Mercurial > hg > octave-nkf
diff liboctave/EIG.cc @ 8339:18c4ded8612a
Add generalized eigenvalue functions
| author | Jarkko Kaleva <d3roga@gmail.com> |
|---|---|
| date | Mon, 24 Nov 2008 10:55:50 +0100 |
| parents | 29980c6b8604 |
| children | eb63fbe60fab |
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--- a/liboctave/EIG.cc +++ b/liboctave/EIG.cc @@ -65,6 +65,68 @@ Complex*, const octave_idx_type&, double*, octave_idx_type& F77_CHAR_ARG_LEN_DECL F77_CHAR_ARG_LEN_DECL); + + F77_RET_T + F77_FUNC (dpotrf, DPOTRF) (F77_CONST_CHAR_ARG_DECL, + const octave_idx_type&, + double*, const octave_idx_type&, + octave_idx_type& + F77_CHAR_ARG_LEN_DECL + F77_CHAR_ARG_LEN_DECL); + + F77_RET_T + F77_FUNC (zpotrf, ZPOTRF) (F77_CONST_CHAR_ARG_DECL, + const octave_idx_type&, + Complex*, const octave_idx_type&, + octave_idx_type& + F77_CHAR_ARG_LEN_DECL + F77_CHAR_ARG_LEN_DECL); + + F77_RET_T + F77_FUNC (dggev, DGGEV) (F77_CONST_CHAR_ARG_DECL, + F77_CONST_CHAR_ARG_DECL, + const octave_idx_type&, + double*, const octave_idx_type&, + double*, const octave_idx_type&, + double*, double*, double *, + double*, const octave_idx_type&, double*, const octave_idx_type&, + double*, const octave_idx_type&, octave_idx_type& + F77_CHAR_ARG_LEN_DECL + F77_CHAR_ARG_LEN_DECL); + + F77_RET_T + F77_FUNC (dsygv, DSYGV) (const octave_idx_type&, + F77_CONST_CHAR_ARG_DECL, F77_CONST_CHAR_ARG_DECL, + const octave_idx_type&, + double*, const octave_idx_type&, + double*, const octave_idx_type&, + double*, double*, const octave_idx_type&, octave_idx_type& + F77_CHAR_ARG_LEN_DECL + F77_CHAR_ARG_LEN_DECL); + + F77_RET_T + F77_FUNC (zggev, ZGGEV) (F77_CONST_CHAR_ARG_DECL, + F77_CONST_CHAR_ARG_DECL, + const octave_idx_type&, + Complex*, const octave_idx_type&, + Complex*, const octave_idx_type&, + Complex*, Complex*, + Complex*, const octave_idx_type&, Complex*, const octave_idx_type&, + Complex*, const octave_idx_type&, double*, octave_idx_type& + F77_CHAR_ARG_LEN_DECL + F77_CHAR_ARG_LEN_DECL); + + F77_RET_T + F77_FUNC (zhegv, ZHEGV) (const octave_idx_type&, + F77_CONST_CHAR_ARG_DECL, + F77_CONST_CHAR_ARG_DECL, + const octave_idx_type&, + Complex*, const octave_idx_type&, + Complex*, const octave_idx_type&, + double*, Complex*, const octave_idx_type&, double*, + octave_idx_type& + F77_CHAR_ARG_LEN_DECL + F77_CHAR_ARG_LEN_DECL); } octave_idx_type @@ -391,6 +453,414 @@ return info; } +octave_idx_type +EIG::init (const Matrix& a, const Matrix& b, bool calc_ev) +{ + if (a.any_element_is_inf_or_nan () || b.any_element_is_inf_or_nan ()) + { + (*current_liboctave_error_handler) + ("EIG: matrix contains Inf or NaN values"); + return -1; + } + + octave_idx_type n = a.rows (); + octave_idx_type nb = b.rows (); + + if (n != a.cols () || nb != b.cols ()) + { + (*current_liboctave_error_handler) ("EIG requires square matrix"); + return -1; + } + + if (n != nb) + { + (*current_liboctave_error_handler) ("EIG requires same size matrices"); + return -1; + } + + octave_idx_type info = 0; + + Matrix tmp = b; + double *tmp_data = tmp.fortran_vec (); + + F77_XFCN (dpotrf, DPOTRF, (F77_CONST_CHAR_ARG2 ("L", 1), + n, tmp_data, n, + info + F77_CHAR_ARG_LEN (1) + F77_CHAR_ARG_LEN (1))); + + if (a.is_symmetric () && b.is_symmetric () && info == 0) + return symmetric_init (a, b, calc_ev); + + Matrix atmp = a; + double *atmp_data = atmp.fortran_vec (); + + Matrix btmp = b; + double *btmp_data = btmp.fortran_vec (); + + Array<double> ar (n); + double *par = ar.fortran_vec (); + + Array<double> ai (n); + double *pai = ai.fortran_vec (); + + Array<double> beta (n); + double *pbeta = beta.fortran_vec (); + + volatile octave_idx_type nvr = calc_ev ? n : 0; + Matrix vr (nvr, nvr); + double *pvr = vr.fortran_vec (); + + octave_idx_type lwork = -1; + double dummy_work; + + double *dummy = 0; + octave_idx_type idummy = 1; + + F77_XFCN (dggev, DGGEV, (F77_CONST_CHAR_ARG2 ("N", 1), + F77_CONST_CHAR_ARG2 (calc_ev ? "V" : "N", 1), + n, atmp_data, n, btmp_data, n, + par, pai, pbeta, + dummy, idummy, pvr, n, + &dummy_work, lwork, info + F77_CHAR_ARG_LEN (1) + F77_CHAR_ARG_LEN (1))); + + if (info == 0) + { + lwork = static_cast<octave_idx_type> (dummy_work); + Array<double> work (lwork); + double *pwork = work.fortran_vec (); + + F77_XFCN (dggev, DGGEV, (F77_CONST_CHAR_ARG2 ("N", 1), + F77_CONST_CHAR_ARG2 (calc_ev ? "V" : "N", 1), + n, atmp_data, n, btmp_data, n, + par, pai, pbeta, + dummy, idummy, pvr, n, + pwork, lwork, info + F77_CHAR_ARG_LEN (1) + F77_CHAR_ARG_LEN (1))); + + if (info < 0) + { + (*current_liboctave_error_handler) ("unrecoverable error in dggev"); + return info; + } + + if (info > 0) + { + (*current_liboctave_error_handler) ("dggev failed to converge"); + return info; + } + + lambda.resize (n); + v.resize (nvr, nvr); + + for (octave_idx_type j = 0; j < n; j++) + { + if (ai.elem (j) == 0.0) + { + lambda.elem (j) = Complex (ar.elem (j) / beta.elem (j)); + for (octave_idx_type i = 0; i < nvr; i++) + v.elem (i, j) = vr.elem (i, j); + } + else + { + if (j+1 >= n) + { + (*current_liboctave_error_handler) ("EIG: internal error"); + return -1; + } + + lambda.elem(j) = Complex (ar.elem(j) / beta.elem (j), + ai.elem(j) / beta.elem (j)); + lambda.elem(j+1) = Complex (ar.elem(j+1) / beta.elem (j+1), + ai.elem(j+1) / beta.elem (j+1)); + + for (octave_idx_type i = 0; i < nvr; i++) + { + double real_part = vr.elem (i, j); + double imag_part = vr.elem (i, j+1); + v.elem (i, j) = Complex (real_part, imag_part); + v.elem (i, j+1) = Complex (real_part, -imag_part); + } + j++; + } + } + } + else + (*current_liboctave_error_handler) ("dggev workspace query failed"); + + return info; +} + +octave_idx_type +EIG::symmetric_init (const Matrix& a, const Matrix& b, bool calc_ev) +{ + octave_idx_type n = a.rows (); + octave_idx_type nb = b.rows (); + + if (n != a.cols () || nb != b.cols ()) + { + (*current_liboctave_error_handler) ("EIG requires square matrix"); + return -1; + } + + if (n != nb) + { + (*current_liboctave_error_handler) ("EIG requires same size matrices"); + return -1; + } + + octave_idx_type info = 0; + + Matrix atmp = a; + double *atmp_data = atmp.fortran_vec (); + + Matrix btmp = b; + double *btmp_data = btmp.fortran_vec (); + + ColumnVector wr (n); + double *pwr = wr.fortran_vec (); + + octave_idx_type lwork = -1; + double dummy_work; + + F77_XFCN (dsygv, DSYGV, (1, F77_CONST_CHAR_ARG2 (calc_ev ? "V" : "N", 1), + F77_CONST_CHAR_ARG2 ("U", 1), + n, atmp_data, n, + btmp_data, n, + pwr, &dummy_work, lwork, info + F77_CHAR_ARG_LEN (1) + F77_CHAR_ARG_LEN (1))); + + if (info == 0) + { + lwork = static_cast<octave_idx_type> (dummy_work); + Array<double> work (lwork); + double *pwork = work.fortran_vec (); + + F77_XFCN (dsygv, DSYGV, (1, F77_CONST_CHAR_ARG2 (calc_ev ? "V" : "N", 1), + F77_CONST_CHAR_ARG2 ("U", 1), + n, atmp_data, n, + btmp_data, n, + pwr, pwork, lwork, info + F77_CHAR_ARG_LEN (1) + F77_CHAR_ARG_LEN (1))); + + if (info < 0) + { + (*current_liboctave_error_handler) ("unrecoverable error in dsygv"); + return info; + } + + if (info > 0) + { + (*current_liboctave_error_handler) ("dsygv failed to converge"); + return info; + } + + lambda = ComplexColumnVector (wr); + v = calc_ev ? ComplexMatrix (atmp) : ComplexMatrix (); + } + else + (*current_liboctave_error_handler) ("dsygv workspace query failed"); + + return info; +} + +octave_idx_type +EIG::init (const ComplexMatrix& a, const ComplexMatrix& b, bool calc_ev) +{ + if (a.any_element_is_inf_or_nan () || b.any_element_is_inf_or_nan ()) + { + (*current_liboctave_error_handler) + ("EIG: matrix contains Inf or NaN values"); + return -1; + } + + octave_idx_type n = a.rows (); + octave_idx_type nb = b.rows (); + + if (n != a.cols () || nb != b.cols()) + { + (*current_liboctave_error_handler) ("EIG requires square matrix"); + return -1; + } + + if (n != nb) + { + (*current_liboctave_error_handler) ("EIG requires same size matrices"); + return -1; + } + + octave_idx_type info = 0; + + ComplexMatrix tmp = b; + Complex*tmp_data = tmp.fortran_vec (); + + F77_XFCN (zpotrf, ZPOTRF, (F77_CONST_CHAR_ARG2 ("L", 1), + n, tmp_data, n, + info + F77_CHAR_ARG_LEN (1) + F77_CHAR_ARG_LEN (1))); + + if (a.is_hermitian () && b.is_hermitian () && info == 0) + return hermitian_init (a, calc_ev); + + ComplexMatrix atmp = a; + Complex *atmp_data = atmp.fortran_vec (); + + ComplexMatrix btmp = b; + Complex *btmp_data = btmp.fortran_vec (); + + ComplexColumnVector alpha (n); + Complex *palpha = alpha.fortran_vec (); + + ComplexColumnVector beta (n); + Complex *pbeta = beta.fortran_vec (); + + octave_idx_type nvr = calc_ev ? n : 0; + ComplexMatrix vtmp (nvr, nvr); + Complex *pv = vtmp.fortran_vec (); + + octave_idx_type lwork = -1; + Complex dummy_work; + + octave_idx_type lrwork = 8*n; + Array<double> rwork (lrwork); + double *prwork = rwork.fortran_vec (); + + Complex *dummy = 0; + octave_idx_type idummy = 1; + + F77_XFCN (zggev, ZGGEV, (F77_CONST_CHAR_ARG2 ("N", 1), + F77_CONST_CHAR_ARG2 (calc_ev ? "V" : "N", 1), + n, atmp_data, n, btmp_data, n, + palpha, pbeta, dummy, idummy, + pv, n, &dummy_work, lwork, prwork, info + F77_CHAR_ARG_LEN (1) + F77_CHAR_ARG_LEN (1))); + + if (info == 0) + { + lwork = static_cast<octave_idx_type> (dummy_work.real ()); + Array<Complex> work (lwork); + Complex *pwork = work.fortran_vec (); + + F77_XFCN (zggev, ZGGEV, (F77_CONST_CHAR_ARG2 ("N", 1), + F77_CONST_CHAR_ARG2 (calc_ev ? "V" : "N", 1), + n, atmp_data, n, btmp_data, n, + palpha, pbeta, dummy, idummy, + pv, n, pwork, lwork, prwork, info + F77_CHAR_ARG_LEN (1) + F77_CHAR_ARG_LEN (1))); + + if (info < 0) + { + (*current_liboctave_error_handler) ("unrecoverable error in zggev"); + return info; + } + + if (info > 0) + { + (*current_liboctave_error_handler) ("zggev failed to converge"); + return info; + } + + lambda.resize (n); + + for (octave_idx_type j = 0; j < n; j++) + lambda.elem (j) = alpha.elem (j) / beta.elem(j); + + v = vtmp; + } + else + (*current_liboctave_error_handler) ("zggev workspace query failed"); + + return info; +} + +octave_idx_type +EIG::hermitian_init (const ComplexMatrix& a, const ComplexMatrix& b, bool calc_ev) +{ + octave_idx_type n = a.rows (); + octave_idx_type nb = b.rows (); + + if (n != a.cols () || nb != b.cols ()) + { + (*current_liboctave_error_handler) ("EIG requires square matrix"); + return -1; + } + + if (n != nb) + { + (*current_liboctave_error_handler) ("EIG requires same size matrices"); + return -1; + } + + octave_idx_type info = 0; + + ComplexMatrix atmp = a; + Complex *atmp_data = atmp.fortran_vec (); + + ComplexMatrix btmp = b; + Complex *btmp_data = btmp.fortran_vec (); + + ColumnVector wr (n); + double *pwr = wr.fortran_vec (); + + octave_idx_type lwork = -1; + Complex dummy_work; + + octave_idx_type lrwork = 3*n; + Array<double> rwork (lrwork); + double *prwork = rwork.fortran_vec (); + + F77_XFCN (zhegv, ZHEGV, (1, F77_CONST_CHAR_ARG2 (calc_ev ? "V" : "N", 1), + F77_CONST_CHAR_ARG2 ("U", 1), + n, atmp_data, n, + btmp_data, n, + pwr, &dummy_work, lwork, + prwork, info + F77_CHAR_ARG_LEN (1) + F77_CHAR_ARG_LEN (1))); + + if (info == 0) + { + lwork = static_cast<octave_idx_type> (dummy_work.real ()); + Array<Complex> work (lwork); + Complex *pwork = work.fortran_vec (); + + F77_XFCN (zhegv, ZHEGV, (1, F77_CONST_CHAR_ARG2 (calc_ev ? "V" : "N", 1), + F77_CONST_CHAR_ARG2 ("U", 1), + n, atmp_data, n, + btmp_data, n, + pwr, pwork, lwork, prwork, info + F77_CHAR_ARG_LEN (1) + F77_CHAR_ARG_LEN (1))); + + if (info < 0) + { + (*current_liboctave_error_handler) ("unrecoverable error in zhegv"); + return info; + } + + if (info > 0) + { + (*current_liboctave_error_handler) ("zhegv failed to converge"); + return info; + } + + lambda = ComplexColumnVector (wr); + v = calc_ev ? ComplexMatrix (atmp) : ComplexMatrix (); + } + else + (*current_liboctave_error_handler) ("zhegv workspace query failed"); + + return info; +} + /* ;;; Local Variables: *** ;;; mode: C++ ***