1), n, F77_CMPLX_ARG (h), n, info F77_CHAR_ARG_LEN (1))); xrcond = 0.0; if (info > 0) chol_mat.resize (info - 1, info - 1); else if (calc_cond) { F77_INT cpocon_info = 0; // Now calculate the condition number for non-singular matrix. Array<FloatComplex> z (dim_vector (2*n, 1)); FloatComplex *pz = z.fortran_vec (); Array<float> rz (dim_vector (n, 1)); float *prz = rz.fortran_vec (); F77_XFCN (cpocon, CPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, F77_CMPLX_ARG (h), n, anorm, xrcond, F77_CMPLX_ARG (pz), prz, cpocon_info F77_CHAR_ARG_LEN (1))); if (cpocon_info != 0) info = -1; } return info; } #if defined (HAVE_QRUPDATE) template <> void chol<FloatComplexMatrix>::update (const FloatComplexColumnVector& u) { F77_INT n = to_f77_int (chol_mat.rows ()); if (u.numel () != n) (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); FloatComplexColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (float, rw, n); F77_XFCN (cch1up, CCH1UP, (n, F77_CMPLX_ARG (chol_mat.fortran_vec ()), n, F77_CMPLX_ARG (utmp.fortran_vec ()), rw)); } template <> octave_idx_type chol<FloatComplexMatrix>::downdate (const FloatComplexColumnVector& u) { F77_INT info = -1; F77_INT n = to_f77_int (chol_mat.rows ()); if (u.numel () != n) (*current_liboctave_error_handler) ("cholupdate: dimension mismatch"); FloatComplexColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (float, rw, n); F77_XFCN (cch1dn, CCH1DN, (n, F77_CMPLX_ARG (chol_mat.fortran_vec ()), n, F77_CMPLX_ARG (utmp.fortran_vec ()), rw, info)); return info; } template <> octave_idx_type chol<FloatComplexMatrix>::insert_sym (const FloatComplexColumnVector& u, octave_idx_type j_arg) { F77_INT info = -1; F77_INT j = to_f77_int (j_arg); F77_INT n = to_f77_int (chol_mat.rows ()); if (u.numel () != n + 1) (*current_liboctave_error_handler) ("cholinsert: dimension mismatch"); if (j < 0 || j > n) (*current_liboctave_error_handler) ("cholinsert: index out of range"); FloatComplexColumnVector utmp = u; OCTAVE_LOCAL_BUFFER (float, rw, n); chol_mat.resize (n+1, n+1); F77_INT ldcm = to_f77_int (chol_mat.rows ()); F77_XFCN (cchinx, CCHINX, (n, F77_CMPLX_ARG (chol_mat.fortran_vec ()), ldcm, j + 1, F77_CMPLX_ARG (utmp.fortran_vec ()), rw, info)); return info; } template <> void chol<FloatComplexMatrix>::delete_sym (octave_idx_type j_arg) { F77_INT n = to_f77_int (chol_mat.rows ()); F77_INT j = to_f77_int (j_arg); if (j < 0 || j > n-1) (*current_liboctave_error_handler) ("choldelete: index out of range"); OCTAVE_LOCAL_BUFFER (float, rw, n); F77_XFCN (cchdex, CCHDEX, (n, F77_CMPLX_ARG (chol_mat.fortran_vec ()), n, j + 1, rw)); chol_mat.resize (n-1, n-1); } template <> void chol<FloatComplexMatrix>::shift_sym (octave_idx_type i_arg, octave_idx_type j_arg) { F77_INT n = to_f77_int (chol_mat.rows ()); F77_INT i = to_f77_int (i_arg); F77_INT j = to_f77_int (j_arg); if (i < 0 || i > n-1 || j < 0 || j > n-1) (*current_liboctave_error_handler) ("cholshift: index out of range"); OCTAVE_LOCAL_BUFFER (FloatComplex, w, n); OCTAVE_LOCAL_BUFFER (float, rw, n); F77_XFCN (cchshx, CCHSHX, (n, F77_CMPLX_ARG (chol_mat.fortran_vec ()), n, i + 1, j + 1, F77_CMPLX_ARG (w), rw)); } #endif // Instantiations we need. template class chol<Matrix>; template class chol<FloatMatrix>; template class chol<ComplexMatrix>; template class chol<FloatComplexMatrix>; template Matrix chol2inv<Matrix> (const Matrix& r); template ComplexMatrix chol2inv<ComplexMatrix> (const ComplexMatrix& r); template FloatMatrix chol2inv<FloatMatrix> (const FloatMatrix& r); template FloatComplexMatrix chol2inv<FloatComplexMatrix> (const FloatComplexMatrix& r); } }