Mercurial > hg > octave-nkf
annotate libinterp/corefcn/schur.cc @ 17296:3a9efb68272d ss-3-7-6
snapshot 3.7.6
* configure.ac (OCTAVE_VERSION): Bump to 3.7.6.
author | John W. Eaton <jwe@octave.org> |
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date | Tue, 20 Aug 2013 15:17:54 -0400 |
parents | bc924baa2c4e |
children | d63878346099 |
rev | line source |
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2928 | 1 /* |
2 | |
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3 Copyright (C) 1996-2012 John W. Eaton |
2928 | 4 |
5 This file is part of Octave. | |
6 | |
7 Octave is free software; you can redistribute it and/or modify it | |
8 under the terms of the GNU General Public License as published by the | |
7016 | 9 Free Software Foundation; either version 3 of the License, or (at your |
10 option) any later version. | |
2928 | 11 |
12 Octave is distributed in the hope that it will be useful, but WITHOUT | |
13 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or | |
14 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License | |
15 for more details. | |
16 | |
17 You should have received a copy of the GNU General Public License | |
7016 | 18 along with Octave; see the file COPYING. If not, see |
19 <http://www.gnu.org/licenses/>. | |
2928 | 20 |
21 */ | |
22 | |
23 #ifdef HAVE_CONFIG_H | |
24 #include <config.h> | |
25 #endif | |
26 | |
27 #include <string> | |
28 | |
29 #include "CmplxSCHUR.h" | |
30 #include "dbleSCHUR.h" | |
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31 #include "fCmplxSCHUR.h" |
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32 #include "floatSCHUR.h" |
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34 #include "defun.h" |
2928 | 35 #include "error.h" |
36 #include "gripes.h" | |
37 #include "oct-obj.h" | |
38 #include "utils.h" | |
39 | |
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40 template <class Matrix> |
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41 static octave_value |
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42 mark_upper_triangular (const Matrix& a) |
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43 { |
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44 octave_value retval = a; |
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45 |
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46 octave_idx_type n = a.rows (); |
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47 assert (a.columns () == n); |
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48 |
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49 const typename Matrix::element_type zero = typename Matrix::element_type (); |
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50 |
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51 for (octave_idx_type i = 0; i < n; i++) |
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52 if (a(i,i) == zero) |
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53 return retval; |
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54 |
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55 retval.matrix_type (MatrixType::Upper); |
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56 |
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57 return retval; |
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58 } |
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59 |
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60 DEFUN (schur, args, nargout, |
3548 | 61 "-*- texinfo -*-\n\ |
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62 @deftypefn {Built-in Function} {@var{S} =} schur (@var{A})\n\ |
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63 @deftypefnx {Built-in Function} {@var{S} =} schur (@var{A}, \"real\")\n\ |
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64 @deftypefnx {Built-in Function} {@var{S} =} schur (@var{A}, \"complex\")\n\ |
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65 @deftypefnx {Built-in Function} {@var{S} =} schur (@var{A}, @var{opt})\n\ |
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66 @deftypefnx {Built-in Function} {[@var{U}, @var{S}] =} schur (@var{A}, @dots{})\n\ |
3372 | 67 @cindex Schur decomposition\n\ |
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68 Compute the Schur@tie{}decomposition of @var{A}\n\ |
3372 | 69 @tex\n\ |
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70 $$\n\ |
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71 S = U^T A U\n\ |
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72 $$\n\ |
3372 | 73 @end tex\n\ |
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74 @ifnottex\n\ |
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75 \n\ |
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76 @example\n\ |
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77 @code{@var{S} = @var{U}' * @var{A} * @var{U}}\n\ |
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78 @end example\n\ |
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79 \n\ |
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80 @end ifnottex\n\ |
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81 where @var{U} is a unitary matrix\n\ |
3372 | 82 @tex\n\ |
83 ($U^T U$ is identity)\n\ | |
84 @end tex\n\ | |
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85 @ifnottex\n\ |
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86 (@code{@var{U}'* @var{U}} is identity)\n\ |
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87 @end ifnottex\n\ |
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88 and @var{S} is upper triangular. The eigenvalues of @var{A} (and @var{S})\n\ |
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89 are the diagonal elements of @var{S}. If the matrix @var{A}\n\ |
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90 is real, then the real Schur@tie{}decomposition is computed, in which the\n\ |
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91 matrix @var{U} is orthogonal and @var{S} is block upper triangular\n\ |
3372 | 92 with blocks of size at most\n\ |
93 @tex\n\ | |
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94 $2 \\times 2$\n\ |
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96 @ifnottex\n\ |
3372 | 97 @code{2 x 2}\n\ |
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98 @end ifnottex\n\ |
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99 along the diagonal. The diagonal elements of @var{S}\n\ |
3372 | 100 (or the eigenvalues of the\n\ |
101 @tex\n\ | |
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102 $2 \\times 2$\n\ |
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104 @ifnottex\n\ |
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106 @end ifnottex\n\ |
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107 blocks, when appropriate) are the eigenvalues of @var{A} and @var{S}.\n\ |
2928 | 108 \n\ |
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109 The default for real matrices is a real Schur@tie{}decomposition.\n\ |
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110 A complex decomposition may be forced by passing the flag\n\ |
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111 @qcode{\"complex\"}.\n\ |
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112 \n\ |
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114 the value of @var{opt}. @code{@var{opt} = \"a\"} indicates that all\n\ |
3372 | 115 eigenvalues with negative real parts should be moved to the leading\n\ |
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116 block of @var{S}\n\ |
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117 (used in @code{are}), @code{@var{opt} = \"d\"} indicates that all eigenvalues\n\ |
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118 with magnitude less than one should be moved to the leading block of @var{S}\n\ |
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119 (used in @code{dare}), and @code{@var{opt} = \"u\"}, the default, indicates\n\ |
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120 that no ordering of eigenvalues should occur. The leading @var{k}\n\ |
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121 columns of @var{U} always span the @var{A}-invariant\n\ |
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122 subspace corresponding to the @var{k} leading eigenvalues of @var{S}.\n\ |
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123 \n\ |
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124 The Schur@tie{}decomposition is used to compute eigenvalues of a\n\ |
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125 square matrix, and has applications in the solution of algebraic\n\ |
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126 Riccati equations in control (see @code{are} and @code{dare}).\n\ |
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127 @seealso{rsf2csf, lu, chol, hess, qr, qz, svd}\n\ |
3372 | 128 @end deftypefn") |
2928 | 129 { |
130 octave_value_list retval; | |
131 | |
132 int nargin = args.length (); | |
133 | |
134 if (nargin < 1 || nargin > 2 || nargout > 2) | |
135 { | |
5823 | 136 print_usage (); |
2928 | 137 return retval; |
138 } | |
139 | |
140 octave_value arg = args(0); | |
141 | |
3523 | 142 std::string ord; |
2928 | 143 |
144 if (nargin == 2) | |
145 { | |
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146 ord = args(1).string_value (); |
2928 | 147 |
148 if (error_state) | |
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149 { |
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150 error ("schur: second argument must be a string"); |
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151 return retval; |
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152 } |
2928 | 153 } |
154 | |
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155 bool force_complex = false; |
2928 | 156 |
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157 if (ord == "real") |
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158 { |
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159 ord = std::string (); |
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160 } |
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161 else if (ord == "complex") |
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162 { |
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163 force_complex = true; |
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164 ord = std::string (); |
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165 } |
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166 else |
2928 | 167 { |
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168 char ord_char = ord.empty () ? 'U' : ord[0]; |
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169 |
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170 if (ord_char != 'U' && ord_char != 'A' && ord_char != 'D' |
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171 && ord_char != 'u' && ord_char != 'a' && ord_char != 'd') |
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172 { |
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173 warning ("schur: incorrect ordered schur argument '%c'", |
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174 ord.c_str ()); |
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175 return retval; |
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176 } |
2928 | 177 } |
178 | |
5275 | 179 octave_idx_type nr = arg.rows (); |
180 octave_idx_type nc = arg.columns (); | |
2928 | 181 |
182 if (nr != nc) | |
183 { | |
184 gripe_square_matrix_required ("schur"); | |
185 return retval; | |
186 } | |
187 | |
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188 if (! arg.is_numeric_type ()) |
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189 gripe_wrong_type_arg ("schur", arg); |
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190 else if (arg.is_single_type ()) |
2928 | 191 { |
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192 if (! force_complex && arg.is_real_type ()) |
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193 { |
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194 FloatMatrix tmp = arg.float_matrix_value (); |
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196 if (! error_state) |
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197 { |
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198 if (nargout == 0 || nargout == 1) |
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199 { |
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200 FloatSCHUR result (tmp, ord, false); |
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201 retval(0) = result.schur_matrix (); |
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202 } |
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203 else |
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204 { |
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205 FloatSCHUR result (tmp, ord, true); |
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206 retval(1) = result.schur_matrix (); |
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207 retval(0) = result.unitary_matrix (); |
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208 } |
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209 } |
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210 } |
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211 else |
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212 { |
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213 FloatComplexMatrix ctmp = arg.float_complex_matrix_value (); |
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214 |
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215 if (! error_state) |
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216 { |
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217 |
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218 if (nargout == 0 || nargout == 1) |
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219 { |
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220 FloatComplexSCHUR result (ctmp, ord, false); |
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221 retval(0) = mark_upper_triangular (result.schur_matrix ()); |
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222 } |
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223 else |
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224 { |
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225 FloatComplexSCHUR result (ctmp, ord, true); |
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226 retval(1) = mark_upper_triangular (result.schur_matrix ()); |
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227 retval(0) = result.unitary_matrix (); |
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228 } |
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229 } |
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230 } |
2928 | 231 } |
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232 else |
2928 | 233 { |
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234 if (! force_complex && arg.is_real_type ()) |
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235 { |
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236 Matrix tmp = arg.matrix_value (); |
2928 | 237 |
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238 if (! error_state) |
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239 { |
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240 if (nargout == 0 || nargout == 1) |
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241 { |
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242 SCHUR result (tmp, ord, false); |
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243 retval(0) = result.schur_matrix (); |
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244 } |
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245 else |
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246 { |
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247 SCHUR result (tmp, ord, true); |
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248 retval(1) = result.schur_matrix (); |
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249 retval(0) = result.unitary_matrix (); |
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250 } |
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251 } |
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252 } |
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253 else |
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254 { |
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255 ComplexMatrix ctmp = arg.complex_matrix_value (); |
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256 |
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257 if (! error_state) |
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258 { |
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259 |
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260 if (nargout == 0 || nargout == 1) |
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261 { |
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262 ComplexSCHUR result (ctmp, ord, false); |
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263 retval(0) = mark_upper_triangular (result.schur_matrix ()); |
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264 } |
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265 else |
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266 { |
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267 ComplexSCHUR result (ctmp, ord, true); |
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268 retval(1) = mark_upper_triangular (result.schur_matrix ()); |
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269 retval(0) = result.unitary_matrix (); |
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270 } |
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271 } |
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272 } |
2928 | 273 } |
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274 |
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275 return retval; |
2928 | 276 } |
277 | |
278 /* | |
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279 %!test |
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280 %! a = [1, 2, 3; 4, 5, 9; 7, 8, 6]; |
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281 %! [u, s] = schur (a); |
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282 %! assert (u' * a * u, s, sqrt (eps)); |
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283 |
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284 %!test |
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285 %! a = single ([1, 2, 3; 4, 5, 9; 7, 8, 6]); |
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286 %! [u, s] = schur (a); |
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287 %! assert (u' * a * u, s, sqrt (eps ("single"))); |
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288 |
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289 %!test |
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290 %! fail ("schur ([1, 2; 3, 4], 2)", "warning"); |
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291 |
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292 %!error schur () |
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293 %!error <argument must be a square matrix> schur ([1, 2, 3; 4, 5, 6]) |
2928 | 294 */ |
10822 | 295 |
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296 DEFUN (rsf2csf, args, nargout, |
10822 | 297 "-*- texinfo -*-\n\ |
298 @deftypefn {Function File} {[@var{U}, @var{T}] =} rsf2csf (@var{UR}, @var{TR})\n\ | |
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299 Convert a real, upper quasi-triangular Schur@tie{}form @var{TR} to a complex,\n\ |
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300 upper triangular Schur@tie{}form @var{T}.\n\ |
10822 | 301 \n\ |
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302 Note that the following relations hold:\n\ |
10822 | 303 \n\ |
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304 @tex\n\ |
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305 $UR \\cdot TR \\cdot {UR}^T = U T U^{\\dagger}$ and\n\ |
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306 $U^{\\dagger} U$ is the identity matrix I.\n\ |
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307 @end tex\n\ |
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308 @ifnottex\n\ |
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309 @tcode{@var{UR} * @var{TR} * @var{UR}' = @var{U} * @var{T} * @var{U}'} and\n\ |
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310 @code{@var{U}' * @var{U}} is the identity matrix I.\n\ |
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311 @end ifnottex\n\ |
10822 | 312 \n\ |
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313 Note also that @var{U} and @var{T} are not unique.\n\ |
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314 @seealso{schur}\n\ |
10822 | 315 @end deftypefn") |
316 { | |
317 octave_value_list retval; | |
318 | |
319 if (args.length () == 2 && nargout <= 2) | |
320 { | |
321 if (! args(0).is_numeric_type ()) | |
322 gripe_wrong_type_arg ("rsf2csf", args(0)); | |
323 else if (! args(1).is_numeric_type ()) | |
324 gripe_wrong_type_arg ("rsf2csf", args(1)); | |
325 else if (args(0).is_complex_type () || args(1).is_complex_type ()) | |
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326 error ("rsf2csf: UR and TR must be real matrices"); |
10822 | 327 else |
328 { | |
329 | |
330 if (args(0).is_single_type () || args(1).is_single_type ()) | |
331 { | |
332 FloatMatrix u = args(0).float_matrix_value (); | |
333 FloatMatrix t = args(1).float_matrix_value (); | |
334 if (! error_state) | |
335 { | |
336 FloatComplexSCHUR cs (FloatSCHUR (t, u)); | |
337 | |
338 retval(1) = cs.schur_matrix (); | |
339 retval(0) = cs.unitary_matrix (); | |
340 } | |
341 } | |
342 else | |
343 { | |
344 Matrix u = args(0).matrix_value (); | |
345 Matrix t = args(1).matrix_value (); | |
346 if (! error_state) | |
347 { | |
348 ComplexSCHUR cs (SCHUR (t, u)); | |
349 | |
350 retval(1) = cs.schur_matrix (); | |
351 retval(0) = cs.unitary_matrix (); | |
352 } | |
353 } | |
354 } | |
355 } | |
356 else | |
357 print_usage (); | |
358 | |
359 return retval; | |
360 } | |
361 | |
362 /* | |
363 %!test | |
364 %! A = [1, 1, 1, 2; 1, 2, 1, 1; 1, 1, 3, 1; -2, 1, 1, 1]; | |
365 %! [u, t] = schur (A); | |
366 %! [U, T] = rsf2csf (u, t); | |
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367 %! assert (norm (u * t * u' - U * T * U'), 0, 1e-12); |
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368 %! assert (norm (A - U * T * U'), 0, 1e-12); |
10822 | 369 |
370 %!test | |
371 %! A = rand (10); | |
372 %! [u, t] = schur (A); | |
373 %! [U, T] = rsf2csf (u, t); | |
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374 %! assert (norm (tril (T, -1)), 0); |
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375 %! assert (norm (U * U'), 1, 1e-14); |
10822 | 376 |
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377 %!test |
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378 %! A = [0, 1;-1, 0]; |
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379 %! [u, t] = schur (A); |
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380 %! [U, T] = rsf2csf (u,t); |
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381 %! assert (U * T * U', A, 1e-14); |
10822 | 382 */ |