/*
Copyright (C) 1994-2013 John W. Eaton
Copyright (C) 2008-2009 Jaroslav Hajek
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 3 of the License, 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, see
.
*/
#ifdef HAVE_CONFIG_H
#include
#endif
#include
#include "dRowVector.h"
#include "dbleCHOL.h"
#include "f77-fcn.h"
#include "lo-error.h"
#include "oct-locbuf.h"
#include "oct-norm.h"
#ifndef HAVE_QRUPDATE
#include "dbleQR.h"
#endif
extern "C"
{
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_RET_T
F77_FUNC (dpotri, DPOTRI) (F77_CONST_CHAR_ARG_DECL,
const octave_idx_type&, double*,
const octave_idx_type&, octave_idx_type&
F77_CHAR_ARG_LEN_DECL);
F77_RET_T
F77_FUNC (dpocon, DPOCON) (F77_CONST_CHAR_ARG_DECL,
const octave_idx_type&, double*,
const octave_idx_type&, const double&,
double&, double*, octave_idx_type*,
octave_idx_type&
F77_CHAR_ARG_LEN_DECL);
#ifdef HAVE_QRUPDATE
F77_RET_T
F77_FUNC (dch1up, DCH1UP) (const octave_idx_type&, double*,
const octave_idx_type&, double*, double*);
F77_RET_T
F77_FUNC (dch1dn, DCH1DN) (const octave_idx_type&, double*,
const octave_idx_type&, double*, double*,
octave_idx_type&);
F77_RET_T
F77_FUNC (dchinx, DCHINX) (const octave_idx_type&, double*,
const octave_idx_type&, const octave_idx_type&,
double*, double*, octave_idx_type&);
F77_RET_T
F77_FUNC (dchdex, DCHDEX) (const octave_idx_type&, double*,
const octave_idx_type&, const octave_idx_type&,
double*);
F77_RET_T
F77_FUNC (dchshx, DCHSHX) (const octave_idx_type&, double*,
const octave_idx_type&, const octave_idx_type&,
const octave_idx_type&, double*);
#endif
}
octave_idx_type
CHOL::init (const Matrix& a, bool upper, bool calc_cond)
{
octave_idx_type a_nr = a.rows ();
octave_idx_type a_nc = a.cols ();
if (a_nr != a_nc)
{
(*current_liboctave_error_handler) ("CHOL requires square matrix");
return -1;
}
octave_idx_type n = a_nc;
octave_idx_type info;
chol_mat.clear (n, n);
is_upper = upper;
for (octave_idx_type j = 0; j < n; j++)
{
if (upper)
{
for (octave_idx_type i = 0; i <= j; i++)
chol_mat.xelem (i, j) = a(i, j);
for (octave_idx_type i = j+1; i < n; i++)
chol_mat.xelem (i, j) = 0.0;
}
else
{
for (octave_idx_type i = 0; i < j; i++)
chol_mat.xelem (i, j) = 0.0;
for (octave_idx_type i = j; i < n; i++)
chol_mat.xelem (i, j) = a(i, j);
}
}
double *h = chol_mat.fortran_vec ();
// Calculate the norm of the matrix, for later use.
double anorm = 0;
if (calc_cond)
anorm = xnorm (a, 1);
if (upper)
F77_XFCN (dpotrf, DPOTRF, (F77_CONST_CHAR_ARG2 ("U", 1),
n, h, n, info
F77_CHAR_ARG_LEN (1)));
else
F77_XFCN (dpotrf, DPOTRF, (F77_CONST_CHAR_ARG2 ("L", 1),
n, h, n, info
F77_CHAR_ARG_LEN (1)));
xrcond = 0.0;
if (info > 0)
chol_mat.resize (info - 1, info - 1);
else if (calc_cond)
{
octave_idx_type dpocon_info = 0;
// Now calculate the condition number for non-singular matrix.
Array z (dim_vector (3*n, 1));
double *pz = z.fortran_vec ();
Array iz (dim_vector (n, 1));
octave_idx_type *piz = iz.fortran_vec ();
if (upper)
F77_XFCN (dpocon, DPOCON, (F77_CONST_CHAR_ARG2 ("U", 1), n, h,
n, anorm, xrcond, pz, piz, dpocon_info
F77_CHAR_ARG_LEN (1)));
else
F77_XFCN (dpocon, DPOCON, (F77_CONST_CHAR_ARG2 ("L", 1), n, h,
n, anorm, xrcond, pz, piz, dpocon_info
F77_CHAR_ARG_LEN (1)));
if (dpocon_info != 0)
info = -1;
}
return info;
}
static Matrix
chol2inv_internal (const Matrix& r, bool upper )
{
Matrix retval;
octave_idx_type r_nr = r.rows ();
octave_idx_type r_nc = r.cols ();
if (r_nr == r_nc)
{
octave_idx_type n = r_nc;
octave_idx_type info = 0;
Matrix tmp = r;
double *v = tmp.fortran_vec ();
if (info == 0)
{
if (upper)
F77_XFCN (dpotri, DPOTRI, (F77_CONST_CHAR_ARG2 ("U", 1), n,
v, n, info
F77_CHAR_ARG_LEN (1)));
else
F77_XFCN (dpotri, DPOTRI, (F77_CONST_CHAR_ARG2 ("L", 1), n,
v, n, info
F77_CHAR_ARG_LEN (1)));
// If someone thinks of a more graceful way of doing this (or
// faster for that matter :-)), please let me know!
// Who is me? :) Yes there are faster ways. Are you sure you want to
// know about them ??
if (n > 1)
{
if (upper)
{
for (octave_idx_type j = 0; j < r_nc; j++)
for (octave_idx_type i = j+1; i < r_nr; i++)
tmp.xelem (i, j) = tmp.xelem (j, i);
}
else
{
for (octave_idx_type j = 0; j < r_nc; j++)
for (octave_idx_type i = j+1; i < r_nr; i++)
tmp.xelem (j, i) = tmp.xelem (i, j);
}
}
retval = tmp;
}
}
else
(*current_liboctave_error_handler) ("chol2inv requires square matrix");
return retval;
}
// Compute the inverse of a matrix using the Cholesky factorization.
Matrix
CHOL::inverse (void) const
{
return chol2inv_internal (chol_mat, is_upper);
}
void
CHOL::set (const Matrix& R)
{
if (R.is_square ())
chol_mat = R;
else
(*current_liboctave_error_handler) ("CHOL requires square matrix");
}
#ifdef HAVE_QRUPDATE
void
CHOL::update (const ColumnVector& u)
{
octave_idx_type n = chol_mat.rows ();
if (u.length () == n)
{
ColumnVector utmp = u;
OCTAVE_LOCAL_BUFFER (double, w, n);
F77_XFCN (dch1up, DCH1UP, (n, chol_mat.fortran_vec (), chol_mat.rows (),
utmp.fortran_vec (), w));
}
else
(*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
}
octave_idx_type
CHOL::downdate (const ColumnVector& u)
{
octave_idx_type info = -1;
octave_idx_type n = chol_mat.rows ();
if (u.length () == n)
{
ColumnVector utmp = u;
OCTAVE_LOCAL_BUFFER (double, w, n);
F77_XFCN (dch1dn, DCH1DN, (n, chol_mat.fortran_vec (), chol_mat.rows (),
utmp.fortran_vec (), w, info));
}
else
(*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
return info;
}
octave_idx_type
CHOL::insert_sym (const ColumnVector& u, octave_idx_type j)
{
octave_idx_type info = -1;
octave_idx_type n = chol_mat.rows ();
if (u.length () != n + 1)
(*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
else if (j < 0 || j > n)
(*current_liboctave_error_handler) ("cholinsert: index out of range");
else
{
ColumnVector utmp = u;
OCTAVE_LOCAL_BUFFER (double, w, n);
chol_mat.resize (n+1, n+1);
F77_XFCN (dchinx, DCHINX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
j + 1, utmp.fortran_vec (), w, info));
}
return info;
}
void
CHOL::delete_sym (octave_idx_type j)
{
octave_idx_type n = chol_mat.rows ();
if (j < 0 || j > n-1)
(*current_liboctave_error_handler) ("choldelete: index out of range");
else
{
OCTAVE_LOCAL_BUFFER (double, w, n);
F77_XFCN (dchdex, DCHDEX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
j + 1, w));
chol_mat.resize (n-1, n-1);
}
}
void
CHOL::shift_sym (octave_idx_type i, octave_idx_type j)
{
octave_idx_type n = chol_mat.rows ();
if (i < 0 || i > n-1 || j < 0 || j > n-1)
(*current_liboctave_error_handler) ("cholshift: index out of range");
else
{
OCTAVE_LOCAL_BUFFER (double, w, 2*n);
F77_XFCN (dchshx, DCHSHX, (n, chol_mat.fortran_vec (), chol_mat.rows (),
i + 1, j + 1, w));
}
}
#else
void
CHOL::update (const ColumnVector& u)
{
warn_qrupdate_once ();
octave_idx_type n = chol_mat.rows ();
if (u.length () == n)
{
init (chol_mat.transpose () * chol_mat
+ Matrix (u) * Matrix (u).transpose (), false);
}
else
(*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
}
static bool
singular (const Matrix& a)
{
for (octave_idx_type i = 0; i < a.rows (); i++)
if (a(i,i) == 0.0) return true;
return false;
}
octave_idx_type
CHOL::downdate (const ColumnVector& u)
{
warn_qrupdate_once ();
octave_idx_type info = -1;
octave_idx_type n = chol_mat.rows ();
if (u.length () == n)
{
if (singular (chol_mat))
info = 2;
else
{
info = init (chol_mat.transpose () * chol_mat
- Matrix (u) * Matrix (u).transpose (), false);
if (info) info = 1;
}
}
else
(*current_liboctave_error_handler) ("cholupdate: dimension mismatch");
return info;
}
octave_idx_type
CHOL::insert_sym (const ColumnVector& u, octave_idx_type j)
{
warn_qrupdate_once ();
octave_idx_type info = -1;
octave_idx_type n = chol_mat.rows ();
if (u.length () != n + 1)
(*current_liboctave_error_handler) ("cholinsert: dimension mismatch");
else if (j < 0 || j > n)
(*current_liboctave_error_handler) ("cholinsert: index out of range");
else
{
if (singular (chol_mat))
info = 2;
else
{
Matrix a = chol_mat.transpose () * chol_mat;
Matrix a1 (n+1, n+1);
for (octave_idx_type k = 0; k < n+1; k++)
for (octave_idx_type l = 0; l < n+1; l++)
{
if (l == j)
a1(k, l) = u(k);
else if (k == j)
a1(k, l) = u(l);
else
a1(k, l) = a(k < j ? k : k-1, l < j ? l : l-1);
}
info = init (a1, false);
if (info) info = 1;
}
}
return info;
}
void
CHOL::delete_sym (octave_idx_type j)
{
warn_qrupdate_once ();
octave_idx_type n = chol_mat.rows ();
if (j < 0 || j > n-1)
(*current_liboctave_error_handler) ("choldelete: index out of range");
else
{
Matrix a = chol_mat.transpose () * chol_mat;
a.delete_elements (1, idx_vector (j));
a.delete_elements (0, idx_vector (j));
init (a, false);
}
}
void
CHOL::shift_sym (octave_idx_type i, octave_idx_type j)
{
warn_qrupdate_once ();
octave_idx_type n = chol_mat.rows ();
if (i < 0 || i > n-1 || j < 0 || j > n-1)
(*current_liboctave_error_handler) ("cholshift: index out of range");
else
{
Matrix a = chol_mat.transpose () * chol_mat;
Array p (dim_vector (n, 1));
for (octave_idx_type k = 0; k < n; k++) p(k) = k;
if (i < j)
{
for (octave_idx_type k = i; k < j; k++) p(k) = k+1;
p(j) = i;
}
else if (j < i)
{
p(j) = i;
for (octave_idx_type k = j+1; k < i+1; k++) p(k) = k-1;
}
init (a.index (idx_vector (p), idx_vector (p)), false);
}
}
#endif
Matrix
chol2inv (const Matrix& r)
{
return chol2inv_internal (r);
}