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annotate liboctave/numeric/floatCHOL.cc @ 17425:9289bb0ff4dd

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io.tst: fix for-loop upper bound after change 3856298f1ff8
author Andreas Weber <andy.weber.aw@gmail.com>
date Sat, 14 Sep 2013 11:19:25 +0200
parents 648dabbb4c6b
children
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1 /*
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2
14138
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3 Copyright (C) 1994-2012 John W. Eaton
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4 Copyright (C) 2008-2009 Jaroslav Hajek
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5
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6 This file is part of Octave.
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7
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8 Octave is free software; you can redistribute it and/or modify it
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9 under the terms of the GNU General Public License as published by the
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10 Free Software Foundation; either version 3 of the License, or (at your
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11 option) any later version.
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12
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13 Octave is distributed in the hope that it will be useful, but WITHOUT
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14 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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15 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
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16 for more details.
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17
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18 You should have received a copy of the GNU General Public License
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19 along with Octave; see the file COPYING. If not, see
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20 <http://www.gnu.org/licenses/>.
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21
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22 */
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23
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24 #ifdef HAVE_CONFIG_H
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25 #include <config.h>
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26 #endif
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27
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28 #include <vector>
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29
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30 #include "fRowVector.h"
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31 #include "floatCHOL.h"
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32 #include "f77-fcn.h"
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33 #include "lo-error.h"
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34 #include "oct-locbuf.h"
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35 #include "oct-norm.h"
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36 #ifndef HAVE_QRUPDATE
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37 #include "dbleQR.h"
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38 #endif
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39
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40 extern "C"
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41 {
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42 F77_RET_T
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43 F77_FUNC (spotrf, SPOTRF) (F77_CONST_CHAR_ARG_DECL,
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44 const octave_idx_type&, float*,
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45 const octave_idx_type&, octave_idx_type&
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46 F77_CHAR_ARG_LEN_DECL);
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47
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48 F77_RET_T
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49 F77_FUNC (spotri, SPOTRI) (F77_CONST_CHAR_ARG_DECL,
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50 const octave_idx_type&, float*,
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51 const octave_idx_type&, octave_idx_type&
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52 F77_CHAR_ARG_LEN_DECL);
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53
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54 F77_RET_T
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55 F77_FUNC (spocon, SPOCON) (F77_CONST_CHAR_ARG_DECL,
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56 const octave_idx_type&, float*,
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57 const octave_idx_type&, const float&,
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58 float&, float*, octave_idx_type*,
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59 octave_idx_type&
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60 F77_CHAR_ARG_LEN_DECL);
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61 #ifdef HAVE_QRUPDATE
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62
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63 F77_RET_T
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64 F77_FUNC (sch1up, SCH1UP) (const octave_idx_type&, float*,
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65 const octave_idx_type&, float*, float*);
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66
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67 F77_RET_T
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68 F77_FUNC (sch1dn, SCH1DN) (const octave_idx_type&, float*,
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69 const octave_idx_type&, float*, 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 (schinx, SCHINX) (const octave_idx_type&, float*,
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74 const octave_idx_type&, const octave_idx_type&,
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75 float*, float*, octave_idx_type&);
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76
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77 F77_RET_T
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78 F77_FUNC (schdex, SCHDEX) (const octave_idx_type&, float*,
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79 const octave_idx_type&, const octave_idx_type&,
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80 float*);
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81
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82 F77_RET_T
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83 F77_FUNC (schshx, SCHSHX) (const octave_idx_type&, float*,
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84 const octave_idx_type&, const octave_idx_type&,
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85 const octave_idx_type&, float*);
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86 #endif
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87 }
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88
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89 octave_idx_type
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90 FloatCHOL::init (const FloatMatrix& a, bool calc_cond)
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91 {
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92 octave_idx_type a_nr = a.rows ();
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93 octave_idx_type a_nc = a.cols ();
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94
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95 if (a_nr != a_nc)
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96 {
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97 (*current_liboctave_error_handler) ("FloatCHOL requires square matrix");
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98 return -1;
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99 }
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100
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101 octave_idx_type n = a_nc;
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102 octave_idx_type info;
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103
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104 chol_mat.clear (n, n);
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105 for (octave_idx_type j = 0; j < n; j++)
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106 {
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107 for (octave_idx_type i = 0; i <= j; i++)
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108 chol_mat.xelem (i, j) = a(i, j);
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109 for (octave_idx_type i = j+1; i < n; i++)
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110 chol_mat.xelem (i, j) = 0.0f;
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111 }
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112 float *h = chol_mat.fortran_vec ();
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113
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114 // Calculate the norm of the matrix, for later use.
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115 float anorm = 0;
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116 if (calc_cond)
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117 anorm = xnorm (a, 1);
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118
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119 F77_XFCN (spotrf, SPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1),
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120 n, h, n, info
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121 F77_CHAR_ARG_LEN (1)));
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122
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123 xrcond = 0.0;
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124 if (info > 0)
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125 chol_mat.resize (info - 1, info - 1);
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126 else if (calc_cond)
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127 {
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128 octave_idx_type spocon_info = 0;
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129
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130 // Now calculate the condition number for non-singular matrix.
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131 Array<float> z (dim_vector (3*n, 1));
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132 float *pz = z.fortran_vec ();
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133 Array<octave_idx_type> iz (dim_vector (n, 1));
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134 octave_idx_type *piz = iz.fortran_vec ();
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135 F77_XFCN (spocon, SPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h,
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136 n, anorm, xrcond, pz, piz, spocon_info
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137 F77_CHAR_ARG_LEN (1)));
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138
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139 if (spocon_info != 0)
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140 info = -1;
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141 }
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142
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143 return info;
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144 }
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145
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146 static FloatMatrix
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147 chol2inv_internal (const FloatMatrix& r)
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148 {
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149 FloatMatrix retval;
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150
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151 octave_idx_type r_nr = r.rows ();
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152 octave_idx_type r_nc = r.cols ();
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153
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154 if (r_nr == r_nc)
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155 {
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156 octave_idx_type n = r_nc;
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157 octave_idx_type info = 0;
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158
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159 FloatMatrix tmp = r;
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160 float *v = tmp.fortran_vec ();
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161
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162 if (info == 0)
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163 {
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164 F77_XFCN (spotri, SPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n,
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165 v, n, info
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166 F77_CHAR_ARG_LEN (1)));
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167
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168 // If someone thinks of a more graceful way of doing this (or
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169 // faster for that matter :-)), please let me know!
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170
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171 if (n > 1)
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172 for (octave_idx_type j = 0; j < r_nc; j++)
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173 for (octave_idx_type i = j+1; i < r_nr; i++)
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174 tmp.xelem (i, j) = tmp.xelem (j, i);
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175
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176 retval = tmp;
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177 }
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178 }
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179 else
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180 (*current_liboctave_error_handler) ("chol2inv requires square matrix");
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181
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182 return retval;
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183 }
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184
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185 // Compute the inverse of a matrix using the Cholesky factorization.
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186 FloatMatrix
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187 FloatCHOL::inverse (void) const
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188 {
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189 return chol2inv_internal (chol_mat);
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190 }
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191
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192 void
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193 FloatCHOL::set (const FloatMatrix& R)
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194 {
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195 if (R.is_square ())
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196 chol_mat = R;
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197 else
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198 (*current_liboctave_error_handler) ("FloatCHOL requires square matrix");
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199 }
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200
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201 #ifdef HAVE_QRUPDATE
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202
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203 void
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204 FloatCHOL::update (const FloatColumnVector& u)
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205 {
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206 octave_idx_type n = chol_mat.rows ();
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207
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208 if (u.length () == n)
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209 {
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210 FloatColumnVector utmp = u;
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211
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212 OCTAVE_LOCAL_BUFFER (float, w, n);
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213
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214 F77_XFCN (sch1up, SCH1UP, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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215 utmp.fortran_vec (), w));
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216 }
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217 else
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218 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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219 }
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220
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221 octave_idx_type
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222 FloatCHOL::downdate (const FloatColumnVector& u)
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223 {
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224 octave_idx_type info = -1;
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225
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226 octave_idx_type n = chol_mat.rows ();
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227
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228 if (u.length () == n)
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229 {
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230 FloatColumnVector utmp = u;
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231
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232 OCTAVE_LOCAL_BUFFER (float, w, n);
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233
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234 F77_XFCN (sch1dn, SCH1DN, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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235 utmp.fortran_vec (), w, info));
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236 }
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237 else
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238 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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239
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240 return info;
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241 }
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242
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243 octave_idx_type
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244 FloatCHOL::insert_sym (const FloatColumnVector& u, octave_idx_type j)
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245 {
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246 octave_idx_type info = -1;
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247
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248 octave_idx_type n = chol_mat.rows ();
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249
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250 if (u.length () != n + 1)
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251 (*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
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252 else if (j < 0 || j > n)
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253 (*current_liboctave_error_handler) ("cholinsert: index out of range");
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254 else
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255 {
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256 FloatColumnVector utmp = u;
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257
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258 OCTAVE_LOCAL_BUFFER (float, w, n);
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259
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260 chol_mat.resize (n+1, n+1);
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261
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262 F77_XFCN (schinx, SCHINX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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263 j + 1, utmp.fortran_vec (), w, info));
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264 }
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265
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266 return info;
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267 }
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268
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269 void
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270 FloatCHOL::delete_sym (octave_idx_type j)
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271 {
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272 octave_idx_type n = chol_mat.rows ();
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273
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274 if (j < 0 || j > n-1)
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275 (*current_liboctave_error_handler) ("choldelete: index out of range");
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276 else
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277 {
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278 OCTAVE_LOCAL_BUFFER (float, w, n);
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279
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280 F77_XFCN (schdex, SCHDEX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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281 j + 1, w));
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282
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283 chol_mat.resize (n-1, n-1);
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284 }
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285 }
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286
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287 void
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288 FloatCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
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289 {
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290 octave_idx_type n = chol_mat.rows ();
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291
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292 if (i < 0 || i > n-1 || j < 0 || j > n-1)
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293 (*current_liboctave_error_handler) ("cholshift: index out of range");
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294 else
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295 {
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296 OCTAVE_LOCAL_BUFFER (float, w, 2*n);
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297
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298 F77_XFCN (schshx, SCHSHX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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299 i + 1, j + 1, w));
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300 }
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301 }
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302
8562
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303 #else
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304
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305 void
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306 FloatCHOL::update (const FloatColumnVector& u)
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307 {
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308 warn_qrupdate_once ();
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309
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310 octave_idx_type n = chol_mat.rows ();
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diff changeset
311
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diff changeset
312 if (u.length () == n)
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diff changeset
313 {
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diff changeset
314 init (chol_mat.transpose () * chol_mat
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diff changeset
315 + FloatMatrix (u) * FloatMatrix (u).transpose (), false);
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316 }
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317 else
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diff changeset
318 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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319 }
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320
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diff changeset
321 static bool
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diff changeset
322 singular (const FloatMatrix& a)
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diff changeset
323 {
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diff changeset
324 for (octave_idx_type i = 0; i < a.rows (); i++)
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diff changeset
325 if (a(i,i) == 0.0f) return true;
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diff changeset
326 return false;
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diff changeset
327 }
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diff changeset
328
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diff changeset
329 octave_idx_type
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diff changeset
330 FloatCHOL::downdate (const FloatColumnVector& u)
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diff changeset
331 {
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diff changeset
332 warn_qrupdate_once ();
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diff changeset
333
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diff changeset
334 octave_idx_type info = -1;
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parents: 8547
diff changeset
335
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diff changeset
336 octave_idx_type n = chol_mat.rows ();
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diff changeset
337
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diff changeset
338 if (u.length () == n)
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diff changeset
339 {
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diff changeset
340 if (singular (chol_mat))
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diff changeset
341 info = 2;
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diff changeset
342 else
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diff changeset
343 {
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diff changeset
344 info = init (chol_mat.transpose () * chol_mat
8562
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diff changeset
345 - FloatMatrix (u) * FloatMatrix (u).transpose (), false);
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diff changeset
346 if (info) info = 1;
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diff changeset
347 }
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diff changeset
348 }
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diff changeset
349 else
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diff changeset
350 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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diff changeset
351
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diff changeset
352 return info;
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diff changeset
353 }
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diff changeset
354
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diff changeset
355 octave_idx_type
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parents: 8547
diff changeset
356 FloatCHOL::insert_sym (const FloatColumnVector& u, octave_idx_type j)
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diff changeset
357 {
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diff changeset
358 warn_qrupdate_once ();
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diff changeset
359
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diff changeset
360 octave_idx_type info = -1;
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diff changeset
361
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diff changeset
362 octave_idx_type n = chol_mat.rows ();
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diff changeset
363
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parents: 8547
diff changeset
364 if (u.length () != n + 1)
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parents: 8547
diff changeset
365 (*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
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diff changeset
366 else if (j < 0 || j > n)
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diff changeset
367 (*current_liboctave_error_handler) ("cholinsert: index out of range");
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parents: 8547
diff changeset
368 else
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diff changeset
369 {
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diff changeset
370 if (singular (chol_mat))
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diff changeset
371 info = 2;
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diff changeset
372 else
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diff changeset
373 {
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diff changeset
374 FloatMatrix a = chol_mat.transpose () * chol_mat;
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parents: 8547
diff changeset
375 FloatMatrix a1 (n+1, n+1);
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parents: 8547
diff changeset
376 for (octave_idx_type k = 0; k < n+1; k++)
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parents: 8547
diff changeset
377 for (octave_idx_type l = 0; l < n+1; l++)
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diff changeset
378 {
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diff changeset
379 if (l == j)
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diff changeset
380 a1(k, l) = u(k);
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diff changeset
381 else if (k == j)
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diff changeset
382 a1(k, l) = u(l);
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diff changeset
383 else
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diff changeset
384 a1(k, l) = a(k < j ? k : k-1, l < j ? l : l-1);
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diff changeset
385 }
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diff changeset
386 info = init (a1, false);
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diff changeset
387 if (info) info = 1;
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parents: 8547
diff changeset
388 }
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parents: 8547
diff changeset
389 }
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parents: 8547
diff changeset
390
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parents: 8547
diff changeset
391 return info;
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parents: 8547
diff changeset
392 }
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parents: 8547
diff changeset
393
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parents: 8547
diff changeset
394 void
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parents: 8547
diff changeset
395 FloatCHOL::delete_sym (octave_idx_type j)
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parents: 8547
diff changeset
396 {
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parents: 8547
diff changeset
397 warn_qrupdate_once ();
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parents: 8547
diff changeset
398
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parents: 8547
diff changeset
399 octave_idx_type n = chol_mat.rows ();
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parents: 8547
diff changeset
400
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parents: 8547
diff changeset
401 if (j < 0 || j > n-1)
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Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
402 (*current_liboctave_error_handler) ("choldelete: index out of range");
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parents: 8547
diff changeset
403 else
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parents: 8547
diff changeset
404 {
a6edd5c23cb5 use replacement methods if qrupdate is not available
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parents: 8547
diff changeset
405 FloatMatrix a = chol_mat.transpose () * chol_mat;
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parents: 8547
diff changeset
406 a.delete_elements (1, idx_vector (j));
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Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
407 a.delete_elements (0, idx_vector (j));
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parents: 8547
diff changeset
408 init (a, false);
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Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
409 }
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
410 }
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
411
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
412 void
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
413 FloatCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
414 {
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
415 warn_qrupdate_once ();
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
416
a6edd5c23cb5 use replacement methods if qrupdate is not available
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parents: 8547
diff changeset
417 octave_idx_type n = chol_mat.rows ();
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
418
11586
12df7854fa7c strip trailing whitespace from source files
John W. Eaton <jwe@octave.org>
parents: 11570
diff changeset
419 if (i < 0 || i > n-1 || j < 0 || j > n-1)
8562
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
420 (*current_liboctave_error_handler) ("cholshift: index out of range");
a6edd5c23cb5 use replacement methods if qrupdate is not available
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parents: 8547
diff changeset
421 else
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Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
422 {
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Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
423 FloatMatrix a = chol_mat.transpose () * chol_mat;
11570
57632dea2446 attempt better backward compatibility for Array constructors
John W. Eaton <jwe@octave.org>
parents: 11523
diff changeset
424 Array<octave_idx_type> p (dim_vector (n, 1));
8562
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
425 for (octave_idx_type k = 0; k < n; k++) p(k) = k;
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
426 if (i < j)
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
427 {
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
428 for (octave_idx_type k = i; k < j; k++) p(k) = k+1;
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
429 p(j) = i;
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parents: 8547
diff changeset
430 }
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parents: 8547
diff changeset
431 else if (j < i)
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
432 {
a6edd5c23cb5 use replacement methods if qrupdate is not available
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parents: 8547
diff changeset
433 p(j) = i;
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
434 for (octave_idx_type k = j+1; k < i+1; k++) p(k) = k-1;
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
435 }
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
436
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
437 init (a.index (idx_vector (p), idx_vector (p)), false);
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
438 }
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
439 }
a6edd5c23cb5 use replacement methods if qrupdate is not available
Jaroslav Hajek <highegg@gmail.com>
parents: 8547
diff changeset
440
8547
d66c9b6e506a imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents: 8377
diff changeset
441 #endif
d66c9b6e506a imported patch qrupdate.diff
Jaroslav Hajek <highegg@gmail.com>
parents: 8377
diff changeset
442
7789
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
443 FloatMatrix
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
444 chol2inv (const FloatMatrix& r)
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 return chol2inv_internal (r);
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
447 }