Mercurial > hg > octave-nkf
diff liboctave/fEIG.cc @ 8339:18c4ded8612a
Add generalized eigenvalue functions
| author | Jarkko Kaleva <d3roga@gmail.com> |
|---|---|
| date | Mon, 24 Nov 2008 10:55:50 +0100 |
| parents | 82be108cc558 |
| children | eb63fbe60fab |
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--- a/liboctave/fEIG.cc +++ b/liboctave/fEIG.cc @@ -65,6 +65,68 @@ FloatComplex*, const octave_idx_type&, float*, octave_idx_type& F77_CHAR_ARG_LEN_DECL F77_CHAR_ARG_LEN_DECL); + + F77_RET_T + F77_FUNC (spotrf, SPOTRF) (F77_CONST_CHAR_ARG_DECL, + const octave_idx_type&, + float*, const octave_idx_type&, + octave_idx_type& + F77_CHAR_ARG_LEN_DECL + F77_CHAR_ARG_LEN_DECL); + + F77_RET_T + F77_FUNC (cpotrf, CPOTRF) (F77_CONST_CHAR_ARG_DECL, + const octave_idx_type&, + FloatComplex*, const octave_idx_type&, + octave_idx_type& + F77_CHAR_ARG_LEN_DECL + F77_CHAR_ARG_LEN_DECL); + + F77_RET_T + F77_FUNC (sggev, SGGEV) (F77_CONST_CHAR_ARG_DECL, + F77_CONST_CHAR_ARG_DECL, + const octave_idx_type&, + float*, const octave_idx_type&, + float*, const octave_idx_type&, + float*, float*, float*, + float*, const octave_idx_type&, float*, const octave_idx_type&, + float*, const octave_idx_type&, octave_idx_type& + F77_CHAR_ARG_LEN_DECL + F77_CHAR_ARG_LEN_DECL); + + F77_RET_T + F77_FUNC (ssygv, SSYGV) (const octave_idx_type&, + F77_CONST_CHAR_ARG_DECL, F77_CONST_CHAR_ARG_DECL, + const octave_idx_type&, + float*, const octave_idx_type&, + float*, const octave_idx_type&, + float*, float*, const octave_idx_type&, octave_idx_type& + F77_CHAR_ARG_LEN_DECL + F77_CHAR_ARG_LEN_DECL); + + F77_RET_T + F77_FUNC (cggev, CGGEV) (F77_CONST_CHAR_ARG_DECL, + F77_CONST_CHAR_ARG_DECL, + const octave_idx_type&, + FloatComplex*, const octave_idx_type&, + FloatComplex*, const octave_idx_type&, + FloatComplex*, FloatComplex*, + FloatComplex*, const octave_idx_type&, FloatComplex*, const octave_idx_type&, + FloatComplex*, const octave_idx_type&, float*, octave_idx_type& + F77_CHAR_ARG_LEN_DECL + F77_CHAR_ARG_LEN_DECL); + + F77_RET_T + F77_FUNC (chegv, CHEGV) (const octave_idx_type&, + F77_CONST_CHAR_ARG_DECL, + F77_CONST_CHAR_ARG_DECL, + const octave_idx_type&, + FloatComplex*, const octave_idx_type&, + FloatComplex*, const octave_idx_type&, + float*, FloatComplex*, const octave_idx_type&, float*, + 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 +FloatEIG::init (const FloatMatrix& a, const FloatMatrix& 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; + + FloatMatrix tmp = b; + float *tmp_data = tmp.fortran_vec (); + + F77_XFCN (spotrf, SPOTRF, (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); + + FloatMatrix atmp = a; + float *atmp_data = atmp.fortran_vec (); + + FloatMatrix btmp = b; + float *btmp_data = btmp.fortran_vec (); + + Array<float> ar (n); + float *par = ar.fortran_vec (); + + Array<float> ai (n); + float *pai = ai.fortran_vec (); + + Array<float> beta (n); + float *pbeta = beta.fortran_vec (); + + volatile octave_idx_type nvr = calc_ev ? n : 0; + FloatMatrix vr (nvr, nvr); + float *pvr = vr.fortran_vec (); + + octave_idx_type lwork = -1; + float dummy_work; + + float *dummy = 0; + octave_idx_type idummy = 1; + + F77_XFCN (sggev, SGGEV, (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<float> work (lwork); + float *pwork = work.fortran_vec (); + + F77_XFCN (sggev, SGGEV, (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 sggev"); + return info; + } + + if (info > 0) + { + (*current_liboctave_error_handler) ("sggev 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) = FloatComplex (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) = FloatComplex (ar.elem(j) / beta.elem (j), + ai.elem(j) / beta.elem (j)); + lambda.elem(j+1) = FloatComplex (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++) + { + float real_part = vr.elem (i, j); + float imag_part = vr.elem (i, j+1); + v.elem (i, j) = FloatComplex (real_part, imag_part); + v.elem (i, j+1) = FloatComplex (real_part, -imag_part); + } + j++; + } + } + } + else + (*current_liboctave_error_handler) ("sggev workspace query failed"); + + return info; +} + +octave_idx_type +FloatEIG::symmetric_init (const FloatMatrix& a, const FloatMatrix& 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; + + FloatMatrix atmp = a; + float *atmp_data = atmp.fortran_vec (); + + FloatMatrix btmp = b; + float *btmp_data = btmp.fortran_vec (); + + FloatColumnVector wr (n); + float *pwr = wr.fortran_vec (); + + octave_idx_type lwork = -1; + float dummy_work; + + F77_XFCN (ssygv, SSYGV, (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<float> work (lwork); + float *pwork = work.fortran_vec (); + + F77_XFCN (ssygv, SSYGV, (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 ssygv"); + return info; + } + + if (info > 0) + { + (*current_liboctave_error_handler) ("ssygv failed to converge"); + return info; + } + + lambda = FloatComplexColumnVector (wr); + v = calc_ev ? FloatComplexMatrix (atmp) : FloatComplexMatrix (); + } + else + (*current_liboctave_error_handler) ("ssygv workspace query failed"); + + return info; +} + +octave_idx_type +FloatEIG::init (const FloatComplexMatrix& a, const FloatComplexMatrix& 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; + + FloatComplexMatrix tmp = b; + FloatComplex *tmp_data = tmp.fortran_vec (); + + F77_XFCN (cpotrf, CPOTRF, (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); + + FloatComplexMatrix atmp = a; + FloatComplex *atmp_data = atmp.fortran_vec (); + + FloatComplexMatrix btmp = b; + FloatComplex *btmp_data = btmp.fortran_vec (); + + FloatComplexColumnVector alpha (n); + FloatComplex *palpha = alpha.fortran_vec (); + + FloatComplexColumnVector beta (n); + FloatComplex *pbeta = beta.fortran_vec (); + + octave_idx_type nvr = calc_ev ? n : 0; + FloatComplexMatrix vtmp (nvr, nvr); + FloatComplex *pv = vtmp.fortran_vec (); + + octave_idx_type lwork = -1; + FloatComplex dummy_work; + + octave_idx_type lrwork = 8*n; + Array<float> rwork (lrwork); + float *prwork = rwork.fortran_vec (); + + FloatComplex *dummy = 0; + octave_idx_type idummy = 1; + + F77_XFCN (cggev, CGGEV, (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<FloatComplex> work (lwork); + FloatComplex *pwork = work.fortran_vec (); + + F77_XFCN (cggev, CGGEV, (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 cggev"); + return info; + } + + if (info > 0) + { + (*current_liboctave_error_handler) ("cggev 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) ("cggev workspace query failed"); + + return info; +} + +octave_idx_type +FloatEIG::hermitian_init (const FloatComplexMatrix& a, const FloatComplexMatrix& 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; + + FloatComplexMatrix atmp = a; + FloatComplex *atmp_data = atmp.fortran_vec (); + + FloatComplexMatrix btmp = b; + FloatComplex *btmp_data = btmp.fortran_vec (); + + FloatColumnVector wr (n); + float *pwr = wr.fortran_vec (); + + octave_idx_type lwork = -1; + FloatComplex dummy_work; + + octave_idx_type lrwork = 3*n; + Array<float> rwork (lrwork); + float *prwork = rwork.fortran_vec (); + + F77_XFCN (chegv, CHEGV, (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<FloatComplex> work (lwork); + FloatComplex *pwork = work.fortran_vec (); + + F77_XFCN (chegv, CHEGV, (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 = FloatComplexColumnVector (wr); + v = calc_ev ? FloatComplexMatrix (atmp) : FloatComplexMatrix (); + } + else + (*current_liboctave_error_handler) ("zhegv workspace query failed"); + + return info; +} + /* ;;; Local Variables: *** ;;; mode: C++ ***