view libinterp/corefcn/sqrtm.cc @ 30564:796f54d4ddbf stable

update Octave Project Developers copyright for the new year In files that have the "Octave Project Developers" copyright notice, update for 2021. In all .txi and .texi files except gpl.txi and gpl.texi in the doc/liboctave and doc/interpreter directories, change the copyright to "Octave Project Developers", the same as used for other source files. Update copyright notices for 2022 (not done since 2019). For gpl.txi and gpl.texi, change the copyright notice to be "Free Software Foundation, Inc." and leave the date at 2007 only because this file only contains the text of the GPL, not anything created by the Octave Project Developers. Add Paul Thomas to contributors.in.
author John W. Eaton <jwe@octave.org>
date Tue, 28 Dec 2021 18:22:40 -0500
parents 56eddda69c0e
children e88a07dec498
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////////////////////////////////////////////////////////////////////////
//
// Copyright (C) 2001-2022 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 "schur.h"
#include "lo-ieee.h"
#include "lo-mappers.h"
#include "oct-norm.h"

#include "defun.h"
#include "error.h"
#include "errwarn.h"
#include "utils.h"
#include "xnorm.h"

OCTAVE_NAMESPACE_BEGIN

template <typename Matrix>
static void
sqrtm_utri_inplace (Matrix& T)
{
  typedef typename Matrix::element_type element_type;

  const element_type zero = element_type ();

  bool singular = false;

  // The following code is equivalent to this triple loop:
  //
  //   n = rows (T);
  //   for j = 1:n
  //     T(j,j) = sqrt (T(j,j));
  //     for i = j-1:-1:1
  //       if T(i,j) != 0
  //         T(i,j) /= (T(i,i) + T(j,j));
  //       endif
  //       k = 1:i-1;
  //       T(k,j) -= T(k,i) * T(i,j);
  //     endfor
  //   endfor
  //
  // this is an in-place, cache-aligned variant of the code
  // given in Higham's paper.

  const octave_idx_type n = T.rows ();
  element_type *Tp = T.fortran_vec ();
  for (octave_idx_type j = 0; j < n; j++)
    {
      element_type *colj = Tp + n*j;
      if (colj[j] != zero)
        colj[j] = sqrt (colj[j]);
      else
        singular = true;

      for (octave_idx_type i = j-1; i >= 0; i--)
        {
          const element_type *coli = Tp + n*i;
          if (colj[i] != zero)
            colj[i] /= (coli[i] + colj[j]);
          const element_type colji = colj[i];
          for (octave_idx_type k = 0; k < i; k++)
            colj[k] -= coli[k] * colji;
        }
    }

  if (singular)
    warning_with_id ("Octave:sqrtm:SingularMatrix",
                     "sqrtm: matrix is singular, may not have a square root");
}

template <typename Matrix, typename ComplexMatrix, typename ComplexSCHUR>
static octave_value
do_sqrtm (const octave_value& arg)
{

  octave_value retval;

  MatrixType mt = arg.matrix_type ();

  bool iscomplex = arg.iscomplex ();

  typedef typename Matrix::element_type real_type;

  real_type cutoff = 0;
  real_type one = 1;
  real_type eps = std::numeric_limits<real_type>::epsilon ();

  if (! iscomplex)
    {
      Matrix x = octave_value_extract<Matrix> (arg);

      if (mt.is_unknown ()) // if type is not known, compute it now.
        arg.matrix_type (mt = MatrixType (x));

      switch (mt.type ())
        {
        case MatrixType::Upper:
        case MatrixType::Diagonal:
          if (! x.diag ().any_element_is_negative ())
            {
              // Do it in real arithmetic.
              sqrtm_utri_inplace (x);
              retval = x;
              retval.matrix_type (mt);
            }
          else
            iscomplex = true;
          break;

        case MatrixType::Lower:
          if (! x.diag ().any_element_is_negative ())
            {
              x = x.transpose ();
              sqrtm_utri_inplace (x);
              retval = x.transpose ();
              retval.matrix_type (mt);
            }
          else
            iscomplex = true;
          break;

        default:
          iscomplex = true;
          break;
        }

      if (iscomplex)
        cutoff = 10 * x.rows () * eps * xnorm (x, one);
    }

  if (iscomplex)
    {
      ComplexMatrix x = octave_value_extract<ComplexMatrix> (arg);

      if (mt.is_unknown ()) // if type is not known, compute it now.
        arg.matrix_type (mt = MatrixType (x));

      switch (mt.type ())
        {
        case MatrixType::Upper:
        case MatrixType::Diagonal:
          sqrtm_utri_inplace (x);
          retval = x;
          retval.matrix_type (mt);
          break;

        case MatrixType::Lower:
          x = x.transpose ();
          sqrtm_utri_inplace (x);
          retval = x.transpose ();
          retval.matrix_type (mt);
          break;

        default:
          {
            ComplexMatrix u;

            do
              {
                ComplexSCHUR schur_fact (x, "", true);
                x = schur_fact.schur_matrix ();
                u = schur_fact.unitary_schur_matrix ();
              }
            while (0); // schur no longer needed.

            sqrtm_utri_inplace (x);

            x = u * x; // original x no longer needed.
            ComplexMatrix res = xgemm (x, u, blas_no_trans, blas_conj_trans);

            if (cutoff > 0 && xnorm (imag (res), one) <= cutoff)
              retval = real (res);
            else
              retval = res;
          }
          break;
        }
    }

  return retval;
}

DEFUN (sqrtm, args, nargout,
       doc: /* -*- texinfo -*-
@deftypefn  {} {@var{s} =} sqrtm (@var{A})
@deftypefnx {} {[@var{s}, @var{error_estimate}] =} sqrtm (@var{A})
Compute the matrix square root of the square matrix @var{A}.

Ref: @nospell{N.J. Higham}.  @cite{A New sqrtm for @sc{matlab}}.  Numerical
Analysis Report No.@: 336, Manchester @nospell{Centre} for Computational
Mathematics, Manchester, England, January 1999.
@seealso{expm, logm}
@end deftypefn */)
{
  if (args.length () != 1)
    print_usage ();

  octave_value arg = args(0);

  octave_idx_type n = arg.rows ();
  octave_idx_type nc = arg.columns ();

  if (n != nc || arg.ndims () > 2)
    err_square_matrix_required ("sqrtm", "A");

  octave_value_list retval (nargout > 1 ? 3 : 1);

  if (nargout > 1)
    {
      // FIXME: Octave does not calculate a condition number with respect to
      //        sqrtm.  Should this return NaN instead of -1?
      retval(2) = -1.0;
    }

  if (arg.is_diag_matrix ())
    // sqrtm of a diagonal matrix is just sqrt.
    retval(0) = arg.sqrt ();
  else if (arg.is_single_type ())
    retval(0) = do_sqrtm<FloatMatrix, FloatComplexMatrix,
                         math::schur<FloatComplexMatrix>> (arg);
  else if (arg.isnumeric ())
    retval(0) = do_sqrtm<Matrix, ComplexMatrix,
                         math::schur<ComplexMatrix>> (arg);

  if (nargout > 1)
    {
      // This corresponds to generic code
      //
      //   norm (s*s - x, "fro") / norm (x, "fro");

      octave_value s = retval(0);
      retval(1) = xfrobnorm (s*s - arg) / xfrobnorm (arg);
    }

  return retval;
}

/*
%!assert (sqrtm (2*ones (2)), ones (2), 3*eps)
%!assert <*60797> (sqrtm (ones (4))^2, ones (4), 5*eps)

## The following two tests are from the reference in the docstring above.
%!test
%! warning ("off", "Octave:sqrtm:SingularMatrix", "local");
%! x = [0 1; 0 0];
%! assert (any (isnan (sqrtm (x))(:)));

%!test
%! x = eye (4);  x(2,2) = x(3,3) = 2^-26;  x(1,4) = 1;
%! z = eye (4);  z(2,2) = z(3,3) = 2^-13;  z(1,4) = 0.5;
%! [y, err] = sqrtm (x);
%! assert (y, z);
%! assert (err, 0);   # Yes, this one has to hold exactly
*/

OCTAVE_NAMESPACE_END