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annotate liboctave/fCmplxCHOL.cc @ 8562:a6edd5c23cb5

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use replacement methods if qrupdate is not available
author Jaroslav Hajek <highegg@gmail.com>
date Thu, 22 Jan 2009 11:10:47 +0100
parents d66c9b6e506a
children c0aeedd8fb86
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1 /*
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2
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3 Copyright (C) 1994, 1995, 1996, 1997, 2002, 2003, 2004, 2005, 2007
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4 John W. Eaton
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5 Copyright (C) 2008, 2009 Jaroslav Hajek
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6
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7 This file is part of Octave.
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8
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9 Octave is free software; you can redistribute it and/or modify it
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10 under the terms of the GNU General Public License as published by the
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11 Free Software Foundation; either version 3 of the License, or (at your
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12 option) any later version.
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13
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14 Octave is distributed in the hope that it will be useful, but WITHOUT
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15 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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16 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
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17 for more details.
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18
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19 You should have received a copy of the GNU General Public License
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20 along with Octave; see the file COPYING. If not, see
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21 <http://www.gnu.org/licenses/>.
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22
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23 */
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24
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25 #ifdef HAVE_CONFIG_H
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26 #include <config.h>
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27 #endif
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28
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29 #include <vector>
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30
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31 #include "fMatrix.h"
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32 #include "fRowVector.h"
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33 #include "fCmplxCHOL.h"
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34 #include "f77-fcn.h"
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35 #include "lo-error.h"
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36 #include "oct-locbuf.h"
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37 #ifndef HAVE_QRUPDATE
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38 #include "dbleQR.h"
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39 #endif
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40
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41 extern "C"
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42 {
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43 F77_RET_T
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44 F77_FUNC (cpotrf, CPOTRF) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
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45 FloatComplex*, const octave_idx_type&, octave_idx_type&
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46 F77_CHAR_ARG_LEN_DECL);
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47 F77_RET_T
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48 F77_FUNC (cpotri, CPOTRI) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
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49 FloatComplex*, const octave_idx_type&, octave_idx_type&
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50 F77_CHAR_ARG_LEN_DECL);
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51
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52 F77_RET_T
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53 F77_FUNC (cpocon, CPOCON) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
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54 FloatComplex*, const octave_idx_type&, const float&,
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55 float&, FloatComplex*, float*,
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56 octave_idx_type& F77_CHAR_ARG_LEN_DECL);
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57 #ifdef HAVE_QRUPDATE
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58
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59 F77_RET_T
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60 F77_FUNC (cch1up, CCH1UP) (const octave_idx_type&, FloatComplex*, const octave_idx_type&,
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61 FloatComplex*, float*);
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62
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63 F77_RET_T
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64 F77_FUNC (cch1dn, CCH1DN) (const octave_idx_type&, FloatComplex*, const octave_idx_type&,
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65 FloatComplex*, float*, octave_idx_type&);
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66
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67 F77_RET_T
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68 F77_FUNC (cchinx, CCHINX) (const octave_idx_type&, FloatComplex*, const octave_idx_type&,
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69 const octave_idx_type&, FloatComplex*, float*,
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70 octave_idx_type&);
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71
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72 F77_RET_T
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73 F77_FUNC (cchdex, CCHDEX) (const octave_idx_type&, FloatComplex*, const octave_idx_type&,
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74 const octave_idx_type&, float*);
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75
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76 F77_RET_T
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77 F77_FUNC (cchshx, CCHSHX) (const octave_idx_type&, FloatComplex*, const octave_idx_type&,
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78 const octave_idx_type&, const octave_idx_type&,
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79 FloatComplex*, float*);
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80 #endif
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81 }
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82
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83 octave_idx_type
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84 FloatComplexCHOL::init (const FloatComplexMatrix& a, bool calc_cond)
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85 {
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86 octave_idx_type a_nr = a.rows ();
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87 octave_idx_type a_nc = a.cols ();
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88
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89 if (a_nr != a_nc)
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90 {
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91 (*current_liboctave_error_handler)
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92 ("FloatComplexCHOL requires square matrix");
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93 return -1;
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94 }
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95
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96 octave_idx_type n = a_nc;
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97 octave_idx_type info;
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98
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99 chol_mat = a;
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100 FloatComplex *h = chol_mat.fortran_vec ();
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101
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102 // Calculate the norm of the matrix, for later use.
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103 float anorm = 0;
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104 if (calc_cond)
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105 anorm = chol_mat.abs().sum().row(static_cast<octave_idx_type>(0)).max();
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106
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107 F77_XFCN (cpotrf, CPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1), n, h, n, info
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108 F77_CHAR_ARG_LEN (1)));
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109
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110 xrcond = 0.0;
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111 if (info != 0)
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112 info = -1;
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113 else if (calc_cond)
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114 {
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115 octave_idx_type cpocon_info = 0;
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116
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117 // Now calculate the condition number for non-singular matrix.
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118 Array<FloatComplex> z (2*n);
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119 FloatComplex *pz = z.fortran_vec ();
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120 Array<float> rz (n);
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121 float *prz = rz.fortran_vec ();
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122 F77_XFCN (cpocon, CPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h,
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123 n, anorm, xrcond, pz, prz, cpocon_info
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124 F77_CHAR_ARG_LEN (1)));
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125
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126 if (cpocon_info != 0)
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127 info = -1;
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128 }
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129 else
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130 {
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131 // If someone thinks of a more graceful way of doing this (or
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132 // faster for that matter :-)), please let me know!
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133
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134 if (n > 1)
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135 for (octave_idx_type j = 0; j < a_nc; j++)
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136 for (octave_idx_type i = j+1; i < a_nr; i++)
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137 chol_mat.xelem (i, j) = 0.0;
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138 }
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139
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140 return info;
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141 }
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142
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143 static FloatComplexMatrix
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144 chol2inv_internal (const FloatComplexMatrix& r)
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145 {
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146 FloatComplexMatrix retval;
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147
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148 octave_idx_type r_nr = r.rows ();
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149 octave_idx_type r_nc = r.cols ();
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150
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151 if (r_nr == r_nc)
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152 {
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153 octave_idx_type n = r_nc;
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154 octave_idx_type info;
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155
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156 FloatComplexMatrix tmp = r;
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157
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158 F77_XFCN (cpotri, CPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n,
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159 tmp.fortran_vec (), n, info
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160 F77_CHAR_ARG_LEN (1)));
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161
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162 // If someone thinks of a more graceful way of doing this (or
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163 // faster for that matter :-)), please let me know!
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164
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165 if (n > 1)
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166 for (octave_idx_type j = 0; j < r_nc; j++)
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167 for (octave_idx_type i = j+1; i < r_nr; i++)
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168 tmp.xelem (i, j) = std::conj (tmp.xelem (j, i));
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169
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170 retval = tmp;
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171 }
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172 else
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173 (*current_liboctave_error_handler) ("chol2inv requires square matrix");
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174
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175 return retval;
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176 }
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177
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178 // Compute the inverse of a matrix using the Cholesky factorization.
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179 FloatComplexMatrix
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180 FloatComplexCHOL::inverse (void) const
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181 {
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182 return chol2inv_internal (chol_mat);
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183 }
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184
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185 void
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186 FloatComplexCHOL::set (const FloatComplexMatrix& R)
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187 {
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188 if (R.is_square ())
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189 chol_mat = R;
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190 else
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191 (*current_liboctave_error_handler) ("CHOL requires square matrix");
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192 }
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193
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194 #ifdef HAVE_QRUPDATE
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195
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196 void
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197 FloatComplexCHOL::update (const FloatComplexColumnVector& u)
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198 {
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199 octave_idx_type n = chol_mat.rows ();
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200
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201 if (u.length () == n)
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202 {
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203 FloatComplexColumnVector utmp = u;
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204
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205 OCTAVE_LOCAL_BUFFER (float, rw, n);
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206
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207 F77_XFCN (cch1up, CCH1UP, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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208 utmp.fortran_vec (), rw));
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209 }
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210 else
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211 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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212 }
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213
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214 octave_idx_type
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215 FloatComplexCHOL::downdate (const FloatComplexColumnVector& u)
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216 {
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217 octave_idx_type info = -1;
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218
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219 octave_idx_type n = chol_mat.rows ();
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220
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221 if (u.length () == n)
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222 {
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223 FloatComplexColumnVector utmp = u;
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224
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225 OCTAVE_LOCAL_BUFFER (float, rw, n);
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226
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227 F77_XFCN (cch1dn, CCH1DN, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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228 utmp.fortran_vec (), rw, info));
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229 }
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230 else
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231 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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232
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233 return info;
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234 }
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235
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236 octave_idx_type
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237 FloatComplexCHOL::insert_sym (const FloatComplexColumnVector& u, octave_idx_type j)
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238 {
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239 octave_idx_type info = -1;
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240
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241 octave_idx_type n = chol_mat.rows ();
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242
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243 if (u.length () != n + 1)
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244 (*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
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245 else if (j < 0 || j > n)
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246 (*current_liboctave_error_handler) ("cholinsert: index out of range");
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247 else
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248 {
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249 FloatComplexColumnVector utmp = u;
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250
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251 OCTAVE_LOCAL_BUFFER (float, rw, n);
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252
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253 chol_mat.resize (n+1, n+1);
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254
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255 F77_XFCN (cchinx, CCHINX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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256 j + 1, utmp.fortran_vec (), rw, info));
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257 }
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258
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259 return info;
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260 }
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261
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262 void
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263 FloatComplexCHOL::delete_sym (octave_idx_type j)
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264 {
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265 octave_idx_type n = chol_mat.rows ();
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266
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267 if (j < 0 || j > n-1)
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268 (*current_liboctave_error_handler) ("choldelete: index out of range");
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269 else
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270 {
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271 OCTAVE_LOCAL_BUFFER (float, rw, n);
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272
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273 F77_XFCN (cchdex, CCHDEX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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274 j + 1, rw));
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275
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276 chol_mat.resize (n-1, n-1);
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277 }
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278 }
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279
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280 void
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281 FloatComplexCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
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282 {
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283 octave_idx_type n = chol_mat.rows ();
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284
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285 if (i < 0 || i > n-1 || j < 0 || j > n-1)
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286 (*current_liboctave_error_handler) ("cholshift: index out of range");
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287 else
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288 {
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289 OCTAVE_LOCAL_BUFFER (FloatComplex, w, n);
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290 OCTAVE_LOCAL_BUFFER (float, rw, n);
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291
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292 F77_XFCN (cchshx, CCHSHX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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293 i + 1, j + 1, w, rw));
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294 }
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295 }
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296
8562
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297 #else
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298
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299 void
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300 FloatComplexCHOL::update (const FloatComplexColumnVector& u)
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301 {
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302 warn_qrupdate_once ();
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303
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304 octave_idx_type n = chol_mat.rows ();
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305
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306 if (u.length () == n)
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307 {
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308 init (chol_mat.hermitian () * chol_mat
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309 + FloatComplexMatrix (u) * FloatComplexMatrix (u).hermitian (), false);
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310 }
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311 else
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312 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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313 }
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314
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315 static bool
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316 singular (const FloatComplexMatrix& a)
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317 {
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318 for (octave_idx_type i = 0; i < a.rows (); i++)
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319 if (a(i,i) == 0.0f) return true;
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320 return false;
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321 }
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322
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323 octave_idx_type
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324 FloatComplexCHOL::downdate (const FloatComplexColumnVector& u)
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325 {
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326 warn_qrupdate_once ();
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diff changeset
327
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328 octave_idx_type info = -1;
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329
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330 octave_idx_type n = chol_mat.rows ();
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331
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332 if (u.length () == n)
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333 {
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334 if (singular (chol_mat))
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335 info = 2;
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336 else
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337 {
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338 info = init (chol_mat.hermitian () * chol_mat
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339 - FloatComplexMatrix (u) * FloatComplexMatrix (u).hermitian (), false);
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340 if (info) info = 1;
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341 }
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342 }
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343 else
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344 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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345
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346 return info;
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347 }
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348
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349 octave_idx_type
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diff changeset
350 FloatComplexCHOL::insert_sym (const FloatComplexColumnVector& u, octave_idx_type j)
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351 {
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352 warn_qrupdate_once ();
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353
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354 octave_idx_type info = -1;
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355
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356 octave_idx_type n = chol_mat.rows ();
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357
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358 if (u.length () != n + 1)
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diff changeset
359 (*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
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360 else if (j < 0 || j > n)
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361 (*current_liboctave_error_handler) ("cholinsert: index out of range");
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362 else
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363 {
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364 if (singular (chol_mat))
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365 info = 2;
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diff changeset
366 else if (u(j).imag () != 0.0)
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367 info = 3;
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368 else
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369 {
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diff changeset
370 FloatComplexMatrix a = chol_mat.hermitian () * chol_mat;
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diff changeset
371 FloatComplexMatrix a1 (n+1, n+1);
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diff changeset
372 for (octave_idx_type k = 0; k < n+1; k++)
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diff changeset
373 for (octave_idx_type l = 0; l < n+1; l++)
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374 {
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375 if (l == j)
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diff changeset
376 a1(k, l) = u(k);
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377 else if (k == j)
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diff changeset
378 a1(k, l) = std::conj (u(l));
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379 else
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380 a1(k, l) = a(k < j ? k : k-1, l < j ? l : l-1);
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381 }
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382 info = init (a1, false);
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383 if (info) info = 1;
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384 }
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diff changeset
385 }
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diff changeset
386
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387 return info;
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388 }
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389
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390 void
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diff changeset
391 FloatComplexCHOL::delete_sym (octave_idx_type j)
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diff changeset
392 {
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393 warn_qrupdate_once ();
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diff changeset
394
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diff changeset
395 octave_idx_type n = chol_mat.rows ();
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diff changeset
396
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diff changeset
397 if (j < 0 || j > n-1)
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diff changeset
398 (*current_liboctave_error_handler) ("choldelete: index out of range");
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diff changeset
399 else
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diff changeset
400 {
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diff changeset
401 FloatComplexMatrix a = chol_mat.hermitian () * chol_mat;
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diff changeset
402 a.delete_elements (1, idx_vector (j));
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diff changeset
403 a.delete_elements (0, idx_vector (j));
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diff changeset
404 init (a, false);
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diff changeset
405 }
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diff changeset
406 }
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diff changeset
407
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diff changeset
408 void
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diff changeset
409 FloatComplexCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
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diff changeset
410 {
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diff changeset
411 warn_qrupdate_once ();
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diff changeset
412
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diff changeset
413 octave_idx_type n = chol_mat.rows ();
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diff changeset
414
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diff changeset
415 if (i < 0 || i > n-1 || j < 0 || j > n-1)
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diff changeset
416 (*current_liboctave_error_handler) ("cholshift: index out of range");
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diff changeset
417 else
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diff changeset
418 {
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diff changeset
419 FloatComplexMatrix a = chol_mat.hermitian () * chol_mat;
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diff changeset
420 Array<octave_idx_type> p (n);
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diff changeset
421 for (octave_idx_type k = 0; k < n; k++) p(k) = k;
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diff changeset
422 if (i < j)
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diff changeset
423 {
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diff changeset
424 for (octave_idx_type k = i; k < j; k++) p(k) = k+1;
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diff changeset
425 p(j) = i;
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diff changeset
426 }
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diff changeset
427 else if (j < i)
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diff changeset
428 {
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diff changeset
429 p(j) = i;
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diff changeset
430 for (octave_idx_type k = j+1; k < i+1; k++) p(k) = k-1;
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diff changeset
431 }
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diff changeset
432
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diff changeset
433 init (a.index (idx_vector (p), idx_vector (p)), false);
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diff changeset
434 }
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diff changeset
435 }
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diff changeset
436
8547
d66c9b6e506a imported patch qrupdate.diff
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parents: 8377
diff changeset
437 #endif
d66c9b6e506a imported patch qrupdate.diff
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diff changeset
438
7789
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
439 FloatComplexMatrix
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
440 chol2inv (const FloatComplexMatrix& r)
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
441 {
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
442 return chol2inv_internal (r);
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
443 }
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
444
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
445 /*
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
446 ;;; Local Variables: ***
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
447 ;;; mode: C++ ***
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
448 ;;; End: ***
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
449 */