octave-lyh: liboctave/dbleCHOL.cc annotate

annotate liboctave/dbleCHOL.cc @ 7875:bff8dbc1be11

mlock: doc fix

author	John W. Eaton <jwe@octave.org>
date	Fri, 06 Jun 2008 11:35:10 -0400
parents	7c9ba697a479
children	25bc2d31e1bf

rev	line source
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	1 /*
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	2
7017 a1dbe9d80eee [project @ 2007-10-12 21:27:11 by jwe] jwe parents: 7016 diff changeset	3 Copyright (C) 1994, 1995, 1996, 1997, 2002, 2003, 2004, 2005, 2007
a1dbe9d80eee [project @ 2007-10-12 21:27:11 by jwe] jwe parents: 7016 diff changeset	4 John W. Eaton
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	5
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	6 This file is part of Octave.
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	7
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	8 Octave is free software; you can redistribute it and/or modify it
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	9 under the terms of the GNU General Public License as published by the
7016 93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 6486 diff changeset	10 Free Software Foundation; either version 3 of the License, or (at your
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 6486 diff changeset	11 option) any later version.
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	12
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	13 Octave is distributed in the hope that it will be useful, but WITHOUT
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	14 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	15 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	16 for more details.
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	17
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	18 You should have received a copy of the GNU General Public License
7016 93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 6486 diff changeset	19 along with Octave; see the file COPYING. If not, see
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 6486 diff changeset	20 <http://www.gnu.org/licenses/>.
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	21
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	22 */
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	23
7554 40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	24 // updating/downdating by Jaroslav Hajek 2008
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	25
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	26 #ifdef HAVE_CONFIG_H
1192 b6360f2d4fa6 [project @ 1995-03-30 21:38:35 by jwe] jwe parents: 1011 diff changeset	27 #include <config.h>
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	28 #endif
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	29
7554 40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	30 #include <vector>
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	31
6486 e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	32 #include "dRowVector.h"
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	33 #include "dbleCHOL.h"
1847 2ffe49eb95a5 [project @ 1996-02-03 12:47:55 by jwe] jwe parents: 1368 diff changeset	34 #include "f77-fcn.h"
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	35 #include "lo-error.h"
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	36
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	37 extern "C"
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	38 {
4552 6f3382e08a52 [project @ 2003-10-27 20:38:02 by jwe] jwe parents: 4192 diff changeset	39 F77_RET_T
5275 23b37da9fd5b [project @ 2005-04-08 16:07:35 by jwe] jwe parents: 5105 diff changeset	40 F77_FUNC (dpotrf, DPOTRF) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
23b37da9fd5b [project @ 2005-04-08 16:07:35 by jwe] jwe parents: 5105 diff changeset	41 double*, const octave_idx_type&, octave_idx_type&
4552 6f3382e08a52 [project @ 2003-10-27 20:38:02 by jwe] jwe parents: 4192 diff changeset	42 F77_CHAR_ARG_LEN_DECL);
5340 15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	43
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	44 F77_RET_T
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	45 F77_FUNC (dpotri, DPOTRI) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	46 double*, const octave_idx_type&, octave_idx_type&
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	47 F77_CHAR_ARG_LEN_DECL);
6486 e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	48
e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	49 F77_RET_T
e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	50 F77_FUNC (dpocon, DPOCON) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	51 double*, const octave_idx_type&, const double&,
e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	52 double&, double, octave_idx_type,
e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	53 octave_idx_type& F77_CHAR_ARG_LEN_DECL);
7554 40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	54 F77_RET_T
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	55 F77_FUNC (dch1up, DCH1UP) (const octave_idx_type&, double, double, double*);
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	56
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	57 F77_RET_T
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	58 F77_FUNC (dch1dn, DCH1DN) (const octave_idx_type&, double, double, double*,
7559 07522d7dcdf8 fixes to QR and Cholesky updating code Jaroslav Hajek <highegg@gmail.com> parents: 7554 diff changeset	59 octave_idx_type&);
7700 efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	60
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	61 F77_RET_T
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	62 F77_FUNC (dqrshc, DQRSHC) (const octave_idx_type&, const octave_idx_type&, const octave_idx_type&,
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	63 double, double, const octave_idx_type&, const octave_idx_type&);
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	64
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	65 F77_RET_T
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	66 F77_FUNC (dchinx, DCHINX) (const octave_idx_type&, const double, double, const octave_idx_type&,
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	67 const double*, octave_idx_type&);
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	68
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	69 F77_RET_T
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	70 F77_FUNC (dchdex, DCHDEX) (const octave_idx_type&, const double, double, const octave_idx_type&);
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	71 }
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	72
5275 23b37da9fd5b [project @ 2005-04-08 16:07:35 by jwe] jwe parents: 5105 diff changeset	73 octave_idx_type
6486 e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	74 CHOL::init (const Matrix& a, bool calc_cond)
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	75 {
5275 23b37da9fd5b [project @ 2005-04-08 16:07:35 by jwe] jwe parents: 5105 diff changeset	76 octave_idx_type a_nr = a.rows ();
23b37da9fd5b [project @ 2005-04-08 16:07:35 by jwe] jwe parents: 5105 diff changeset	77 octave_idx_type a_nc = a.cols ();
1944 8cb4d3008c76 [project @ 1996-02-14 00:45:04 by jwe] jwe parents: 1882 diff changeset	78
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	79 if (a_nr != a_nc)
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	80 {
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	81 (*current_liboctave_error_handler) ("CHOL requires square matrix");
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	82 return -1;
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	83 }
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	84
5275 23b37da9fd5b [project @ 2005-04-08 16:07:35 by jwe] jwe parents: 5105 diff changeset	85 octave_idx_type n = a_nc;
23b37da9fd5b [project @ 2005-04-08 16:07:35 by jwe] jwe parents: 5105 diff changeset	86 octave_idx_type info;
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	87
1944 8cb4d3008c76 [project @ 1996-02-14 00:45:04 by jwe] jwe parents: 1882 diff changeset	88 chol_mat = a;
8cb4d3008c76 [project @ 1996-02-14 00:45:04 by jwe] jwe parents: 1882 diff changeset	89 double *h = chol_mat.fortran_vec ();
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	90
6486 e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	91 // Calculate the norm of the matrix, for later use.
e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	92 double anorm = 0;
e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	93 if (calc_cond)
e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	94 anorm = chol_mat.abs().sum().row(static_cast<octave_idx_type>(0)).max();
e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	95
4552 6f3382e08a52 [project @ 2003-10-27 20:38:02 by jwe] jwe parents: 4192 diff changeset	96 F77_XFCN (dpotrf, DPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1),
6f3382e08a52 [project @ 2003-10-27 20:38:02 by jwe] jwe parents: 4192 diff changeset	97 n, h, n, info
6f3382e08a52 [project @ 2003-10-27 20:38:02 by jwe] jwe parents: 4192 diff changeset	98 F77_CHAR_ARG_LEN (1)));
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	99
7482 29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	100 xrcond = 0.0;
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	101 if (info != 0)
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	102 info = -1;
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	103 else if (calc_cond)
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	104 {
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	105 octave_idx_type dpocon_info = 0;
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	106
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	107 // Now calculate the condition number for non-singular matrix.
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	108 Array<double> z (3*n);
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	109 double *pz = z.fortran_vec ();
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	110 Array<octave_idx_type> iz (n);
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	111 octave_idx_type *piz = iz.fortran_vec ();
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	112 F77_XFCN (dpocon, DPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h,
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	113 n, anorm, xrcond, pz, piz, dpocon_info
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	114 F77_CHAR_ARG_LEN (1)));
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	115
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	116 if (dpocon_info != 0)
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	117 info = -1;
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	118 }
1944 8cb4d3008c76 [project @ 1996-02-14 00:45:04 by jwe] jwe parents: 1882 diff changeset	119 else
8cb4d3008c76 [project @ 1996-02-14 00:45:04 by jwe] jwe parents: 1882 diff changeset	120 {
7482 29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	121 // If someone thinks of a more graceful way of doing this (or
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	122 // faster for that matter :-)), please let me know!
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	123
7482 29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	124 if (n > 1)
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	125 for (octave_idx_type j = 0; j < a_nc; j++)
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	126 for (octave_idx_type i = j+1; i < a_nr; i++)
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	127 chol_mat.xelem (i, j) = 0.0;
1944 8cb4d3008c76 [project @ 1996-02-14 00:45:04 by jwe] jwe parents: 1882 diff changeset	128 }
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	129
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	130 return info;
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	131 }
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	132
5340 15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	133 static Matrix
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	134 chol2inv_internal (const Matrix& r)
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	135 {
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	136 Matrix retval;
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	137
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	138 octave_idx_type r_nr = r.rows ();
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	139 octave_idx_type r_nc = r.cols ();
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	140
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	141 if (r_nr == r_nc)
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	142 {
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	143 octave_idx_type n = r_nc;
6486 e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	144 octave_idx_type info = 0;
5340 15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	145
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	146 Matrix tmp = r;
6486 e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	147 double *v = tmp.fortran_vec();
5340 15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	148
6486 e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	149 if (info == 0)
5340 15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	150 {
6486 e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	151 F77_XFCN (dpotri, DPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n,
e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	152 v, n, info
e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	153 F77_CHAR_ARG_LEN (1)));
5340 15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	154
7482 29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	155 // If someone thinks of a more graceful way of doing this (or
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	156 // faster for that matter :-)), please let me know!
5340 15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	157
7482 29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	158 if (n > 1)
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	159 for (octave_idx_type j = 0; j < r_nc; j++)
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	160 for (octave_idx_type i = j+1; i < r_nr; i++)
29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	161 tmp.xelem (i, j) = tmp.xelem (j, i);
6486 e978a9233cf6 [project @ 2007-04-04 15:16:46 by jwe] jwe parents: 5340 diff changeset	162
7482 29980c6b8604 don't check f77_exception_encountered John W. Eaton <jwe@octave.org> parents: 7017 diff changeset	163 retval = tmp;
5340 15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	164 }
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	165 }
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	166 else
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	167 (*current_liboctave_error_handler) ("chol2inv requires square matrix");
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	168
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	169 return retval;
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	170 }
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	171
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	172 // Compute the inverse of a matrix using the Cholesky factorization.
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	173 Matrix
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	174 CHOL::inverse (void) const
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	175 {
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	176 return chol2inv_internal (chol_mat);
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	177 }
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	178
7554 40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	179 void
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	180 CHOL::set (const Matrix& R)
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	181 {
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	182 if (R.is_square ())
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	183 chol_mat = R;
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	184 else
7559 07522d7dcdf8 fixes to QR and Cholesky updating code Jaroslav Hajek <highegg@gmail.com> parents: 7554 diff changeset	185 (*current_liboctave_error_handler) ("CHOL requires square matrix");
7554 40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	186 }
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	187
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	188 void
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	189 CHOL::update (const Matrix& u)
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	190 {
7559 07522d7dcdf8 fixes to QR and Cholesky updating code Jaroslav Hajek <highegg@gmail.com> parents: 7554 diff changeset	191 octave_idx_type n = chol_mat.rows ();
7554 40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	192
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	193 if (u.length () == n)
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	194 {
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	195 Matrix tmp = u;
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	196
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	197 OCTAVE_LOCAL_BUFFER (double, w, n);
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	198
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	199 F77_XFCN (dch1up, DCH1UP, (n, chol_mat.fortran_vec (),
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	200 tmp.fortran_vec (), w));
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	201 }
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	202 else
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	203 (*current_liboctave_error_handler) ("CHOL update dimension mismatch");
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	204 }
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	205
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	206 octave_idx_type
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	207 CHOL::downdate (const Matrix& u)
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	208 {
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	209 octave_idx_type info = -1;
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	210
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	211 octave_idx_type n = chol_mat.rows ();
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	212
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	213 if (u.length () == n)
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	214 {
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	215 Matrix tmp = u;
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	216
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	217 OCTAVE_LOCAL_BUFFER (double, w, n);
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	218
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	219 F77_XFCN (dch1dn, DCH1DN, (n, chol_mat.fortran_vec (),
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	220 tmp.fortran_vec (), w, info));
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	221 }
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	222 else
7559 07522d7dcdf8 fixes to QR and Cholesky updating code Jaroslav Hajek <highegg@gmail.com> parents: 7554 diff changeset	223 (*current_liboctave_error_handler) ("CHOL downdate dimension mismatch");
7554 40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	224
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	225 return info;
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	226 }
40574114c514 implement Cholesky factorization updating Jaroslav Hajek <highegg@gmail.com> parents: 7482 diff changeset	227
7700 efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	228 octave_idx_type
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	229 CHOL::insert_sym (const Matrix& u, octave_idx_type j)
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	230 {
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	231 octave_idx_type info = -1;
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	232
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	233 octave_idx_type n = chol_mat.rows ();
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	234
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	235 if (u.length () != n+1)
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	236 (*current_liboctave_error_handler) ("CHOL insert dimension mismatch");
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	237 else if (j < 0 \|\| j > n)
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	238 (*current_liboctave_error_handler) ("CHOL insert index out of range");
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	239 else
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	240 {
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	241 Matrix chol_mat1 (n+1, n+1);
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	242
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	243 F77_XFCN (dchinx, DCHINX, (n, chol_mat.data (), chol_mat1.fortran_vec (),
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	244 j+1, u.data (), info));
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	245
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	246 chol_mat = chol_mat1;
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	247 }
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	248
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	249 return info;
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	250 }
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	251
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	252 void
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	253 CHOL::delete_sym (octave_idx_type j)
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	254 {
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	255 octave_idx_type n = chol_mat.rows ();
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	256
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	257 if (j < 0 \|\| j > n-1)
7725 7c9ba697a479 cosmetic fixes in QR & Cholesky updating codes Jaroslav Hajek <highegg@gmail.com> parents: 7700 diff changeset	258 (*current_liboctave_error_handler) ("CHOL delete index out of range");
7700 efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	259 else
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	260 {
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	261 Matrix chol_mat1 (n-1, n-1);
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	262
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	263 F77_XFCN (dchdex, DCHDEX, (n, chol_mat.data (), chol_mat1.fortran_vec (), j+1));
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	264
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	265 chol_mat = chol_mat1;
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	266 }
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	267 }
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	268
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	269 void
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	270 CHOL::shift_sym (octave_idx_type i, octave_idx_type j)
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	271 {
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	272 octave_idx_type n = chol_mat.rows ();
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	273 double dummy;
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	274
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	275 if (i < 0 \|\| i > n-1 \|\| j < 0 \|\| j > n-1)
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	276 (*current_liboctave_error_handler) ("CHOL shift index out of range");
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	277 else
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	278 F77_XFCN (dqrshc, DQRSHC, (0, n, n, &dummy, chol_mat.fortran_vec (), i+1, j+1));
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	279 }
efccca5f2ad7 more QR & Cholesky updating functions Jaroslav Hajek <highegg@gmail.com> parents: 7559 diff changeset	280
5340 15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	281 Matrix
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	282 chol2inv (const Matrix& r)
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	283 {
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	284 return chol2inv_internal (r);
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	285 }
15843d76156d [project @ 2005-05-06 16:26:58 by jwe] jwe parents: 5307 diff changeset	286
457 3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	287 /*
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	288 ;;; Local Variables: ***
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	289 ;;; mode: C++ ***
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	290 ;;; End: ***
3d4b4f0fa5ba [project @ 1994-06-06 00:33:33 by jwe] jwe parents: diff changeset	291 */

Mercurial > hg > octave-lyh

annotate liboctave/dbleCHOL.cc @ 7875:bff8dbc1be11