diff options
author | Alberto Ruiz <aruiz@um.es> | 2009-12-28 15:47:26 +0000 |
---|---|---|
committer | Alberto Ruiz <aruiz@um.es> | 2009-12-28 15:47:26 +0000 |
commit | b2715e91d7aef5cee1b64b641b8f173167a7145a (patch) | |
tree | f97b82cfa435441f52153ccdfad5e1fa119f14dc /lib/Numeric/LinearAlgebra | |
parent | 107478b2288b0904159599be94089230c7cd3edf (diff) |
additional svd functions
Diffstat (limited to 'lib/Numeric/LinearAlgebra')
-rw-r--r-- | lib/Numeric/LinearAlgebra/Algorithms.hs | 116 | ||||
-rw-r--r-- | lib/Numeric/LinearAlgebra/Instances.hs | 4 | ||||
-rw-r--r-- | lib/Numeric/LinearAlgebra/LAPACK.hs | 225 | ||||
-rw-r--r-- | lib/Numeric/LinearAlgebra/LAPACK/lapack-aux.c | 159 | ||||
-rw-r--r-- | lib/Numeric/LinearAlgebra/Tests.hs | 21 | ||||
-rw-r--r-- | lib/Numeric/LinearAlgebra/Tests/Instances.hs | 8 | ||||
-rw-r--r-- | lib/Numeric/LinearAlgebra/Tests/Properties.hs | 78 |
7 files changed, 456 insertions, 155 deletions
diff --git a/lib/Numeric/LinearAlgebra/Algorithms.hs b/lib/Numeric/LinearAlgebra/Algorithms.hs index e0cc0a0..1544d7c 100644 --- a/lib/Numeric/LinearAlgebra/Algorithms.hs +++ b/lib/Numeric/LinearAlgebra/Algorithms.hs | |||
@@ -10,10 +10,9 @@ Maintainer : Alberto Ruiz (aruiz at um dot es) | |||
10 | Stability : provisional | 10 | Stability : provisional |
11 | Portability : uses ffi | 11 | Portability : uses ffi |
12 | 12 | ||
13 | A generic interface for some common functions. Using it we can write higher level algorithms | 13 | Generic interface for the most common functions. Using it we can write higher level algorithms and testing properties for both real and complex matrices. |
14 | and testing properties both for real and complex matrices. | ||
15 | 14 | ||
16 | In any case, the specific functions for particular base types can also be explicitly | 15 | Specific functions for particular base types can also be explicitly |
17 | imported from "Numeric.LinearAlgebra.LAPACK". | 16 | imported from "Numeric.LinearAlgebra.LAPACK". |
18 | 17 | ||
19 | -} | 18 | -} |
@@ -34,7 +33,11 @@ module Numeric.LinearAlgebra.Algorithms ( | |||
34 | -- * Matrix factorizations | 33 | -- * Matrix factorizations |
35 | -- ** Singular value decomposition | 34 | -- ** Singular value decomposition |
36 | svd, | 35 | svd, |
37 | full, economy, --thin, | 36 | fullSVD, |
37 | thinSVD, | ||
38 | compactSVD, | ||
39 | sv, | ||
40 | leftSV, rightSV, | ||
38 | -- ** Eigensystems | 41 | -- ** Eigensystems |
39 | eig, eigSH, eigSH', | 42 | eig, eigSH, eigSH', |
40 | -- ** QR | 43 | -- ** QR |
@@ -54,6 +57,7 @@ module Numeric.LinearAlgebra.Algorithms ( | |||
54 | -- * Nullspace | 57 | -- * Nullspace |
55 | nullspacePrec, | 58 | nullspacePrec, |
56 | nullVector, | 59 | nullVector, |
60 | nullspaceSVD, | ||
57 | -- * Norms | 61 | -- * Norms |
58 | Normed(..), NormType(..), | 62 | Normed(..), NormType(..), |
59 | -- * Misc | 63 | -- * Misc |
@@ -63,8 +67,8 @@ module Numeric.LinearAlgebra.Algorithms ( | |||
63 | haussholder, | 67 | haussholder, |
64 | unpackQR, unpackHess, | 68 | unpackQR, unpackHess, |
65 | pinvTol, | 69 | pinvTol, |
66 | rankSVD, ranksv, | 70 | ranksv, |
67 | nullspaceSVD | 71 | full, economy |
68 | ) where | 72 | ) where |
69 | 73 | ||
70 | 74 | ||
@@ -80,6 +84,8 @@ import Data.Array | |||
80 | -- | Auxiliary typeclass used to define generic computations for both real and complex matrices. | 84 | -- | Auxiliary typeclass used to define generic computations for both real and complex matrices. |
81 | class (Normed (Matrix t), Linear Vector t, Linear Matrix t) => Field t where | 85 | class (Normed (Matrix t), Linear Vector t, Linear Matrix t) => Field t where |
82 | svd' :: Matrix t -> (Matrix t, Vector Double, Matrix t) | 86 | svd' :: Matrix t -> (Matrix t, Vector Double, Matrix t) |
87 | thinSVD' :: Matrix t -> (Matrix t, Vector Double, Matrix t) | ||
88 | sv' :: Matrix t -> Vector Double | ||
83 | luPacked' :: Matrix t -> (Matrix t, [Int]) | 89 | luPacked' :: Matrix t -> (Matrix t, [Int]) |
84 | luSolve' :: (Matrix t, [Int]) -> Matrix t -> Matrix t | 90 | luSolve' :: (Matrix t, [Int]) -> Matrix t -> Matrix t |
85 | linearSolve' :: Matrix t -> Matrix t -> Matrix t | 91 | linearSolve' :: Matrix t -> Matrix t -> Matrix t |
@@ -94,10 +100,18 @@ class (Normed (Matrix t), Linear Vector t, Linear Matrix t) => Field t where | |||
94 | multiply' :: Matrix t -> Matrix t -> Matrix t | 100 | multiply' :: Matrix t -> Matrix t -> Matrix t |
95 | 101 | ||
96 | 102 | ||
97 | -- | Singular value decomposition using lapack's dgesvd or zgesvd. | 103 | -- | Full singular value decomposition using lapack's dgesdd or zgesdd. |
98 | svd :: Field t => Matrix t -> (Matrix t, Vector Double, Matrix t) | 104 | svd :: Field t => Matrix t -> (Matrix t, Vector Double, Matrix t) |
99 | svd = svd' | 105 | svd = svd' |
100 | 106 | ||
107 | -- | Thin singular value decomposition using lapack's dgesvd or zgesvd. | ||
108 | thinSVD :: Field t => Matrix t -> (Matrix t, Vector Double, Matrix t) | ||
109 | thinSVD = thinSVD' | ||
110 | |||
111 | -- | Singular values using lapack's dgesvd or zgesvd. | ||
112 | sv :: Field t => Matrix t -> Vector Double | ||
113 | sv = sv' | ||
114 | |||
101 | -- | Obtains the LU decomposition of a matrix in a compact data structure suitable for 'luSolve'. | 115 | -- | Obtains the LU decomposition of a matrix in a compact data structure suitable for 'luSolve'. |
102 | luPacked :: Field t => Matrix t -> (Matrix t, [Int]) | 116 | luPacked :: Field t => Matrix t -> (Matrix t, [Int]) |
103 | luPacked = luPacked' | 117 | luPacked = luPacked' |
@@ -163,7 +177,9 @@ multiply = multiply' | |||
163 | 177 | ||
164 | 178 | ||
165 | instance Field Double where | 179 | instance Field Double where |
166 | svd' = svdR | 180 | svd' = svdRd |
181 | thinSVD' = thinSVDRd | ||
182 | sv' = svR | ||
167 | luPacked' = luR | 183 | luPacked' = luR |
168 | luSolve' (l_u,perm) = lusR l_u perm | 184 | luSolve' (l_u,perm) = lusR l_u perm |
169 | linearSolve' = linearSolveR -- (luSolve . luPacked) ?? | 185 | linearSolve' = linearSolveR -- (luSolve . luPacked) ?? |
@@ -178,7 +194,9 @@ instance Field Double where | |||
178 | multiply' = multiplyR | 194 | multiply' = multiplyR |
179 | 195 | ||
180 | instance Field (Complex Double) where | 196 | instance Field (Complex Double) where |
181 | svd' = svdC | 197 | svd' = svdCd |
198 | thinSVD' = thinSVDCd | ||
199 | sv' = svC | ||
182 | luPacked' = luC | 200 | luPacked' = luC |
183 | luSolve' (l_u,perm) = lusC l_u perm | 201 | luSolve' (l_u,perm) = lusC l_u perm |
184 | linearSolve' = linearSolveC | 202 | linearSolve' = linearSolveC |
@@ -232,36 +250,61 @@ inv m | square m = m `linearSolve` ident (rows m) | |||
232 | pinv :: Field t => Matrix t -> Matrix t | 250 | pinv :: Field t => Matrix t -> Matrix t |
233 | pinv m = linearSolveSVD m (ident (rows m)) | 251 | pinv m = linearSolveSVD m (ident (rows m)) |
234 | 252 | ||
235 | -- | A version of 'svd' which returns an appropriate diagonal matrix with the singular values. | 253 | |
236 | -- | 254 | {-# DEPRECATED full "use fullSVD instead" #-} |
237 | -- If @(u,d,v) = full svd m@ then @m == u \<> d \<> trans v@. | ||
238 | full :: Element t | ||
239 | => (Matrix t -> (Matrix t, Vector Double, Matrix t)) -> Matrix t -> (Matrix t, Matrix Double, Matrix t) | ||
240 | full svdFun m = (u, d ,v) where | 255 | full svdFun m = (u, d ,v) where |
241 | (u,s,v) = svdFun m | 256 | (u,s,v) = svdFun m |
242 | d = diagRect s r c | 257 | d = diagRect s r c |
243 | r = rows m | 258 | r = rows m |
244 | c = cols m | 259 | c = cols m |
245 | 260 | ||
246 | -- | A version of 'svd' which returns only the nonzero singular values and the corresponding rows and columns of the rotations. | 261 | -- | A version of 'svd' which returns an appropriate diagonal matrix with the singular values. |
247 | -- | 262 | -- |
248 | -- If @(u,s,v) = economy svd m@ then @m == u \<> diag s \<> trans v@. | 263 | -- If @(u,d,v) = fullSVD m@ then @m == u \<> d \<> trans v@. |
249 | economy :: Element t | 264 | fullSVD :: Field t => Matrix t -> (Matrix t, Matrix Double, Matrix t) |
250 | => (Matrix t -> (Matrix t, Vector Double, Matrix t)) -> Matrix t -> (Matrix t, Vector Double, Matrix t) | 265 | fullSVD m = (u,d,v) where |
266 | (u,s,v) = svd m | ||
267 | d = diagRect s r c | ||
268 | r = rows m | ||
269 | c = cols m | ||
270 | |||
271 | |||
272 | {-# DEPRECATED economy "use compactSVD instead" #-} | ||
251 | economy svdFun m = (u', subVector 0 d s, v') where | 273 | economy svdFun m = (u', subVector 0 d s, v') where |
252 | r@(u,s,v) = svdFun m | 274 | (u,s,v) = svdFun m |
253 | d = rankSVD (1*eps) m r `max` 1 | 275 | d = rankSVD (1*eps) m s `max` 1 |
276 | u' = takeColumns d u | ||
277 | v' = takeColumns d v | ||
278 | |||
279 | -- | A version of 'svd' which returns only the nonzero singular values and the corresponding rows and columns of the rotations. | ||
280 | -- | ||
281 | -- If @(u,s,v) = compactSVD m@ then @m == u \<> diag s \<> trans v@. | ||
282 | compactSVD :: Field t => Matrix t -> (Matrix t, Vector Double, Matrix t) | ||
283 | compactSVD m = (u', subVector 0 d s, v') where | ||
284 | (u,s,v) = thinSVD m | ||
285 | d = rankSVD (1*eps) m s `max` 1 | ||
254 | u' = takeColumns d u | 286 | u' = takeColumns d u |
255 | v' = takeColumns d v | 287 | v' = takeColumns d v |
256 | 288 | ||
289 | vertical m = rows m >= cols m | ||
290 | |||
291 | -- | Singular values and all right singular vectors, using lapack's dgesvd or zgesvd. | ||
292 | rightSV :: Field t => Matrix t -> (Vector Double, Matrix t) | ||
293 | rightSV m | vertical m = let (_,s,v) = thinSVD m in (s,v) | ||
294 | | otherwise = let (_,s,v) = svd m in (s,v) | ||
295 | |||
296 | -- | Singular values and all right singular vectors, using lapack's dgesvd or zgesvd. | ||
297 | leftSV :: Field t => Matrix t -> (Matrix t, Vector Double) | ||
298 | leftSV m | vertical m = let (u,s,_) = svd m in (u,s) | ||
299 | | otherwise = let (u,s,_) = thinSVD m in (u,s) | ||
257 | 300 | ||
258 | -- | Numeric rank of a matrix from the SVD decomposition. | 301 | -- | Numeric rank of a matrix from the SVD decomposition. |
259 | rankSVD :: Element t | 302 | rankSVD :: Element t |
260 | => Double -- ^ numeric zero (e.g. 1*'eps') | 303 | => Double -- ^ numeric zero (e.g. 1*'eps') |
261 | -> Matrix t -- ^ input matrix m | 304 | -> Matrix t -- ^ input matrix m |
262 | -> (Matrix t, Vector Double, Matrix t) -- ^ 'svd' of m | 305 | -> Vector Double -- ^ 'sv' of m |
263 | -> Int -- ^ rank of m | 306 | -> Int -- ^ rank of m |
264 | rankSVD teps m (_,s,_) = ranksv teps (max (rows m) (cols m)) (toList s) | 307 | rankSVD teps m s = ranksv teps (max (rows m) (cols m)) (toList s) |
265 | 308 | ||
266 | -- | Numeric rank of a matrix from its singular values. | 309 | -- | Numeric rank of a matrix from its singular values. |
267 | ranksv :: Double -- ^ numeric zero (e.g. 1*'eps') | 310 | ranksv :: Double -- ^ numeric zero (e.g. 1*'eps') |
@@ -316,12 +359,12 @@ pnormCV PNorm1 = norm1 . mapVector magnitude | |||
316 | pnormCV Infinity = vectorMax . mapVector magnitude | 359 | pnormCV Infinity = vectorMax . mapVector magnitude |
317 | --pnormCV _ = error "pnormCV not yet defined" | 360 | --pnormCV _ = error "pnormCV not yet defined" |
318 | 361 | ||
319 | pnormRM PNorm2 m = head (toList s) where (_,s,_) = svdR m | 362 | pnormRM PNorm2 m = sv m @> 0 |
320 | pnormRM PNorm1 m = vectorMax $ constant 1 (rows m) `vXm` liftMatrix (vectorMapR Abs) m | 363 | pnormRM PNorm1 m = vectorMax $ constant 1 (rows m) `vXm` liftMatrix (vectorMapR Abs) m |
321 | pnormRM Infinity m = vectorMax $ liftMatrix (vectorMapR Abs) m `mXv` constant 1 (cols m) | 364 | pnormRM Infinity m = vectorMax $ liftMatrix (vectorMapR Abs) m `mXv` constant 1 (cols m) |
322 | --pnormRM _ _ = error "p norm not yet defined" | 365 | --pnormRM _ _ = error "p norm not yet defined" |
323 | 366 | ||
324 | pnormCM PNorm2 m = head (toList s) where (_,s,_) = svdC m | 367 | pnormCM PNorm2 m = sv m @> 0 |
325 | pnormCM PNorm1 m = vectorMax $ constant 1 (rows m) `vXm` liftMatrix (mapVector magnitude) m | 368 | pnormCM PNorm1 m = vectorMax $ constant 1 (rows m) `vXm` liftMatrix (mapVector magnitude) m |
326 | pnormCM Infinity m = vectorMax $ liftMatrix (mapVector magnitude) m `mXv` constant 1 (cols m) | 369 | pnormCM Infinity m = vectorMax $ liftMatrix (mapVector magnitude) m `mXv` constant 1 (cols m) |
327 | --pnormCM _ _ = error "p norm not yet defined" | 370 | --pnormCM _ _ = error "p norm not yet defined" |
@@ -354,9 +397,9 @@ nullspaceSVD :: Field t | |||
354 | => Either Double Int -- ^ Left \"numeric\" zero (eg. 1*'eps'), | 397 | => Either Double Int -- ^ Left \"numeric\" zero (eg. 1*'eps'), |
355 | -- or Right \"theoretical\" matrix rank. | 398 | -- or Right \"theoretical\" matrix rank. |
356 | -> Matrix t -- ^ input matrix m | 399 | -> Matrix t -- ^ input matrix m |
357 | -> (Matrix t, Vector Double, Matrix t) -- ^ 'svd' of m | 400 | -> (Vector Double, Matrix t) -- ^ 'rightSV' of m |
358 | -> [Vector t] -- ^ list of unitary vectors spanning the nullspace | 401 | -> [Vector t] -- ^ list of unitary vectors spanning the nullspace |
359 | nullspaceSVD hint a z@(_,_,v) = vs where | 402 | nullspaceSVD hint a (s,v) = vs where |
360 | r = rows a | 403 | r = rows a |
361 | c = cols a | 404 | c = cols a |
362 | tol = case hint of | 405 | tol = case hint of |
@@ -364,9 +407,8 @@ nullspaceSVD hint a z@(_,_,v) = vs where | |||
364 | _ -> eps | 407 | _ -> eps |
365 | k = case hint of | 408 | k = case hint of |
366 | Right t -> t | 409 | Right t -> t |
367 | _ -> rankSVD tol a z | 410 | _ -> rankSVD tol a s |
368 | nsol = c - k | 411 | vs = drop k $ toRows $ ctrans v |
369 | vs = drop k (toColumns v) | ||
370 | 412 | ||
371 | 413 | ||
372 | -- | The nullspace of a matrix. See also 'nullspaceSVD'. | 414 | -- | The nullspace of a matrix. See also 'nullspaceSVD'. |
@@ -374,10 +416,7 @@ nullspacePrec :: Field t | |||
374 | => Double -- ^ relative tolerance in 'eps' units | 416 | => Double -- ^ relative tolerance in 'eps' units |
375 | -> Matrix t -- ^ input matrix | 417 | -> Matrix t -- ^ input matrix |
376 | -> [Vector t] -- ^ list of unitary vectors spanning the nullspace | 418 | -> [Vector t] -- ^ list of unitary vectors spanning the nullspace |
377 | nullspacePrec t m = ns where | 419 | nullspacePrec t m = nullspaceSVD (Left (t*eps)) m (rightSV m) |
378 | r@(_,_,v) = svd m | ||
379 | k = rankSVD (t*eps) m r | ||
380 | ns = drop k $ toRows $ ctrans v | ||
381 | 420 | ||
382 | -- | The nullspace of a matrix, assumed to be one-dimensional, with default tolerance 1*'eps'. | 421 | -- | The nullspace of a matrix, assumed to be one-dimensional, with default tolerance 1*'eps'. |
383 | nullVector :: Field t => Matrix t -> Vector t | 422 | nullVector :: Field t => Matrix t -> Vector t |
@@ -405,7 +444,7 @@ multiplicative factor of the default tolerance used by GNU-Octave (see 'pinv'). | |||
405 | -} | 444 | -} |
406 | --pinvTol :: Double -> Matrix Double -> Matrix Double | 445 | --pinvTol :: Double -> Matrix Double -> Matrix Double |
407 | pinvTol t m = v' `mXm` diag s' `mXm` trans u' where | 446 | pinvTol t m = v' `mXm` diag s' `mXm` trans u' where |
408 | (u,s,v) = svdR m | 447 | (u,s,v) = thinSVDRd m |
409 | sl@(g:_) = toList s | 448 | sl@(g:_) = toList s |
410 | s' = fromList . map rec $ sl | 449 | s' = fromList . map rec $ sl |
411 | rec x = if x < g*tol then 1 else 1/x | 450 | rec x = if x < g*tol then 1 else 1/x |
@@ -460,15 +499,14 @@ uH (pq, tau) = (p,h) | |||
460 | 499 | ||
461 | -------------------------------------------------------------------------- | 500 | -------------------------------------------------------------------------- |
462 | 501 | ||
463 | -- | Reciprocal of the 2-norm condition number of a matrix, computed from the SVD. | 502 | -- | Reciprocal of the 2-norm condition number of a matrix, computed from the singular values. |
464 | rcond :: Field t => Matrix t -> Double | 503 | rcond :: Field t => Matrix t -> Double |
465 | rcond m = last s / head s | 504 | rcond m = last s / head s |
466 | where (_,s',_) = svd m | 505 | where s = toList (sv m) |
467 | s = toList s' | ||
468 | 506 | ||
469 | -- | Number of linearly independent rows or columns. | 507 | -- | Number of linearly independent rows or columns. |
470 | rank :: Field t => Matrix t -> Int | 508 | rank :: Field t => Matrix t -> Int |
471 | rank m = rankSVD eps m (svd m) | 509 | rank m = rankSVD eps m (sv m) |
472 | 510 | ||
473 | {- | 511 | {- |
474 | expm' m = case diagonalize (complex m) of | 512 | expm' m = case diagonalize (complex m) of |
diff --git a/lib/Numeric/LinearAlgebra/Instances.hs b/lib/Numeric/LinearAlgebra/Instances.hs index 04bbd68..a96cf15 100644 --- a/lib/Numeric/LinearAlgebra/Instances.hs +++ b/lib/Numeric/LinearAlgebra/Instances.hs | |||
@@ -190,8 +190,8 @@ instance (Linear Vector a, Floating (Vector a), Fractional (Matrix a)) => Floati | |||
190 | 190 | ||
191 | --------------------------------------------------------------- | 191 | --------------------------------------------------------------- |
192 | 192 | ||
193 | instance (Storable a) => Monoid (Vector a) where | 193 | instance (Storable a, Num (Vector a)) => Monoid (Vector a) where |
194 | mempty = V { dim = 0, fptr = undefined } | 194 | mempty = 0 { dim = 0 } |
195 | mappend a b = mconcat [a,b] | 195 | mappend a b = mconcat [a,b] |
196 | mconcat = j . filter ((>0).dim) | 196 | mconcat = j . filter ((>0).dim) |
197 | where j [] = mempty | 197 | where j [] = mempty |
diff --git a/lib/Numeric/LinearAlgebra/LAPACK.hs b/lib/Numeric/LinearAlgebra/LAPACK.hs index 30a3d3b..2eae9b7 100644 --- a/lib/Numeric/LinearAlgebra/LAPACK.hs +++ b/lib/Numeric/LinearAlgebra/LAPACK.hs | |||
@@ -1,4 +1,3 @@ | |||
1 | {-# OPTIONS_GHC #-} | ||
2 | ----------------------------------------------------------------------------- | 1 | ----------------------------------------------------------------------------- |
3 | -- | | 2 | -- | |
4 | -- Module : Numeric.LinearAlgebra.LAPACK | 3 | -- Module : Numeric.LinearAlgebra.LAPACK |
@@ -9,21 +8,34 @@ | |||
9 | -- Stability : provisional | 8 | -- Stability : provisional |
10 | -- Portability : portable (uses FFI) | 9 | -- Portability : portable (uses FFI) |
11 | -- | 10 | -- |
12 | -- Wrappers for a few LAPACK functions (<http://www.netlib.org/lapack>). | 11 | -- Functional interface to selected LAPACK functions (<http://www.netlib.org/lapack>). |
13 | -- | 12 | -- |
14 | ----------------------------------------------------------------------------- | 13 | ----------------------------------------------------------------------------- |
15 | 14 | ||
16 | module Numeric.LinearAlgebra.LAPACK ( | 15 | module Numeric.LinearAlgebra.LAPACK ( |
16 | -- * Matrix product | ||
17 | multiplyR, multiplyC, | 17 | multiplyR, multiplyC, |
18 | svdR, svdRdd, svdC, | 18 | -- * Linear systems |
19 | eigC, eigR, eigS, eigH, eigS', eigH', | ||
20 | linearSolveR, linearSolveC, | 19 | linearSolveR, linearSolveC, |
20 | lusR, lusC, | ||
21 | linearSolveLSR, linearSolveLSC, | 21 | linearSolveLSR, linearSolveLSC, |
22 | linearSolveSVDR, linearSolveSVDC, | 22 | linearSolveSVDR, linearSolveSVDC, |
23 | luR, luC, lusR, lusC, | 23 | -- * SVD |
24 | svR, svRd, svC, svCd, | ||
25 | svdR, svdRd, svdC, svdCd, | ||
26 | thinSVDR, thinSVDRd, thinSVDC, thinSVDCd, | ||
27 | rightSVR, rightSVC, leftSVR, leftSVC, | ||
28 | -- * Eigensystems | ||
29 | eigR, eigC, eigS, eigS', eigH, eigH', | ||
30 | -- * LU | ||
31 | luR, luC, | ||
32 | -- * Cholesky | ||
24 | cholS, cholH, | 33 | cholS, cholH, |
34 | -- * QR | ||
25 | qrR, qrC, | 35 | qrR, qrC, |
36 | -- * Hessenberg | ||
26 | hessR, hessC, | 37 | hessR, hessC, |
38 | -- * Schur | ||
27 | schurR, schurC | 39 | schurR, schurC |
28 | ) where | 40 | ) where |
29 | 41 | ||
@@ -61,28 +73,27 @@ multiplyC :: Matrix (Complex Double) -> Matrix (Complex Double) -> Matrix (Compl | |||
61 | multiplyC a b = multiplyAux zgemmc "zgemmc" a b | 73 | multiplyC a b = multiplyAux zgemmc "zgemmc" a b |
62 | 74 | ||
63 | ----------------------------------------------------------------------------- | 75 | ----------------------------------------------------------------------------- |
64 | foreign import ccall "LAPACK/lapack-aux.h svd_l_R" dgesvd :: TMMVM | 76 | foreign import ccall "svd_l_R" dgesvd :: TMMVM |
65 | foreign import ccall "LAPACK/lapack-aux.h svd_l_C" zgesvd :: TCMCMVCM | 77 | foreign import ccall "svd_l_C" zgesvd :: TCMCMVCM |
66 | foreign import ccall "LAPACK/lapack-aux.h svd_l_Rdd" dgesdd :: TMMVM | 78 | foreign import ccall "svd_l_Rdd" dgesdd :: TMMVM |
79 | foreign import ccall "svd_l_Cdd" zgesdd :: TCMCMVCM | ||
67 | 80 | ||
68 | -- | Wrapper for LAPACK's /dgesvd/, which computes the full svd decomposition of a real matrix. | 81 | -- | Full SVD of a real matrix using LAPACK's /dgesvd/. |
69 | -- | ||
70 | -- @(u,s,v)=full svdR m@ so that @m=u \<\> s \<\> 'trans' v@. | ||
71 | svdR :: Matrix Double -> (Matrix Double, Vector Double, Matrix Double) | 82 | svdR :: Matrix Double -> (Matrix Double, Vector Double, Matrix Double) |
72 | svdR = svdAux dgesvd "svdR" . fmat | 83 | svdR = svdAux dgesvd "svdR" . fmat |
73 | 84 | ||
74 | -- | Wrapper for LAPACK's /dgesvd/, which computes the full svd decomposition of a real matrix. | 85 | -- | Full SVD of a real matrix using LAPACK's /dgesdd/. |
75 | -- | 86 | svdRd :: Matrix Double -> (Matrix Double, Vector Double, Matrix Double) |
76 | -- @(u,s,v)=full svdRdd m@ so that @m=u \<\> s \<\> 'trans' v@. | 87 | svdRd = svdAux dgesdd "svdRdd" . fmat |
77 | svdRdd :: Matrix Double -> (Matrix Double, Vector Double, Matrix Double) | ||
78 | svdRdd = svdAux dgesdd "svdRdd" . fmat | ||
79 | 88 | ||
80 | -- | Wrapper for LAPACK's /zgesvd/, which computes the full svd decomposition of a complex matrix. | 89 | -- | Full SVD of a complex matrix using LAPACK's /zgesvd/. |
81 | -- | ||
82 | -- @(u,s,v)=full svdC m@ so that @m=u \<\> comp s \<\> 'trans' v@. | ||
83 | svdC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector Double, Matrix (Complex Double)) | 90 | svdC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector Double, Matrix (Complex Double)) |
84 | svdC = svdAux zgesvd "svdC" . fmat | 91 | svdC = svdAux zgesvd "svdC" . fmat |
85 | 92 | ||
93 | -- | Full SVD of a complex matrix using LAPACK's /zgesdd/. | ||
94 | svdCd :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector Double, Matrix (Complex Double)) | ||
95 | svdCd = svdAux zgesdd "svdCdd" . fmat | ||
96 | |||
86 | svdAux f st x = unsafePerformIO $ do | 97 | svdAux f st x = unsafePerformIO $ do |
87 | u <- createMatrix ColumnMajor r r | 98 | u <- createMatrix ColumnMajor r r |
88 | s <- createVector (min r c) | 99 | s <- createVector (min r c) |
@@ -92,7 +103,104 @@ svdAux f st x = unsafePerformIO $ do | |||
92 | where r = rows x | 103 | where r = rows x |
93 | c = cols x | 104 | c = cols x |
94 | 105 | ||
106 | |||
107 | -- | Thin SVD of a real matrix, using LAPACK's /dgesvd/ with jobu == jobvt == \'S\'. | ||
108 | thinSVDR :: Matrix Double -> (Matrix Double, Vector Double, Matrix Double) | ||
109 | thinSVDR = thinSVDAux dgesvd "thinSVDR" . fmat | ||
110 | |||
111 | -- | Thin SVD of a complex matrix, using LAPACK's /zgesvd/ with jobu == jobvt == \'S\'. | ||
112 | thinSVDC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector Double, Matrix (Complex Double)) | ||
113 | thinSVDC = thinSVDAux zgesvd "thinSVDC" . fmat | ||
114 | |||
115 | -- | Thin SVD of a real matrix, using LAPACK's /dgesdd/ with jobz == \'S\'. | ||
116 | thinSVDRd :: Matrix Double -> (Matrix Double, Vector Double, Matrix Double) | ||
117 | thinSVDRd = thinSVDAux dgesdd "thinSVDRdd" . fmat | ||
118 | |||
119 | -- | Thin SVD of a complex matrix, using LAPACK's /zgesdd/ with jobz == \'S\'. | ||
120 | thinSVDCd :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector Double, Matrix (Complex Double)) | ||
121 | thinSVDCd = thinSVDAux zgesdd "thinSVDCdd" . fmat | ||
122 | |||
123 | thinSVDAux f st x = unsafePerformIO $ do | ||
124 | u <- createMatrix ColumnMajor r q | ||
125 | s <- createVector q | ||
126 | v <- createMatrix ColumnMajor q c | ||
127 | app4 f mat x mat u vec s mat v st | ||
128 | return (u,s,trans v) | ||
129 | where r = rows x | ||
130 | c = cols x | ||
131 | q = min r c | ||
132 | |||
133 | |||
134 | -- | Singular values of a real matrix, using LAPACK's /dgesvd/ with jobu == jobvt == \'N\'. | ||
135 | svR :: Matrix Double -> Vector Double | ||
136 | svR = svAux dgesvd "svR" . fmat | ||
137 | |||
138 | -- | Singular values of a complex matrix, using LAPACK's /zgesvd/ with jobu == jobvt == \'N\'. | ||
139 | svC :: Matrix (Complex Double) -> Vector Double | ||
140 | svC = svAux zgesvd "svC" . fmat | ||
141 | |||
142 | -- | Singular values of a real matrix, using LAPACK's /dgesdd/ with jobz == \'N\'. | ||
143 | svRd :: Matrix Double -> Vector Double | ||
144 | svRd = svAux dgesdd "svRd" . fmat | ||
145 | |||
146 | -- | Singular values of a complex matrix, using LAPACK's /zgesdd/ with jobz == \'N\'. | ||
147 | svCd :: Matrix (Complex Double) -> Vector Double | ||
148 | svCd = svAux zgesdd "svCd" . fmat | ||
149 | |||
150 | svAux f st x = unsafePerformIO $ do | ||
151 | s <- createVector q | ||
152 | app2 g mat x vec s st | ||
153 | return s | ||
154 | where r = rows x | ||
155 | c = cols x | ||
156 | q = min r c | ||
157 | g ra ca pa nb pb = f ra ca pa 0 0 nullPtr nb pb 0 0 nullPtr | ||
158 | |||
159 | |||
160 | -- | Singular values and all right singular vectors of a real matrix, using LAPACK's /dgesvd/ with jobu == \'N\' and jobvt == \'A\'. | ||
161 | rightSVR :: Matrix Double -> (Vector Double, Matrix Double) | ||
162 | rightSVR = rightSVAux dgesvd "rightSVR" . fmat | ||
163 | |||
164 | -- | Singular values and all right singular vectors of a complex matrix, using LAPACK's /zgesvd/ with jobu == \'N\' and jobvt == \'A\'. | ||
165 | rightSVC :: Matrix (Complex Double) -> (Vector Double, Matrix (Complex Double)) | ||
166 | rightSVC = rightSVAux zgesvd "rightSVC" . fmat | ||
167 | |||
168 | rightSVAux f st x = unsafePerformIO $ do | ||
169 | s <- createVector q | ||
170 | v <- createMatrix ColumnMajor c c | ||
171 | app3 g mat x vec s mat v st | ||
172 | return (s,trans v) | ||
173 | where r = rows x | ||
174 | c = cols x | ||
175 | q = min r c | ||
176 | g ra ca pa = f ra ca pa 0 0 nullPtr | ||
177 | |||
178 | |||
179 | -- | Singular values and all left singular vectors of a real matrix, using LAPACK's /dgesvd/ with jobu == \'A\' and jobvt == \'N\'. | ||
180 | leftSVR :: Matrix Double -> (Matrix Double, Vector Double) | ||
181 | leftSVR = leftSVAux dgesvd "leftSVR" . fmat | ||
182 | |||
183 | -- | Singular values and all left singular vectors of a complex matrix, using LAPACK's /zgesvd/ with jobu == \'A\' and jobvt == \'N\'. | ||
184 | leftSVC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector Double) | ||
185 | leftSVC = leftSVAux zgesvd "leftSVC" . fmat | ||
186 | |||
187 | leftSVAux f st x = unsafePerformIO $ do | ||
188 | u <- createMatrix ColumnMajor r r | ||
189 | s <- createVector q | ||
190 | app3 g mat x mat u vec s st | ||
191 | return (u,s) | ||
192 | where r = rows x | ||
193 | c = cols x | ||
194 | q = min r c | ||
195 | g ra ca pa ru cu pu nb pb = f ra ca pa ru cu pu nb pb 0 0 nullPtr | ||
196 | |||
95 | ----------------------------------------------------------------------------- | 197 | ----------------------------------------------------------------------------- |
198 | |||
199 | foreign import ccall "LAPACK/lapack-aux.h eig_l_R" dgeev :: TMMCVM | ||
200 | foreign import ccall "LAPACK/lapack-aux.h eig_l_C" zgeev :: TCMCMCVCM | ||
201 | foreign import ccall "LAPACK/lapack-aux.h eig_l_S" dsyev :: TMVM | ||
202 | foreign import ccall "LAPACK/lapack-aux.h eig_l_H" zheev :: TCMVCM | ||
203 | |||
96 | eigAux f st m | 204 | eigAux f st m |
97 | | r == 1 = (fromList [flatten m `at` 0], singleton 1) | 205 | | r == 1 = (fromList [flatten m `at` 0], singleton 1) |
98 | | otherwise = unsafePerformIO $ do | 206 | | otherwise = unsafePerformIO $ do |
@@ -104,28 +212,13 @@ eigAux f st m | |||
104 | where r = rows m | 212 | where r = rows m |
105 | 213 | ||
106 | 214 | ||
107 | foreign import ccall "LAPACK/lapack-aux.h eig_l_C" zgeev :: TCMCMCVCM | 215 | -- | Eigenvalues and right eigenvectors of a general complex matrix, using LAPACK's /zgeev/. |
108 | foreign import ccall "LAPACK/lapack-aux.h eig_l_R" dgeev :: TMMCVM | 216 | -- The eigenvectors are the columns of v. The eigenvalues are not sorted. |
109 | foreign import ccall "LAPACK/lapack-aux.h eig_l_S" dsyev :: TMVM | ||
110 | foreign import ccall "LAPACK/lapack-aux.h eig_l_H" zheev :: TCMVCM | ||
111 | |||
112 | -- | Wrapper for LAPACK's /zgeev/, which computes the eigenvalues and right eigenvectors of a general complex matrix: | ||
113 | -- | ||
114 | -- if @(l,v)=eigC m@ then @m \<\> v = v \<\> diag l@. | ||
115 | -- | ||
116 | -- The eigenvectors are the columns of v. | ||
117 | -- The eigenvalues are not sorted. | ||
118 | eigC :: Matrix (Complex Double) -> (Vector (Complex Double), Matrix (Complex Double)) | 217 | eigC :: Matrix (Complex Double) -> (Vector (Complex Double), Matrix (Complex Double)) |
119 | eigC = eigAux zgeev "eigC" . fmat | 218 | eigC = eigAux zgeev "eigC" . fmat |
120 | 219 | ||
121 | ----------------------------------------------------------------------------- | 220 | -- | Eigenvalues and right eigenvectors of a general real matrix, using LAPACK's /dgeev/. |
122 | 221 | -- The eigenvectors are the columns of v. The eigenvalues are not sorted. | |
123 | -- | Wrapper for LAPACK's /dgeev/, which computes the eigenvalues and right eigenvectors of a general real matrix: | ||
124 | -- | ||
125 | -- if @(l,v)=eigR m@ then @m \<\> v = v \<\> diag l@. | ||
126 | -- | ||
127 | -- The eigenvectors are the columns of v. | ||
128 | -- The eigenvalues are not sorted. | ||
129 | eigR :: Matrix Double -> (Vector (Complex Double), Matrix (Complex Double)) | 222 | eigR :: Matrix Double -> (Vector (Complex Double), Matrix (Complex Double)) |
130 | eigR m = (s', v'') | 223 | eigR m = (s', v'') |
131 | where (s,v) = eigRaux (fmat m) | 224 | where (s,v) = eigRaux (fmat m) |
@@ -155,17 +248,16 @@ fixeig _ _ = error "fixeig with impossible inputs" | |||
155 | 248 | ||
156 | ----------------------------------------------------------------------------- | 249 | ----------------------------------------------------------------------------- |
157 | 250 | ||
158 | -- | Wrapper for LAPACK's /dsyev/, which computes the eigenvalues and right eigenvectors of a symmetric real matrix: | 251 | -- | Eigenvalues and right eigenvectors of a symmetric real matrix, using LAPACK's /dsyev/. |
159 | -- | ||
160 | -- if @(l,v)=eigSl m@ then @m \<\> v = v \<\> diag l@. | ||
161 | -- | ||
162 | -- The eigenvectors are the columns of v. | 252 | -- The eigenvectors are the columns of v. |
163 | -- The eigenvalues are sorted in descending order (use eigS' for ascending order). | 253 | -- The eigenvalues are sorted in descending order (use 'eigS'' for ascending order). |
164 | eigS :: Matrix Double -> (Vector Double, Matrix Double) | 254 | eigS :: Matrix Double -> (Vector Double, Matrix Double) |
165 | eigS m = (s', fliprl v) | 255 | eigS m = (s', fliprl v) |
166 | where (s,v) = eigS' (fmat m) | 256 | where (s,v) = eigS' (fmat m) |
167 | s' = fromList . reverse . toList $ s | 257 | s' = fromList . reverse . toList $ s |
168 | 258 | ||
259 | -- | 'eigS' in ascending order | ||
260 | eigS' :: Matrix Double -> (Vector Double, Matrix Double) | ||
169 | eigS' m | 261 | eigS' m |
170 | | r == 1 = (fromList [flatten m `at` 0], singleton 1) | 262 | | r == 1 = (fromList [flatten m `at` 0], singleton 1) |
171 | | otherwise = unsafePerformIO $ do | 263 | | otherwise = unsafePerformIO $ do |
@@ -177,17 +269,16 @@ eigS' m | |||
177 | 269 | ||
178 | ----------------------------------------------------------------------------- | 270 | ----------------------------------------------------------------------------- |
179 | 271 | ||
180 | -- | Wrapper for LAPACK's /zheev/, which computes the eigenvalues and right eigenvectors of a hermitian complex matrix: | 272 | -- | Eigenvalues and right eigenvectors of a hermitian complex matrix, using LAPACK's /zheev/. |
181 | -- | ||
182 | -- if @(l,v)=eigH m@ then @m \<\> s v = v \<\> diag l@. | ||
183 | -- | ||
184 | -- The eigenvectors are the columns of v. | 273 | -- The eigenvectors are the columns of v. |
185 | -- The eigenvalues are sorted in descending order (use eigH' for ascending order). | 274 | -- The eigenvalues are sorted in descending order (use 'eigH'' for ascending order). |
186 | eigH :: Matrix (Complex Double) -> (Vector Double, Matrix (Complex Double)) | 275 | eigH :: Matrix (Complex Double) -> (Vector Double, Matrix (Complex Double)) |
187 | eigH m = (s', fliprl v) | 276 | eigH m = (s', fliprl v) |
188 | where (s,v) = eigH' (fmat m) | 277 | where (s,v) = eigH' (fmat m) |
189 | s' = fromList . reverse . toList $ s | 278 | s' = fromList . reverse . toList $ s |
190 | 279 | ||
280 | -- | 'eigH' in ascending order | ||
281 | eigH' :: Matrix (Complex Double) -> (Vector Double, Matrix (Complex Double)) | ||
191 | eigH' m | 282 | eigH' m |
192 | | r == 1 = (fromList [realPart (flatten m `at` 0)], singleton 1) | 283 | | r == 1 = (fromList [realPart (flatten m `at` 0)], singleton 1) |
193 | | otherwise = unsafePerformIO $ do | 284 | | otherwise = unsafePerformIO $ do |
@@ -212,11 +303,11 @@ linearSolveSQAux f st a b | |||
212 | r = rows b | 303 | r = rows b |
213 | c = cols b | 304 | c = cols b |
214 | 305 | ||
215 | -- | Wrapper for LAPACK's /dgesv/, which solves a general real linear system (for several right-hand sides) internally using the lu decomposition. | 306 | -- | Solve a real linear system (for square coefficient matrix and several right-hand sides) using the LU decomposition, based on LAPACK's /dgesv/. For underconstrained or overconstrained systems use 'linearSolveLSR' or 'linearSolveSVDR'. See also 'lusR'. |
216 | linearSolveR :: Matrix Double -> Matrix Double -> Matrix Double | 307 | linearSolveR :: Matrix Double -> Matrix Double -> Matrix Double |
217 | linearSolveR a b = linearSolveSQAux dgesv "linearSolveR" (fmat a) (fmat b) | 308 | linearSolveR a b = linearSolveSQAux dgesv "linearSolveR" (fmat a) (fmat b) |
218 | 309 | ||
219 | -- | Wrapper for LAPACK's /zgesv/, which solves a general complex linear system (for several right-hand sides) internally using the lu decomposition. | 310 | -- | Solve a complex linear system (for square coefficient matrix and several right-hand sides) using the LU decomposition, based on LAPACK's /zgesv/. For underconstrained or overconstrained systems use 'linearSolveLSC' or 'linearSolveSVDC'. See also 'lusC'. |
220 | linearSolveC :: Matrix (Complex Double) -> Matrix (Complex Double) -> Matrix (Complex Double) | 311 | linearSolveC :: Matrix (Complex Double) -> Matrix (Complex Double) -> Matrix (Complex Double) |
221 | linearSolveC a b = linearSolveSQAux zgesv "linearSolveC" (fmat a) (fmat b) | 312 | linearSolveC a b = linearSolveSQAux zgesv "linearSolveC" (fmat a) (fmat b) |
222 | 313 | ||
@@ -234,17 +325,17 @@ linearSolveAux f st a b = unsafePerformIO $ do | |||
234 | n = cols a | 325 | n = cols a |
235 | nrhs = cols b | 326 | nrhs = cols b |
236 | 327 | ||
237 | -- | Wrapper for LAPACK's /dgels/, which obtains the least squared error solution of an overconstrained real linear system or the minimum norm solution of an underdetermined system, for several right-hand sides. For rank deficient systems use 'linearSolveSVDR'. | 328 | -- | Least squared error solution of an overconstrained real linear system, or the minimum norm solution of an underconstrained system, using LAPACK's /dgels/. For rank-deficient systems use 'linearSolveSVDR'. |
238 | linearSolveLSR :: Matrix Double -> Matrix Double -> Matrix Double | 329 | linearSolveLSR :: Matrix Double -> Matrix Double -> Matrix Double |
239 | linearSolveLSR a b = subMatrix (0,0) (cols a, cols b) $ | 330 | linearSolveLSR a b = subMatrix (0,0) (cols a, cols b) $ |
240 | linearSolveAux dgels "linearSolverLSR" (fmat a) (fmat b) | 331 | linearSolveAux dgels "linearSolverLSR" (fmat a) (fmat b) |
241 | 332 | ||
242 | -- | Wrapper for LAPACK's /zgels/, which obtains the least squared error solution of an overconstrained complex linear system or the minimum norm solution of an underdetermined system, for several right-hand sides. For rank deficient systems use 'linearSolveSVDC'. | 333 | -- | Least squared error solution of an overconstrained complex linear system, or the minimum norm solution of an underconstrained system, using LAPACK's /zgels/. For rank-deficient systems use 'linearSolveSVDC'. |
243 | linearSolveLSC :: Matrix (Complex Double) -> Matrix (Complex Double) -> Matrix (Complex Double) | 334 | linearSolveLSC :: Matrix (Complex Double) -> Matrix (Complex Double) -> Matrix (Complex Double) |
244 | linearSolveLSC a b = subMatrix (0,0) (cols a, cols b) $ | 335 | linearSolveLSC a b = subMatrix (0,0) (cols a, cols b) $ |
245 | linearSolveAux zgels "linearSolveLSC" (fmat a) (fmat b) | 336 | linearSolveAux zgels "linearSolveLSC" (fmat a) (fmat b) |
246 | 337 | ||
247 | -- | Wrapper for LAPACK's /dgelss/, which obtains the minimum norm solution to a real linear least squares problem Ax=B using the svd, for several right-hand sides. Admits rank deficient systems but it is slower than 'linearSolveLSR'. The effective rank of A is determined by treating as zero those singular valures which are less than rcond times the largest singular value. If rcond == Nothing machine precision is used. | 338 | -- | Minimum norm solution of a general real linear least squares problem Ax=B using the SVD, based on LAPACK's /dgelss/. Admits rank-deficient systems but it is slower than 'linearSolveLSR'. The effective rank of A is determined by treating as zero those singular valures which are less than rcond times the largest singular value. If rcond == Nothing machine precision is used. |
248 | linearSolveSVDR :: Maybe Double -- ^ rcond | 339 | linearSolveSVDR :: Maybe Double -- ^ rcond |
249 | -> Matrix Double -- ^ coefficient matrix | 340 | -> Matrix Double -- ^ coefficient matrix |
250 | -> Matrix Double -- ^ right hand sides (as columns) | 341 | -> Matrix Double -- ^ right hand sides (as columns) |
@@ -253,7 +344,7 @@ linearSolveSVDR (Just rcond) a b = subMatrix (0,0) (cols a, cols b) $ | |||
253 | linearSolveAux (dgelss rcond) "linearSolveSVDR" (fmat a) (fmat b) | 344 | linearSolveAux (dgelss rcond) "linearSolveSVDR" (fmat a) (fmat b) |
254 | linearSolveSVDR Nothing a b = linearSolveSVDR (Just (-1)) (fmat a) (fmat b) | 345 | linearSolveSVDR Nothing a b = linearSolveSVDR (Just (-1)) (fmat a) (fmat b) |
255 | 346 | ||
256 | -- | Wrapper for LAPACK's /zgelss/, which obtains the minimum norm solution to a complex linear least squares problem Ax=B using the svd, for several right-hand sides. Admits rank deficient systems but it is slower than 'linearSolveLSC'. The effective rank of A is determined by treating as zero those singular valures which are less than rcond times the largest singular value. If rcond == Nothing machine precision is used. | 347 | -- | Minimum norm solution of a general complex linear least squares problem Ax=B using the SVD, based on LAPACK's /zgelss/. Admits rank-deficient systems but it is slower than 'linearSolveLSC'. The effective rank of A is determined by treating as zero those singular valures which are less than rcond times the largest singular value. If rcond == Nothing machine precision is used. |
257 | linearSolveSVDC :: Maybe Double -- ^ rcond | 348 | linearSolveSVDC :: Maybe Double -- ^ rcond |
258 | -> Matrix (Complex Double) -- ^ coefficient matrix | 349 | -> Matrix (Complex Double) -- ^ coefficient matrix |
259 | -> Matrix (Complex Double) -- ^ right hand sides (as columns) | 350 | -> Matrix (Complex Double) -- ^ right hand sides (as columns) |
@@ -266,13 +357,11 @@ linearSolveSVDC Nothing a b = linearSolveSVDC (Just (-1)) (fmat a) (fmat b) | |||
266 | foreign import ccall "LAPACK/lapack-aux.h chol_l_H" zpotrf :: TCMCM | 357 | foreign import ccall "LAPACK/lapack-aux.h chol_l_H" zpotrf :: TCMCM |
267 | foreign import ccall "LAPACK/lapack-aux.h chol_l_S" dpotrf :: TMM | 358 | foreign import ccall "LAPACK/lapack-aux.h chol_l_S" dpotrf :: TMM |
268 | 359 | ||
269 | -- | Wrapper for LAPACK's /zpotrf/, which computes the Cholesky factorization of a | 360 | -- | Cholesky factorization of a complex Hermitian positive definite matrix, using LAPACK's /zpotrf/. |
270 | -- complex Hermitian positive definite matrix. | ||
271 | cholH :: Matrix (Complex Double) -> Matrix (Complex Double) | 361 | cholH :: Matrix (Complex Double) -> Matrix (Complex Double) |
272 | cholH = cholAux zpotrf "cholH" . fmat | 362 | cholH = cholAux zpotrf "cholH" . fmat |
273 | 363 | ||
274 | -- | Wrapper for LAPACK's /dpotrf/, which computes the Cholesky factorization of a | 364 | -- | Cholesky factorization of a real symmetric positive definite matrix, using LAPACK's /dpotrf/. |
275 | -- real symmetric positive definite matrix. | ||
276 | cholS :: Matrix Double -> Matrix Double | 365 | cholS :: Matrix Double -> Matrix Double |
277 | cholS = cholAux dpotrf "cholS" . fmat | 366 | cholS = cholAux dpotrf "cholS" . fmat |
278 | 367 | ||
@@ -286,11 +375,11 @@ cholAux f st a = unsafePerformIO $ do | |||
286 | foreign import ccall "LAPACK/lapack-aux.h qr_l_R" dgeqr2 :: TMVM | 375 | foreign import ccall "LAPACK/lapack-aux.h qr_l_R" dgeqr2 :: TMVM |
287 | foreign import ccall "LAPACK/lapack-aux.h qr_l_C" zgeqr2 :: TCMCVCM | 376 | foreign import ccall "LAPACK/lapack-aux.h qr_l_C" zgeqr2 :: TCMCVCM |
288 | 377 | ||
289 | -- | Wrapper for LAPACK's /dgeqr2/, which computes a QR factorization of a real matrix. | 378 | -- | QR factorization of a real matrix, using LAPACK's /dgeqr2/. |
290 | qrR :: Matrix Double -> (Matrix Double, Vector Double) | 379 | qrR :: Matrix Double -> (Matrix Double, Vector Double) |
291 | qrR = qrAux dgeqr2 "qrR" . fmat | 380 | qrR = qrAux dgeqr2 "qrR" . fmat |
292 | 381 | ||
293 | -- | Wrapper for LAPACK's /zgeqr2/, which computes a QR factorization of a complex matrix. | 382 | -- | QR factorization of a complex matrix, using LAPACK's /zgeqr2/. |
294 | qrC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector (Complex Double)) | 383 | qrC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector (Complex Double)) |
295 | qrC = qrAux zgeqr2 "qrC" . fmat | 384 | qrC = qrAux zgeqr2 "qrC" . fmat |
296 | 385 | ||
@@ -307,11 +396,11 @@ qrAux f st a = unsafePerformIO $ do | |||
307 | foreign import ccall "LAPACK/lapack-aux.h hess_l_R" dgehrd :: TMVM | 396 | foreign import ccall "LAPACK/lapack-aux.h hess_l_R" dgehrd :: TMVM |
308 | foreign import ccall "LAPACK/lapack-aux.h hess_l_C" zgehrd :: TCMCVCM | 397 | foreign import ccall "LAPACK/lapack-aux.h hess_l_C" zgehrd :: TCMCVCM |
309 | 398 | ||
310 | -- | Wrapper for LAPACK's /dgehrd/, which computes a Hessenberg factorization of a square real matrix. | 399 | -- | Hessenberg factorization of a square real matrix, using LAPACK's /dgehrd/. |
311 | hessR :: Matrix Double -> (Matrix Double, Vector Double) | 400 | hessR :: Matrix Double -> (Matrix Double, Vector Double) |
312 | hessR = hessAux dgehrd "hessR" . fmat | 401 | hessR = hessAux dgehrd "hessR" . fmat |
313 | 402 | ||
314 | -- | Wrapper for LAPACK's /zgehrd/, which computes a Hessenberg factorization of a square complex matrix. | 403 | -- | Hessenberg factorization of a square complex matrix, using LAPACK's /zgehrd/. |
315 | hessC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector (Complex Double)) | 404 | hessC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector (Complex Double)) |
316 | hessC = hessAux zgehrd "hessC" . fmat | 405 | hessC = hessAux zgehrd "hessC" . fmat |
317 | 406 | ||
@@ -328,11 +417,11 @@ hessAux f st a = unsafePerformIO $ do | |||
328 | foreign import ccall "LAPACK/lapack-aux.h schur_l_R" dgees :: TMMM | 417 | foreign import ccall "LAPACK/lapack-aux.h schur_l_R" dgees :: TMMM |
329 | foreign import ccall "LAPACK/lapack-aux.h schur_l_C" zgees :: TCMCMCM | 418 | foreign import ccall "LAPACK/lapack-aux.h schur_l_C" zgees :: TCMCMCM |
330 | 419 | ||
331 | -- | Wrapper for LAPACK's /dgees/, which computes a Schur factorization of a square real matrix. | 420 | -- | Schur factorization of a square real matrix, using LAPACK's /dgees/. |
332 | schurR :: Matrix Double -> (Matrix Double, Matrix Double) | 421 | schurR :: Matrix Double -> (Matrix Double, Matrix Double) |
333 | schurR = schurAux dgees "schurR" . fmat | 422 | schurR = schurAux dgees "schurR" . fmat |
334 | 423 | ||
335 | -- | Wrapper for LAPACK's /zgees/, which computes a Schur factorization of a square complex matrix. | 424 | -- | Schur factorization of a square complex matrix, using LAPACK's /zgees/. |
336 | schurC :: Matrix (Complex Double) -> (Matrix (Complex Double), Matrix (Complex Double)) | 425 | schurC :: Matrix (Complex Double) -> (Matrix (Complex Double), Matrix (Complex Double)) |
337 | schurC = schurAux zgees "schurC" . fmat | 426 | schurC = schurAux zgees "schurC" . fmat |
338 | 427 | ||
@@ -347,11 +436,11 @@ schurAux f st a = unsafePerformIO $ do | |||
347 | foreign import ccall "LAPACK/lapack-aux.h lu_l_R" dgetrf :: TMVM | 436 | foreign import ccall "LAPACK/lapack-aux.h lu_l_R" dgetrf :: TMVM |
348 | foreign import ccall "LAPACK/lapack-aux.h lu_l_C" zgetrf :: TCMVCM | 437 | foreign import ccall "LAPACK/lapack-aux.h lu_l_C" zgetrf :: TCMVCM |
349 | 438 | ||
350 | -- | Wrapper for LAPACK's /dgetrf/, which computes a LU factorization of a general real matrix. | 439 | -- | LU factorization of a general real matrix, using LAPACK's /dgetrf/. |
351 | luR :: Matrix Double -> (Matrix Double, [Int]) | 440 | luR :: Matrix Double -> (Matrix Double, [Int]) |
352 | luR = luAux dgetrf "luR" . fmat | 441 | luR = luAux dgetrf "luR" . fmat |
353 | 442 | ||
354 | -- | Wrapper for LAPACK's /zgees/, which computes a Schur factorization of a square complex matrix. | 443 | -- | LU factorization of a general complex matrix, using LAPACK's /zgetrf/. |
355 | luC :: Matrix (Complex Double) -> (Matrix (Complex Double), [Int]) | 444 | luC :: Matrix (Complex Double) -> (Matrix (Complex Double), [Int]) |
356 | luC = luAux zgetrf "luC" . fmat | 445 | luC = luAux zgetrf "luC" . fmat |
357 | 446 | ||
@@ -370,11 +459,11 @@ type TQ a = CInt -> CInt -> PC -> a | |||
370 | foreign import ccall "LAPACK/lapack-aux.h luS_l_R" dgetrs :: TMVMM | 459 | foreign import ccall "LAPACK/lapack-aux.h luS_l_R" dgetrs :: TMVMM |
371 | foreign import ccall "LAPACK/lapack-aux.h luS_l_C" zgetrs :: TQ (TW (TQ (TQ (IO CInt)))) | 460 | foreign import ccall "LAPACK/lapack-aux.h luS_l_C" zgetrs :: TQ (TW (TQ (TQ (IO CInt)))) |
372 | 461 | ||
373 | -- | Wrapper for LAPACK's /dgetrs/, which solves a general real linear system (for several right-hand sides) from a precomputed LU decomposition. | 462 | -- | Solve a real linear system from a precomputed LU decomposition ('luR'), using LAPACK's /dgetrs/. |
374 | lusR :: Matrix Double -> [Int] -> Matrix Double -> Matrix Double | 463 | lusR :: Matrix Double -> [Int] -> Matrix Double -> Matrix Double |
375 | lusR a piv b = lusAux dgetrs "lusR" (fmat a) piv (fmat b) | 464 | lusR a piv b = lusAux dgetrs "lusR" (fmat a) piv (fmat b) |
376 | 465 | ||
377 | -- | Wrapper for LAPACK's /zgetrs/, which solves a general real linear system (for several right-hand sides) from a precomputed LU decomposition. | 466 | -- | Solve a real linear system from a precomputed LU decomposition ('luC'), using LAPACK's /zgetrs/. |
378 | lusC :: Matrix (Complex Double) -> [Int] -> Matrix (Complex Double) -> Matrix (Complex Double) | 467 | lusC :: Matrix (Complex Double) -> [Int] -> Matrix (Complex Double) -> Matrix (Complex Double) |
379 | lusC a piv b = lusAux zgetrs "lusC" (fmat a) piv (fmat b) | 468 | lusC a piv b = lusAux zgetrs "lusC" (fmat a) piv (fmat b) |
380 | 469 | ||
diff --git a/lib/Numeric/LinearAlgebra/LAPACK/lapack-aux.c b/lib/Numeric/LinearAlgebra/LAPACK/lapack-aux.c index f18bbed..db94cc6 100644 --- a/lib/Numeric/LinearAlgebra/LAPACK/lapack-aux.c +++ b/lib/Numeric/LinearAlgebra/LAPACK/lapack-aux.c | |||
@@ -48,7 +48,27 @@ int svd_l_R(KDMAT(a),DMAT(u), DVEC(s),DMAT(v)) { | |||
48 | integer m = ar; | 48 | integer m = ar; |
49 | integer n = ac; | 49 | integer n = ac; |
50 | integer q = MIN(m,n); | 50 | integer q = MIN(m,n); |
51 | REQUIRES(ur==m && uc==m && sn==q && vr==n && vc==n,BAD_SIZE); | 51 | REQUIRES(sn==q,BAD_SIZE); |
52 | REQUIRES(up==NULL || ur==m && (uc==m || uc==q),BAD_SIZE); | ||
53 | char* jobu = "A"; | ||
54 | if (up==NULL) { | ||
55 | jobu = "N"; | ||
56 | } else { | ||
57 | if (uc==q) { | ||
58 | jobu = "S"; | ||
59 | } | ||
60 | } | ||
61 | REQUIRES(vp==NULL || vc==n && (vr==n || vr==q),BAD_SIZE); | ||
62 | char* jobvt = "A"; | ||
63 | integer ldvt = n; | ||
64 | if (vp==NULL) { | ||
65 | jobvt = "N"; | ||
66 | } else { | ||
67 | if (vr==q) { | ||
68 | jobvt = "S"; | ||
69 | ldvt = q; | ||
70 | } | ||
71 | } | ||
52 | DEBUGMSG("svd_l_R"); | 72 | DEBUGMSG("svd_l_R"); |
53 | double *B = (double*)malloc(m*n*sizeof(double)); | 73 | double *B = (double*)malloc(m*n*sizeof(double)); |
54 | CHECK(!B,MEM); | 74 | CHECK(!B,MEM); |
@@ -57,25 +77,21 @@ int svd_l_R(KDMAT(a),DMAT(u), DVEC(s),DMAT(v)) { | |||
57 | integer res; | 77 | integer res; |
58 | // ask for optimal lwork | 78 | // ask for optimal lwork |
59 | double ans; | 79 | double ans; |
60 | //printf("ask zgesvd\n"); | 80 | dgesvd_ (jobu,jobvt, |
61 | char* job = "A"; | ||
62 | dgesvd_ (job,job, | ||
63 | &m,&n,B,&m, | 81 | &m,&n,B,&m, |
64 | sp, | 82 | sp, |
65 | up,&m, | 83 | up,&m, |
66 | vp,&n, | 84 | vp,&ldvt, |
67 | &ans, &lwork, | 85 | &ans, &lwork, |
68 | &res); | 86 | &res); |
69 | lwork = ceil(ans); | 87 | lwork = ceil(ans); |
70 | //printf("ans = %d\n",lwork); | ||
71 | double * work = (double*)malloc(lwork*sizeof(double)); | 88 | double * work = (double*)malloc(lwork*sizeof(double)); |
72 | CHECK(!work,MEM); | 89 | CHECK(!work,MEM); |
73 | //printf("dgesdd\n"); | 90 | dgesvd_ (jobu,jobvt, |
74 | dgesvd_ (job,job, | ||
75 | &m,&n,B,&m, | 91 | &m,&n,B,&m, |
76 | sp, | 92 | sp, |
77 | up,&m, | 93 | up,&m, |
78 | vp,&n, | 94 | vp,&ldvt, |
79 | work, &lwork, | 95 | work, &lwork, |
80 | &res); | 96 | &res); |
81 | CHECK(res,res); | 97 | CHECK(res,res); |
@@ -90,25 +106,36 @@ int svd_l_Rdd(KDMAT(a),DMAT(u), DVEC(s),DMAT(v)) { | |||
90 | integer m = ar; | 106 | integer m = ar; |
91 | integer n = ac; | 107 | integer n = ac; |
92 | integer q = MIN(m,n); | 108 | integer q = MIN(m,n); |
93 | REQUIRES(ur==m && uc==m && sn==q && vr==n && vc==n,BAD_SIZE); | 109 | REQUIRES(sn==q,BAD_SIZE); |
110 | REQUIRES(up == NULL && vp == NULL | ||
111 | || ur==m && vc==n | ||
112 | && (uc == q && vr == q | ||
113 | || uc == m && vc==n),BAD_SIZE); | ||
114 | char* jobz = "A"; | ||
115 | integer ldvt = n; | ||
116 | if (up==NULL) { | ||
117 | jobz = "N"; | ||
118 | } else { | ||
119 | if (uc==q && vr == q) { | ||
120 | jobz = "S"; | ||
121 | ldvt = q; | ||
122 | } | ||
123 | } | ||
94 | DEBUGMSG("svd_l_Rdd"); | 124 | DEBUGMSG("svd_l_Rdd"); |
95 | double *B = (double*)malloc(m*n*sizeof(double)); | 125 | double *B = (double*)malloc(m*n*sizeof(double)); |
96 | CHECK(!B,MEM); | 126 | CHECK(!B,MEM); |
97 | memcpy(B,ap,m*n*sizeof(double)); | 127 | memcpy(B,ap,m*n*sizeof(double)); |
98 | integer* iwk = (integer*) malloc(8*q*sizeof(int)); | 128 | integer* iwk = (integer*) malloc(8*q*sizeof(integer)); |
99 | CHECK(!iwk,MEM); | 129 | CHECK(!iwk,MEM); |
100 | integer lwk = -1; | 130 | integer lwk = -1; |
101 | integer res; | 131 | integer res; |
102 | // ask for optimal lwk | 132 | // ask for optimal lwk |
103 | double ans; | 133 | double ans; |
104 | //printf("ask dgesdd\n"); | 134 | dgesdd_ (jobz,&m,&n,B,&m,sp,up,&m,vp,&ldvt,&ans,&lwk,iwk,&res); |
105 | dgesdd_ ("A",&m,&n,B,&m,sp,up,&m,vp,&n,&ans,&lwk,iwk,&res); | 135 | lwk = ans; |
106 | lwk = 2*ceil(ans); // ????? otherwise 50x100 rejects lwk | ||
107 | //printf("lwk = %d\n",lwk); | ||
108 | double * workv = (double*)malloc(lwk*sizeof(double)); | 136 | double * workv = (double*)malloc(lwk*sizeof(double)); |
109 | CHECK(!workv,MEM); | 137 | CHECK(!workv,MEM); |
110 | //printf("dgesdd\n"); | 138 | dgesdd_ (jobz,&m,&n,B,&m,sp,up,&m,vp,&ldvt,workv,&lwk,iwk,&res); |
111 | dgesdd_ ("A",&m,&n,B,&m,sp,up,&m,vp,&n,workv,&lwk,iwk,&res); | ||
112 | CHECK(res,res); | 139 | CHECK(res,res); |
113 | free(iwk); | 140 | free(iwk); |
114 | free(workv); | 141 | free(workv); |
@@ -120,17 +147,36 @@ int svd_l_Rdd(KDMAT(a),DMAT(u), DVEC(s),DMAT(v)) { | |||
120 | 147 | ||
121 | // not in clapack.h | 148 | // not in clapack.h |
122 | 149 | ||
123 | int zgesvd_(char *jobu, char *jobvt, integer *m, integer *n, | 150 | int zgesvd_(char *jobu, char *jobvt, integer *m, integer *n, |
124 | doublecomplex *a, integer *lda, doublereal *s, doublecomplex *u, | 151 | doublecomplex *a, integer *lda, doublereal *s, doublecomplex *u, |
125 | integer *ldu, doublecomplex *vt, integer *ldvt, doublecomplex *work, | 152 | integer *ldu, doublecomplex *vt, integer *ldvt, doublecomplex *work, |
126 | integer *lwork, doublereal *rwork, integer *info); | 153 | integer *lwork, doublereal *rwork, integer *info); |
127 | 154 | ||
128 | int svd_l_C(KCMAT(a),CMAT(u), DVEC(s),CMAT(v)) { | 155 | int svd_l_C(KCMAT(a),CMAT(u), DVEC(s),CMAT(v)) { |
129 | integer m = ar; | 156 | integer m = ar; |
130 | integer n = ac; | 157 | integer n = ac; |
131 | integer q = MIN(m,n); | 158 | integer q = MIN(m,n); |
132 | REQUIRES(ur==m && uc==m && sn==q && vr==n && vc==n,BAD_SIZE); | 159 | REQUIRES(sn==q,BAD_SIZE); |
133 | DEBUGMSG("svd_l_C"); | 160 | REQUIRES(up==NULL || ur==m && (uc==m || uc==q),BAD_SIZE); |
161 | char* jobu = "A"; | ||
162 | if (up==NULL) { | ||
163 | jobu = "N"; | ||
164 | } else { | ||
165 | if (uc==q) { | ||
166 | jobu = "S"; | ||
167 | } | ||
168 | } | ||
169 | REQUIRES(vp==NULL || vc==n && (vr==n || vr==q),BAD_SIZE); | ||
170 | char* jobvt = "A"; | ||
171 | integer ldvt = n; | ||
172 | if (vp==NULL) { | ||
173 | jobvt = "N"; | ||
174 | } else { | ||
175 | if (vr==q) { | ||
176 | jobvt = "S"; | ||
177 | ldvt = q; | ||
178 | } | ||
179 | }DEBUGMSG("svd_l_C"); | ||
134 | double *B = (double*)malloc(2*m*n*sizeof(double)); | 180 | double *B = (double*)malloc(2*m*n*sizeof(double)); |
135 | CHECK(!B,MEM); | 181 | CHECK(!B,MEM); |
136 | memcpy(B,ap,m*n*2*sizeof(double)); | 182 | memcpy(B,ap,m*n*2*sizeof(double)); |
@@ -141,26 +187,22 @@ int svd_l_C(KCMAT(a),CMAT(u), DVEC(s),CMAT(v)) { | |||
141 | integer res; | 187 | integer res; |
142 | // ask for optimal lwork | 188 | // ask for optimal lwork |
143 | doublecomplex ans; | 189 | doublecomplex ans; |
144 | //printf("ask zgesvd\n"); | 190 | zgesvd_ (jobu,jobvt, |
145 | char* job = "A"; | ||
146 | zgesvd_ (job,job, | ||
147 | &m,&n,(doublecomplex*)B,&m, | 191 | &m,&n,(doublecomplex*)B,&m, |
148 | sp, | 192 | sp, |
149 | (doublecomplex*)up,&m, | 193 | (doublecomplex*)up,&m, |
150 | (doublecomplex*)vp,&n, | 194 | (doublecomplex*)vp,&ldvt, |
151 | &ans, &lwork, | 195 | &ans, &lwork, |
152 | rwork, | 196 | rwork, |
153 | &res); | 197 | &res); |
154 | lwork = ceil(ans.r); | 198 | lwork = ceil(ans.r); |
155 | //printf("ans = %d\n",lwork); | ||
156 | doublecomplex * work = (doublecomplex*)malloc(lwork*2*sizeof(double)); | 199 | doublecomplex * work = (doublecomplex*)malloc(lwork*2*sizeof(double)); |
157 | CHECK(!work,MEM); | 200 | CHECK(!work,MEM); |
158 | //printf("zgesvd\n"); | 201 | zgesvd_ (jobu,jobvt, |
159 | zgesvd_ (job,job, | ||
160 | &m,&n,(doublecomplex*)B,&m, | 202 | &m,&n,(doublecomplex*)B,&m, |
161 | sp, | 203 | sp, |
162 | (doublecomplex*)up,&m, | 204 | (doublecomplex*)up,&m, |
163 | (doublecomplex*)vp,&n, | 205 | (doublecomplex*)vp,&ldvt, |
164 | work, &lwork, | 206 | work, &lwork, |
165 | rwork, | 207 | rwork, |
166 | &res); | 208 | &res); |
@@ -171,7 +213,64 @@ int svd_l_C(KCMAT(a),CMAT(u), DVEC(s),CMAT(v)) { | |||
171 | OK | 213 | OK |
172 | } | 214 | } |
173 | 215 | ||
216 | int zgesdd_ (char *jobz, integer *m, integer *n, | ||
217 | doublecomplex *a, integer *lda, doublereal *s, doublecomplex *u, | ||
218 | integer *ldu, doublecomplex *vt, integer *ldvt, doublecomplex *work, | ||
219 | integer *lwork, doublereal *rwork, integer* iwork, integer *info); | ||
174 | 220 | ||
221 | int svd_l_Cdd(KCMAT(a),CMAT(u), DVEC(s),CMAT(v)) { | ||
222 | //printf("entro\n"); | ||
223 | integer m = ar; | ||
224 | integer n = ac; | ||
225 | integer q = MIN(m,n); | ||
226 | REQUIRES(sn==q,BAD_SIZE); | ||
227 | REQUIRES(up == NULL && vp == NULL | ||
228 | || ur==m && vc==n | ||
229 | && (uc == q && vr == q | ||
230 | || uc == m && vc==n),BAD_SIZE); | ||
231 | char* jobz = "A"; | ||
232 | integer ldvt = n; | ||
233 | if (up==NULL) { | ||
234 | jobz = "N"; | ||
235 | } else { | ||
236 | if (uc==q && vr == q) { | ||
237 | jobz = "S"; | ||
238 | ldvt = q; | ||
239 | } | ||
240 | } | ||
241 | DEBUGMSG("svd_l_Cdd"); | ||
242 | doublecomplex *B = (doublecomplex*)malloc(m*n*sizeof(doublecomplex)); | ||
243 | CHECK(!B,MEM); | ||
244 | memcpy(B,ap,m*n*sizeof(doublecomplex)); | ||
245 | integer* iwk = (integer*) malloc(8*q*sizeof(integer)); | ||
246 | CHECK(!iwk,MEM); | ||
247 | int lrwk; | ||
248 | if (0 && *jobz == 'N') { | ||
249 | lrwk = 5*q; // does not work, crash at free below | ||
250 | } else { | ||
251 | lrwk = 5*q*q + 7*q; | ||
252 | } | ||
253 | double *rwk = (double*)malloc(lrwk*sizeof(double));; | ||
254 | CHECK(!rwk,MEM); | ||
255 | //printf("%s %ld %d\n",jobz,q,lrwk); | ||
256 | integer lwk = -1; | ||
257 | integer res; | ||
258 | // ask for optimal lwk | ||
259 | doublecomplex ans; | ||
260 | zgesdd_ (jobz,&m,&n,B,&m,sp,(doublecomplex*)up,&m,(doublecomplex*)vp,&ldvt,&ans,&lwk,rwk,iwk,&res); | ||
261 | lwk = ans.r; | ||
262 | //printf("lwk = %ld\n",lwk); | ||
263 | doublecomplex * workv = (doublecomplex*)malloc(lwk*sizeof(doublecomplex)); | ||
264 | CHECK(!workv,MEM); | ||
265 | zgesdd_ (jobz,&m,&n,B,&m,sp,(doublecomplex*)up,&m,(doublecomplex*)vp,&ldvt,workv,&lwk,rwk,iwk,&res); | ||
266 | //printf("res = %ld\n",res); | ||
267 | CHECK(res,res); | ||
268 | free(workv); // printf("freed workv\n"); | ||
269 | free(rwk); // printf("freed rwk\n"); | ||
270 | free(iwk); // printf("freed iwk\n"); | ||
271 | free(B); // printf("freed B, salgo\n"); | ||
272 | OK | ||
273 | } | ||
175 | 274 | ||
176 | //////////////////// general complex eigensystem //////////// | 275 | //////////////////// general complex eigensystem //////////// |
177 | 276 | ||
diff --git a/lib/Numeric/LinearAlgebra/Tests.hs b/lib/Numeric/LinearAlgebra/Tests.hs index e591285..efc8c40 100644 --- a/lib/Numeric/LinearAlgebra/Tests.hs +++ b/lib/Numeric/LinearAlgebra/Tests.hs | |||
@@ -22,6 +22,7 @@ module Numeric.LinearAlgebra.Tests( | |||
22 | ) where | 22 | ) where |
23 | 23 | ||
24 | import Numeric.LinearAlgebra | 24 | import Numeric.LinearAlgebra |
25 | import Numeric.LinearAlgebra.LAPACK | ||
25 | import Numeric.LinearAlgebra.Tests.Instances | 26 | import Numeric.LinearAlgebra.Tests.Instances |
26 | import Numeric.LinearAlgebra.Tests.Properties | 27 | import Numeric.LinearAlgebra.Tests.Properties |
27 | import Test.HUnit hiding ((~:),test,Testable) | 28 | import Test.HUnit hiding ((~:),test,Testable) |
@@ -186,8 +187,24 @@ runTests n = do | |||
186 | putStrLn "------ svd" | 187 | putStrLn "------ svd" |
187 | test (svdProp1 . rM) | 188 | test (svdProp1 . rM) |
188 | test (svdProp1 . cM) | 189 | test (svdProp1 . cM) |
189 | test (svdProp2 . rM) | 190 | test (svdProp1a svdR) |
190 | test (svdProp2 . cM) | 191 | test (svdProp1a svdC) |
192 | test (svdProp1a svdRd) | ||
193 | test (svdProp1a svdCd) | ||
194 | test (svdProp2 thinSVDR) | ||
195 | test (svdProp2 thinSVDC) | ||
196 | test (svdProp2 thinSVDRd) | ||
197 | test (svdProp2 thinSVDCd) | ||
198 | test (svdProp3 . rM) | ||
199 | test (svdProp3 . cM) | ||
200 | test (svdProp4 . rM) | ||
201 | test (svdProp4 . cM) | ||
202 | test (svdProp5a) | ||
203 | test (svdProp5b) | ||
204 | test (svdProp6a) | ||
205 | test (svdProp6b) | ||
206 | test (svdProp7 . rM) | ||
207 | test (svdProp7 . cM) | ||
191 | putStrLn "------ eig" | 208 | putStrLn "------ eig" |
192 | test (eigSHProp . rHer) | 209 | test (eigSHProp . rHer) |
193 | test (eigSHProp . cHer) | 210 | test (eigSHProp . cHer) |
diff --git a/lib/Numeric/LinearAlgebra/Tests/Instances.hs b/lib/Numeric/LinearAlgebra/Tests/Instances.hs index 9b18513..4995e39 100644 --- a/lib/Numeric/LinearAlgebra/Tests/Instances.hs +++ b/lib/Numeric/LinearAlgebra/Tests/Instances.hs | |||
@@ -143,8 +143,8 @@ instance (Field a, Arbitrary a) => Arbitrary (WC a) where | |||
143 | r = rows m | 143 | r = rows m |
144 | c = cols m | 144 | c = cols m |
145 | n = min r c | 145 | n = min r c |
146 | sv <- replicateM n (choose (1,100)) | 146 | sv' <- replicateM n (choose (1,100)) |
147 | let s = diagRect (fromList sv) r c | 147 | let s = diagRect (fromList sv') r c |
148 | return $ WC (u <> real s <> trans v) | 148 | return $ WC (u <> real s <> trans v) |
149 | 149 | ||
150 | #if MIN_VERSION_QuickCheck(2,0,0) | 150 | #if MIN_VERSION_QuickCheck(2,0,0) |
@@ -160,8 +160,8 @@ instance (Field a, Arbitrary a) => Arbitrary (SqWC a) where | |||
160 | Sq m <- arbitrary | 160 | Sq m <- arbitrary |
161 | let (u,_,v) = svd m | 161 | let (u,_,v) = svd m |
162 | n = rows m | 162 | n = rows m |
163 | sv <- replicateM n (choose (1,100)) | 163 | sv' <- replicateM n (choose (1,100)) |
164 | let s = diag (fromList sv) | 164 | let s = diag (fromList sv') |
165 | return $ SqWC (u <> real s <> trans v) | 165 | return $ SqWC (u <> real s <> trans v) |
166 | 166 | ||
167 | #if MIN_VERSION_QuickCheck(2,0,0) | 167 | #if MIN_VERSION_QuickCheck(2,0,0) |
diff --git a/lib/Numeric/LinearAlgebra/Tests/Properties.hs b/lib/Numeric/LinearAlgebra/Tests/Properties.hs index d4c2770..d4dff34 100644 --- a/lib/Numeric/LinearAlgebra/Tests/Properties.hs +++ b/lib/Numeric/LinearAlgebra/Tests/Properties.hs | |||
@@ -29,7 +29,8 @@ module Numeric.LinearAlgebra.Tests.Properties ( | |||
29 | pinvProp, | 29 | pinvProp, |
30 | detProp, | 30 | detProp, |
31 | nullspaceProp, | 31 | nullspaceProp, |
32 | svdProp1, svdProp2, | 32 | svdProp1, svdProp1a, svdProp2, svdProp3, svdProp4, |
33 | svdProp5a, svdProp5b, svdProp6a, svdProp6b, svdProp7, | ||
33 | eigProp, eigSHProp, | 34 | eigProp, eigSHProp, |
34 | qrProp, | 35 | qrProp, |
35 | hessProp, | 36 | hessProp, |
@@ -41,10 +42,12 @@ module Numeric.LinearAlgebra.Tests.Properties ( | |||
41 | ) where | 42 | ) where |
42 | 43 | ||
43 | import Numeric.LinearAlgebra | 44 | import Numeric.LinearAlgebra |
45 | import Numeric.LinearAlgebra.LAPACK | ||
46 | import Debug.Trace | ||
44 | #include "quickCheckCompat.h" | 47 | #include "quickCheckCompat.h" |
45 | -- import Debug.Trace | ||
46 | 48 | ||
47 | -- debug x = trace (show x) x | 49 | |
50 | debug x = trace (show x) x | ||
48 | 51 | ||
49 | -- relative error | 52 | -- relative error |
50 | dist :: (Normed t, Num t) => t -> t -> Double | 53 | dist :: (Normed t, Num t) => t -> t -> Double |
@@ -71,7 +74,10 @@ a :~n~: b = dist a b < 10^^(-n) | |||
71 | 74 | ||
72 | square m = rows m == cols m | 75 | square m = rows m == cols m |
73 | 76 | ||
74 | unitary m = square m && m <> ctrans m |~| ident (rows m) | 77 | -- orthonormal columns |
78 | orthonormal m = ctrans m <> m |~| ident (cols m) | ||
79 | |||
80 | unitary m = square m && orthonormal m | ||
75 | 81 | ||
76 | hermitian m = square m && m |~| ctrans m | 82 | hermitian m = square m && m |~| ctrans m |
77 | 83 | ||
@@ -119,12 +125,64 @@ nullspaceProp m = null nl `trivial` (null nl || m <> n |~| zeros (r,c)) | |||
119 | r = rows m | 125 | r = rows m |
120 | c = cols m - rank m | 126 | c = cols m - rank m |
121 | 127 | ||
122 | svdProp1 m = u <> real d <> trans v |~| m | 128 | ------------------------------------------------------------------ |
123 | && unitary u && unitary v | 129 | |
124 | where (u,d,v) = full svd m | 130 | -- fullSVD |
125 | 131 | svdProp1 m = m |~| u <> real d <> trans v && unitary u && unitary v | |
126 | svdProp2 m = (m |~| 0) `trivial` ((m |~| 0) || u <> real (diag s) <> trans v |~| m) | 132 | where (u,d,v) = fullSVD m |
127 | where (u,s,v) = economy svd m | 133 | |
134 | svdProp1a svdfun m = m |~| u <> real d <> trans v && unitary u && unitary v where | ||
135 | (u,s,v) = svdfun m | ||
136 | d = diagRect s (rows m) (cols m) | ||
137 | |||
138 | -- thinSVD | ||
139 | svdProp2 thinSVDfun m = m |~| u <> diag (real s) <> trans v && orthonormal u && orthonormal v && dim s == min (rows m) (cols m) | ||
140 | where (u,s,v) = thinSVDfun m | ||
141 | |||
142 | -- compactSVD | ||
143 | svdProp3 m = (m |~| u <> real (diag s) <> trans v | ||
144 | && orthonormal u && orthonormal v) | ||
145 | where (u,s,v) = compactSVD m | ||
146 | |||
147 | svdProp4 m' = m |~| u <> real (diag s) <> trans v | ||
148 | && orthonormal u && orthonormal v | ||
149 | && (dim s == r || r == 0 && dim s == 1) | ||
150 | where (u,s,v) = compactSVD m | ||
151 | m = m' <-> m' | ||
152 | r = rank m' | ||
153 | |||
154 | svdProp5a m = and (map (s1|~|) [s2,s3,s4,s5,s6]) where | ||
155 | s1 = svR m | ||
156 | s2 = svRd m | ||
157 | (_,s3,_) = svdR m | ||
158 | (_,s4,_) = svdRd m | ||
159 | (_,s5,_) = thinSVDR m | ||
160 | (_,s6,_) = thinSVDRd m | ||
161 | |||
162 | svdProp5b m = and (map (s1|~|) [s2,s3,s4,s5,s6]) where | ||
163 | s1 = svC m | ||
164 | s2 = svCd m | ||
165 | (_,s3,_) = svdC m | ||
166 | (_,s4,_) = svdCd m | ||
167 | (_,s5,_) = thinSVDC m | ||
168 | (_,s6,_) = thinSVDCd m | ||
169 | |||
170 | svdProp6a m = s |~| s' && v |~| v' && s |~| s'' && u |~| u' | ||
171 | where (u,s,v) = svdR m | ||
172 | (s',v') = rightSVR m | ||
173 | (u',s'') = leftSVR m | ||
174 | |||
175 | svdProp6b m = s |~| s' && v |~| v' && s |~| s'' && u |~| u' | ||
176 | where (u,s,v) = svdC m | ||
177 | (s',v') = rightSVC m | ||
178 | (u',s'') = leftSVC m | ||
179 | |||
180 | svdProp7 m = s |~| s' && u |~| u' && v |~| v' | ||
181 | where (u,s,v) = svd m | ||
182 | (s',v') = rightSV m | ||
183 | (u',s'') = leftSV m | ||
184 | |||
185 | ------------------------------------------------------------------ | ||
128 | 186 | ||
129 | eigProp m = complex m <> v |~| v <> diag s | 187 | eigProp m = complex m <> v |~| v <> diag s |
130 | where (s, v) = eig m | 188 | where (s, v) = eig m |