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annotate liboctave/floatCHOL.cc @ 12107:1fc9fd052f0c release-3-2-x

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fix typo in expm
author Jaroslav Hajek <highegg@gmail.com>
date Wed, 25 Nov 2009 12:05:03 +0100
parents a6edd5c23cb5
children c0aeedd8fb86
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1 /*
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2
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3 Copyright (C) 1994, 1995, 1996, 1997, 2002, 2003, 2004, 2005, 2007
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4 John W. Eaton
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5 Copyright (C) 2008, 2009 Jaroslav Hajek
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6
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7 This file is part of Octave.
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8
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9 Octave is free software; you can redistribute it and/or modify it
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10 under the terms of the GNU General Public License as published by the
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11 Free Software Foundation; either version 3 of the License, or (at your
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12 option) any later version.
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13
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14 Octave is distributed in the hope that it will be useful, but WITHOUT
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15 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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16 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License
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17 for more details.
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18
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19 You should have received a copy of the GNU General Public License
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20 along with Octave; see the file COPYING. If not, see
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21 <http://www.gnu.org/licenses/>.
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22
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23 */
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24
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25 #ifdef HAVE_CONFIG_H
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26 #include <config.h>
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27 #endif
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28
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29 #include <vector>
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30
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31 #include "fRowVector.h"
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32 #include "floatCHOL.h"
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33 #include "f77-fcn.h"
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34 #include "lo-error.h"
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35 #include "oct-locbuf.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, const octave_idx_type&,
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44 float*, const octave_idx_type&, octave_idx_type&
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45 F77_CHAR_ARG_LEN_DECL);
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46
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47 F77_RET_T
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48 F77_FUNC (spotri, SPOTRI) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
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49 float*, const octave_idx_type&, octave_idx_type&
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50 F77_CHAR_ARG_LEN_DECL);
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51
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52 F77_RET_T
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53 F77_FUNC (spocon, SPOCON) (F77_CONST_CHAR_ARG_DECL, const octave_idx_type&,
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54 float*, const octave_idx_type&, const float&,
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55 float&, float*, octave_idx_type*,
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56 octave_idx_type& F77_CHAR_ARG_LEN_DECL);
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57 #ifdef HAVE_QRUPDATE
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58
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59 F77_RET_T
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60 F77_FUNC (sch1up, SCH1UP) (const octave_idx_type&, float*, const octave_idx_type&,
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61 float*, float*);
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62
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63 F77_RET_T
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64 F77_FUNC (sch1dn, SCH1DN) (const octave_idx_type&, float*, const octave_idx_type&,
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65 float*, float*, octave_idx_type&);
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66
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67 F77_RET_T
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68 F77_FUNC (schinx, SCHINX) (const octave_idx_type&, float*, const octave_idx_type&,
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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 (schdex, SCHDEX) (const octave_idx_type&, float*, const octave_idx_type&,
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74 const octave_idx_type&, float*);
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75
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76 F77_RET_T
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77 F77_FUNC (schshx, SCHSHX) (const octave_idx_type&, float*, const octave_idx_type&,
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78 const octave_idx_type&, const octave_idx_type&,
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79 float*);
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80 #endif
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81 }
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82
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83 octave_idx_type
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84 FloatCHOL::init (const FloatMatrix& a, bool calc_cond)
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85 {
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86 octave_idx_type a_nr = a.rows ();
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87 octave_idx_type a_nc = a.cols ();
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88
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89 if (a_nr != a_nc)
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90 {
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91 (*current_liboctave_error_handler) ("FloatCHOL requires square matrix");
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92 return -1;
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93 }
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94
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95 octave_idx_type n = a_nc;
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96 octave_idx_type info;
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97
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98 chol_mat = a;
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99 float *h = chol_mat.fortran_vec ();
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100
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101 // Calculate the norm of the matrix, for later use.
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102 float anorm = 0;
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103 if (calc_cond)
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104 anorm = chol_mat.abs().sum().row(static_cast<octave_idx_type>(0)).max();
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105
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106 F77_XFCN (spotrf, SPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1),
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107 n, h, n, info
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108 F77_CHAR_ARG_LEN (1)));
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109
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110 xrcond = 0.0;
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111 if (info != 0)
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112 info = -1;
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113 else if (calc_cond)
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114 {
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115 octave_idx_type spocon_info = 0;
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116
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117 // Now calculate the condition number for non-singular matrix.
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118 Array<float> z (3*n);
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119 float *pz = z.fortran_vec ();
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120 Array<octave_idx_type> iz (n);
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121 octave_idx_type *piz = iz.fortran_vec ();
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122 F77_XFCN (spocon, SPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h,
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123 n, anorm, xrcond, pz, piz, spocon_info
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124 F77_CHAR_ARG_LEN (1)));
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125
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126 if (spocon_info != 0)
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127 info = -1;
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128 }
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129 else
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130 {
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131 // If someone thinks of a more graceful way of doing this (or
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132 // faster for that matter :-)), please let me know!
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133
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134 if (n > 1)
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135 for (octave_idx_type j = 0; j < a_nc; j++)
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136 for (octave_idx_type i = j+1; i < a_nr; i++)
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137 chol_mat.xelem (i, j) = 0.0;
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138 }
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139
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140 return info;
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141 }
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142
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143 static FloatMatrix
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144 chol2inv_internal (const FloatMatrix& r)
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145 {
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146 FloatMatrix retval;
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147
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148 octave_idx_type r_nr = r.rows ();
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149 octave_idx_type r_nc = r.cols ();
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150
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151 if (r_nr == r_nc)
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152 {
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153 octave_idx_type n = r_nc;
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154 octave_idx_type info = 0;
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155
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156 FloatMatrix tmp = r;
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157 float *v = tmp.fortran_vec();
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158
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159 if (info == 0)
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160 {
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161 F77_XFCN (spotri, SPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n,
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162 v, n, info
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163 F77_CHAR_ARG_LEN (1)));
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164
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165 // If someone thinks of a more graceful way of doing this (or
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166 // faster for that matter :-)), please let me know!
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167
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168 if (n > 1)
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169 for (octave_idx_type j = 0; j < r_nc; j++)
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170 for (octave_idx_type i = j+1; i < r_nr; i++)
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171 tmp.xelem (i, j) = tmp.xelem (j, i);
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172
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173 retval = tmp;
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174 }
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175 }
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176 else
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177 (*current_liboctave_error_handler) ("chol2inv requires square matrix");
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178
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179 return retval;
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180 }
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181
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182 // Compute the inverse of a matrix using the Cholesky factorization.
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183 FloatMatrix
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184 FloatCHOL::inverse (void) const
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185 {
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186 return chol2inv_internal (chol_mat);
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187 }
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188
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189 void
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190 FloatCHOL::set (const FloatMatrix& R)
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191 {
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192 if (R.is_square ())
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193 chol_mat = R;
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194 else
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195 (*current_liboctave_error_handler) ("FloatCHOL requires square matrix");
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196 }
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197
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198 #ifdef HAVE_QRUPDATE
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199
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200 void
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201 FloatCHOL::update (const FloatColumnVector& u)
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202 {
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203 octave_idx_type n = chol_mat.rows ();
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204
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205 if (u.length () == n)
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206 {
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207 FloatColumnVector utmp = u;
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208
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209 OCTAVE_LOCAL_BUFFER (float, w, n);
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210
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211 F77_XFCN (sch1up, SCH1UP, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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212 utmp.fortran_vec (), w));
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213 }
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214 else
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215 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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216 }
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217
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218 octave_idx_type
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219 FloatCHOL::downdate (const FloatColumnVector& u)
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220 {
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221 octave_idx_type info = -1;
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222
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223 octave_idx_type n = chol_mat.rows ();
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224
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225 if (u.length () == n)
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226 {
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227 FloatColumnVector utmp = u;
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228
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229 OCTAVE_LOCAL_BUFFER (float, w, n);
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230
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231 F77_XFCN (sch1dn, SCH1DN, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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232 utmp.fortran_vec (), w, info));
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233 }
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234 else
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235 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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236
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237 return info;
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238 }
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239
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240 octave_idx_type
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241 FloatCHOL::insert_sym (const FloatColumnVector& u, octave_idx_type j)
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242 {
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243 octave_idx_type info = -1;
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244
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245 octave_idx_type n = chol_mat.rows ();
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246
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247 if (u.length () != n + 1)
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248 (*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
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249 else if (j < 0 || j > n)
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250 (*current_liboctave_error_handler) ("cholinsert: index out of range");
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251 else
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252 {
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253 FloatColumnVector utmp = u;
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254
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255 OCTAVE_LOCAL_BUFFER (float, w, n);
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256
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257 chol_mat.resize (n+1, n+1);
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258
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259 F77_XFCN (schinx, SCHINX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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260 j + 1, utmp.fortran_vec (), w, info));
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261 }
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262
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263 return info;
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264 }
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265
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266 void
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267 FloatCHOL::delete_sym (octave_idx_type j)
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268 {
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269 octave_idx_type n = chol_mat.rows ();
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270
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271 if (j < 0 || j > n-1)
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272 (*current_liboctave_error_handler) ("choldelete: index out of range");
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273 else
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274 {
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275 OCTAVE_LOCAL_BUFFER (float, w, n);
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276
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277 F77_XFCN (schdex, SCHDEX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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278 j + 1, w));
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279
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280 chol_mat.resize (n-1, n-1);
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281 }
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282 }
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283
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284 void
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285 FloatCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
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286 {
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287 octave_idx_type n = chol_mat.rows ();
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288
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289 if (i < 0 || i > n-1 || j < 0 || j > n-1)
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290 (*current_liboctave_error_handler) ("cholshift: index out of range");
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291 else
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292 {
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293 OCTAVE_LOCAL_BUFFER (float, w, 2*n);
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294
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295 F77_XFCN (schshx, SCHSHX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
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296 i + 1, j + 1, w));
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297 }
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298 }
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299
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300 #else
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301
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302 void
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303 FloatCHOL::update (const FloatColumnVector& u)
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304 {
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305 warn_qrupdate_once ();
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306
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307 octave_idx_type n = chol_mat.rows ();
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308
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309 if (u.length () == n)
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310 {
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311 init (chol_mat.transpose () * chol_mat
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312 + FloatMatrix (u) * FloatMatrix (u).transpose (), false);
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313 }
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314 else
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315 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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316 }
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317
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318 static bool
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319 singular (const FloatMatrix& a)
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320 {
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321 for (octave_idx_type i = 0; i < a.rows (); i++)
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322 if (a(i,i) == 0.0f) return true;
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323 return false;
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324 }
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325
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326 octave_idx_type
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327 FloatCHOL::downdate (const FloatColumnVector& u)
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328 {
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329 warn_qrupdate_once ();
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330
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331 octave_idx_type info = -1;
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332
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333 octave_idx_type n = chol_mat.rows ();
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334
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335 if (u.length () == n)
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336 {
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337 if (singular (chol_mat))
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338 info = 2;
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339 else
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340 {
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341 info = init (chol_mat.transpose () * chol_mat
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342 - FloatMatrix (u) * FloatMatrix (u).transpose (), false);
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343 if (info) info = 1;
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344 }
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345 }
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346 else
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347 (*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
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348
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349 return info;
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350 }
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351
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352 octave_idx_type
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353 FloatCHOL::insert_sym (const FloatColumnVector& u, octave_idx_type j)
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354 {
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355 warn_qrupdate_once ();
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356
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357 octave_idx_type info = -1;
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358
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359 octave_idx_type n = chol_mat.rows ();
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360
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361 if (u.length () != n + 1)
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362 (*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
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363 else if (j < 0 || j > n)
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364 (*current_liboctave_error_handler) ("cholinsert: index out of range");
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365 else
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366 {
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367 if (singular (chol_mat))
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368 info = 2;
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369 else
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370 {
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371 FloatMatrix a = chol_mat.transpose () * chol_mat;
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372 FloatMatrix a1 (n+1, n+1);
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373 for (octave_idx_type k = 0; k < n+1; k++)
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374 for (octave_idx_type l = 0; l < n+1; l++)
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diff changeset
375 {
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376 if (l == j)
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377 a1(k, l) = u(k);
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378 else if (k == j)
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379 a1(k, l) = u(l);
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380 else
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381 a1(k, l) = a(k < j ? k : k-1, l < j ? l : l-1);
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382 }
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383 info = init (a1, false);
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384 if (info) info = 1;
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385 }
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386 }
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387
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388 return info;
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389 }
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390
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391 void
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392 FloatCHOL::delete_sym (octave_idx_type j)
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393 {
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394 warn_qrupdate_once ();
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diff changeset
395
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396 octave_idx_type n = chol_mat.rows ();
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diff changeset
397
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398 if (j < 0 || j > n-1)
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399 (*current_liboctave_error_handler) ("choldelete: index out of range");
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400 else
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401 {
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402 FloatMatrix a = chol_mat.transpose () * chol_mat;
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diff changeset
403 a.delete_elements (1, idx_vector (j));
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diff changeset
404 a.delete_elements (0, idx_vector (j));
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diff changeset
405 init (a, false);
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diff changeset
406 }
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diff changeset
407 }
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diff changeset
408
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409 void
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diff changeset
410 FloatCHOL::shift_sym (octave_idx_type i, octave_idx_type j)
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diff changeset
411 {
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diff changeset
412 warn_qrupdate_once ();
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diff changeset
413
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diff changeset
414 octave_idx_type n = chol_mat.rows ();
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diff changeset
415
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diff changeset
416 if (i < 0 || i > n-1 || j < 0 || j > n-1)
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diff changeset
417 (*current_liboctave_error_handler) ("cholshift: index out of range");
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diff changeset
418 else
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diff changeset
419 {
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diff changeset
420 FloatMatrix a = chol_mat.transpose () * chol_mat;
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diff changeset
421 Array<octave_idx_type> p (n);
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parents: 8547
diff changeset
422 for (octave_idx_type k = 0; k < n; k++) p(k) = k;
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diff changeset
423 if (i < j)
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diff changeset
424 {
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diff changeset
425 for (octave_idx_type k = i; k < j; k++) p(k) = k+1;
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diff changeset
426 p(j) = i;
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diff changeset
427 }
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diff changeset
428 else if (j < i)
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diff changeset
429 {
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diff changeset
430 p(j) = i;
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diff changeset
431 for (octave_idx_type k = j+1; k < i+1; k++) p(k) = k-1;
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diff changeset
432 }
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diff changeset
433
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diff changeset
434 init (a.index (idx_vector (p), idx_vector (p)), false);
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diff changeset
435 }
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diff changeset
436 }
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diff changeset
437
8547
d66c9b6e506a imported patch qrupdate.diff
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parents: 8377
diff changeset
438 #endif
d66c9b6e506a imported patch qrupdate.diff
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parents: 8377
diff changeset
439
7789
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
440 FloatMatrix
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
441 chol2inv (const FloatMatrix& r)
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
442 {
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
443 return chol2inv_internal (r);
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
444 }
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
445
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
446 /*
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
447 ;;; Local Variables: ***
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
448 ;;; mode: C++ ***
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
449 ;;; End: ***
82be108cc558 First attempt at single precision tyeps
David Bateman <dbateman@free.fr>
parents:
diff changeset
450 */