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annotate scripts/linear-algebra/logm.m @ 17521:c3a3532e3d98

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linsolve.m: Add new function for Matlab compatibility. * scripts/linear-algebra/linsolve.m: New function. * scripts/linear-algebra/module.mk: Add linsolve.m to build system. * NEWS: Announce new function.
author Nir Krakauer < nkrakauer@ccny.cuny.edu>
date Thu, 26 Sep 2013 08:30:26 -0700
parents e2de3c8882be
children
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rev   line source
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1 ## Copyright (C) 2008-2012 N. J. Higham
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2 ## Copyright (C) 2010 Richard T. Guy
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3 ## Copyright (C) 2010 Marco Caliari
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4 ##
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5 ## This file is part of Octave.
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6 ##
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7 ## Octave is free software; you can redistribute it and/or modify it
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8 ## under the terms of the GNU General Public License as published by
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9 ## the Free Software Foundation; either version 3 of the License, or (at
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10 ## your option) any later version.
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11 ##
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12 ## Octave is distributed in the hope that it will be useful, but
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13 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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14 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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15 ## General Public License for more details.
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16 ##
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17 ## You should have received a copy of the GNU General Public License
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18 ## along with Octave; see the file COPYING. If not, see
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19 ## <http://www.gnu.org/licenses/>.
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20
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21 ## -*- texinfo -*-
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22 ## @deftypefn {Function File} {@var{s} =} logm (@var{A})
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23 ## @deftypefnx {Function File} {@var{s} =} logm (@var{A}, @var{opt_iters})
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24 ## @deftypefnx {Function File} {[@var{s}, @var{iters}] =} logm (@dots{})
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25 ## Compute the matrix logarithm of the square matrix @var{A}. The
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26 ## implementation utilizes a Pad@'e approximant and the identity
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27 ##
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28 ## @example
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29 ## logm (@var{A}) = 2^k * logm (@var{A}^(1 / 2^k))
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30 ## @end example
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31 ##
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32 ## The optional argument @var{opt_iters} is the maximum number of square roots
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33 ## to compute and defaults to 100. The optional output @var{iters} is the
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34 ## number of square roots actually computed.
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35 ## @seealso{expm, sqrtm}
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36 ## @end deftypefn
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37
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38 ## Reference: N. J. Higham, Functions of Matrices: Theory and Computation
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39 ## (SIAM, 2008.)
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40 ##
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41
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42 ## Author: N. J. Higham
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43 ## Author: Richard T. Guy <guyrt7@wfu.edu>
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44 ## Author: Marco Caliari <marco.caliari@univr.it>
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45
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46 function [s, iters] = logm (A, opt_iters = 100)
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47
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48 if (nargin == 0 || nargin > 2)
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49 print_usage ();
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50 endif
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51
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52 if (! issquare (A))
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53 error ("logm: A must be a square matrix");
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54 endif
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55
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56 if (isscalar (A))
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57 s = log (A);
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58 return;
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59 elseif (strfind (typeinfo (A), "diagonal matrix"))
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60 s = diag (log (diag (A)));
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61 return;
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62 endif
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63
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64 [u, s] = schur (A);
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65
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66 if (isreal (A))
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67 [u, s] = rsf2csf (u, s);
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68 endif
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69
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70 eigv = diag (s);
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71 if (any (eigv < 0))
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72 warning ("Octave:logm:non-principal",
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73 "logm: principal matrix logarithm is not defined for matrices with negative eigenvalues; computing non-principal logarithm");
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74 endif
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75
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76 real_eig = all (eigv >= 0);
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77
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78 k = 0;
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79 ## Algorithm 11.9 in "Function of matrices", by N. Higham
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80 theta = [0, 0, 1.61e-2, 5.38e-2, 1.13e-1, 1.86e-1, 2.6429608311114350e-1];
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81 p = 0;
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82 m = 7;
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83 while (k < opt_iters)
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84 tau = norm (s - eye (size (s)),1);
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85 if (tau <= theta (7))
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86 p = p + 1;
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87 j(1) = find (tau <= theta, 1);
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88 j(2) = find (tau / 2 <= theta, 1);
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89 if (j(1) - j(2) <= 1 || p == 2)
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90 m = j(1);
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91 break
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92 endif
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93 endif
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94 k = k + 1;
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95 s = sqrtm (s);
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96 endwhile
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97
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98 if (k >= opt_iters)
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99 warning ("logm: maximum number of square roots exceeded; results may still be accurate");
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100 endif
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101
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102 s = s - eye (size (s));
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103
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104 if (m > 1)
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105 s = logm_pade_pf (s, m);
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106 endif
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107
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108 s = 2^k * u * s * u';
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109
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110 ## Remove small complex values (O(eps)) which may have entered calculation
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111 if (real_eig && isreal (A))
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112 s = real (s);
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113 endif
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114
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115 if (nargout == 2)
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116 iters = k;
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117 endif
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118
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119 endfunction
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120
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121 ################## ANCILLARY FUNCTIONS ################################
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122 ###### Taken from the mfttoolbox (GPL 3) by D. Higham.
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123 ###### Reference:
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124 ###### D. Higham, Functions of Matrices: Theory and Computation
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125 ###### (SIAM, 2008.).
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126 #######################################################################
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127
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128 ##LOGM_PADE_PF Evaluate Pade approximant to matrix log by partial fractions.
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129 ## Y = LOGM_PADE_PF(A,M) evaluates the [M/M] Pade approximation to
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130 ## LOG(EYE(SIZE(A))+A) using a partial fraction expansion.
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131
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132 function s = logm_pade_pf (A, m)
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133 [nodes, wts] = gauss_legendre (m);
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134 ## Convert from [-1,1] to [0,1].
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135 nodes = (nodes+1)/2;
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136 wts = wts/2;
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137
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138 n = length (A);
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139 s = zeros (n);
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140 for j = 1:m
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141 s += wts(j)*(A/(eye (n) + nodes(j)*A));
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142 endfor
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143 endfunction
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144
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145 ######################################################################
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146 ## GAUSS_LEGENDRE Nodes and weights for Gauss-Legendre quadrature.
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147 ## [X,W] = GAUSS_LEGENDRE(N) computes the nodes X and weights W
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148 ## for N-point Gauss-Legendre quadrature.
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149
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150 ## Reference:
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151 ## G. H. Golub and J. H. Welsch, Calculation of Gauss quadrature
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152 ## rules, Math. Comp., 23(106):221-230, 1969.
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153
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154 function [x, w] = gauss_legendre (n)
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155 i = 1:n-1;
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156 v = i./sqrt ((2*i).^2-1);
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157 [V, D] = eig (diag (v, -1) + diag (v, 1));
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158 x = diag (D);
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159 w = 2*(V(1,:)'.^2);
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160 endfunction
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161
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162
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163 %!assert (norm (logm ([1 -1;0 1]) - [0 -1; 0 0]) < 1e-5)
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164 %!assert (norm (expm (logm ([-1 2 ; 4 -1])) - [-1 2 ; 4 -1]) < 1e-5)
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165 %!assert (logm ([1 -1 -1;0 1 -1; 0 0 1]), [0 -1 -1.5; 0 0 -1; 0 0 0], 1e-5)
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166 %!assert (logm (10), log (10))
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167 %!assert (full (logm (eye (3))), logm (full (eye (3))))
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168 %!assert (full (logm (10*eye (3))), logm (full (10*eye (3))), 8*eps)
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169 %!assert (logm (expm ([0 1i; -1i 0])), [0 1i; -1i 0], 10 * eps)
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170
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171 %% Test input validation
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172 %!error logm ()
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173 %!error logm (1, 2, 3)
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174 %!error <logm: A must be a square matrix> logm ([1 0;0 1; 2 2])
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175