Mercurial > hg > octave-nkf
diff scripts/control/util/zgscal.m @ 3431:99ab64f4a09d
[project @ 2000-01-14 03:53:03 by jwe]
author | jwe |
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date | Fri, 14 Jan 2000 04:12:41 +0000 |
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children | 7923abdeb4e5 |
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new file mode 100644 --- /dev/null +++ b/scripts/control/util/zgscal.m @@ -0,0 +1,145 @@ +## Copyright (C) 1996, 1998 Auburn University. All rights reserved. +## +## This file is part of Octave. +## +## Octave is free software; you can redistribute it and/or modify it +## under the terms of the GNU General Public License as published by the +## Free Software Foundation; either version 2, or (at your option) any +## later version. +## +## Octave is distributed in the hope that it will be useful, but WITHOUT +## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or +## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License +## for more details. +## +## You should have received a copy of the GNU General Public License +## along with Octave; see the file COPYING. If not, write to the Free +## Software Foundation, 59 Temple Place, Suite 330, Boston, MA 02111 USA. + +## -*- texinfo -*- +## @deftypefn {Function File} {@var{x} =} zgscal (@var{f}, @var{z}, @var{n}, @var{m}, @var{p}) +## Generalized conjugate gradient iteration to +## solve zero-computation generalized eigenvalue problem balancing equation +## @math{fx=z}; +## called by @code{zgepbal} +## @end deftypefn + +## References: +## ZGEP: Hodel, "Computation of Zeros with Balancing," 1992, submitted to LAA +## Generalized CG: Golub and Van Loan, "Matrix Computations, 2nd ed" 1989 + +## Author: A. S. Hodel <a.s.hodel@eng.auburn.edu> +## Created: July 24, 1992 +## Conversion to Octave R. Bruce Tenison July 3, 1994 + +function x = zgscal (a, b, c, d, z, n, m, p) + + ## initialize parameters: + ## Givens rotations, diagonalized 2x2 block of F, gcg vector initialization + + nmp = n+m+p; + + ## x_0 = x_{-1} = 0, r_0 = z + x = zeros(nmp,1); + xk1 = x; + xk2 = x; + rk1 = z; + k = 0; + + ## construct balancing least squares problem + F = eye(nmp); + for kk=1:nmp + F(1:nmp,kk) = zgfmul(a,b,c,d,F(:,kk)); + endfor + + [U,H,k1] = krylov(F,z,nmp,1e-12,1); + if(!is_square(H)) + if(columns(H) != k1) + error("zgscal(tzero): k1=%d, columns(H)=%d",k1,columns(H)); + elseif(rows(H) != k1+1) + error("zgscal: k1=%d, rows(H) = %d",k1,rows(H)); + elseif ( norm(H(k1+1,:)) > 1e-12*norm(H,"inf") ) + zgscal_last_row_of_H = H(k1+1,:) + error("zgscal: last row of H nonzero (norm(H)=%e)",norm(H,"inf")) + endif + H = H(1:k1,1:k1); + U = U(:,1:k1); + endif + + ## tridiagonal H can still be rank deficient, so do permuted qr + ## factorization + [qq,rr,pp] = qr(H); # H = qq*rr*pp' + nn = rank(rr); + qq = qq(:,1:nn); + rr = rr(1:nn,:); # rr may not be square, but "\" does least + xx = U*pp*(rr\qq'*(U'*z)); # squares solution, so this works + ## xx1 = pinv(F)*z; + ## zgscal_x_xx1_err = [xx,xx1,xx-xx1] + return; + + ## the rest of this is left from the original zgscal; + ## I've had some numerical problems with the GCG algorithm, + ## so for now I'm solving it with the krylov routine. + + ## initialize residual error norm + rnorm = norm(rk1,1); + + xnorm = 0; + fnorm = 1e-12 * norm([a,b;c,d],1); + + ## dummy defines for MATHTOOLS compiler + gamk2 = 0; omega1 = 0; ztmz2 = 0; + + ## do until small changes to x + len_x = length(x); + while ((k < 2*len_x) & (xnorm> 0.5) & (rnorm>fnorm))|(k == 0) + k = k+1; + + ## solve F_d z_{k-1} = r_{k-1} + zk1= zgfslv(n,m,p,rk1); + + ## Generalized CG iteration + ## gamk1 = (zk1'*F_d*zk1)/(zk1'*F*zk1); + ztMz1 = zk1'*rk1; + gamk1 = ztMz1/(zk1'*zgfmul(a,b,c,d,zk1)); + + if(rem(k,len_x) == 1) omega = 1; + else omega = 1/(1-gamk1*ztMz1/(gamk2*omega1*ztmz2)); + endif + + ## store x in xk2 to save space + xk2 = xk2 + omega*(gamk1*zk1 + xk1 - xk2); + + ## compute new residual error: rk = z - F xk, check end conditions + rk1 = z - zgfmul(a,b,c,d,xk2); + rnorm = norm(rk1); + xnorm = max(abs(xk1 - xk2)); + + ## printf("zgscal: k=%d, gamk1=%e, gamk2=%e, \nztMz1=%e ztmz2=%e\n", ... + ## k,gamk1, gamk2, ztMz1, ztmz2); + ## xk2_1_zk1 = [xk2 xk1 zk1] + ## ABCD = [a,b;c,d] + ## prompt + + ## get ready for next iteration + gamk2 = gamk1; + omega1 = omega; + ztmz2 = ztMz1; + [xk1,xk2] = swap(xk1,xk2); + endwhile + x = xk2; + + ## check convergence + if (xnorm> 0.5 & rnorm>fnorm) + warning("zgscal(tzero): GCG iteration failed; solving with pinv"); + + ## perform brute force least squares; construct F + Am = eye(nmp); + for ii=1:nmp + Am(:,ii) = zgfmul(a,b,c,d,Am(:,ii)); + endfor + + ## now solve with qr factorization + x = pinv(Am)*z; + endif +endfunction