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authorKevin Slagle <kjslag@gmail.com>2016-10-09 16:36:27 -0700
committerKevin Slagle <kjslag@gmail.com>2016-10-09 16:36:27 -0700
commit59760b906f6d1b3a9a15d9c4c00f558c7d7d5568 (patch)
treefe8f34feb7397dd94beb090058b078a4d1721875 /packages/base/src
parent69f8ff5553bc13bcc29064e7f09c2cf855feaba1 (diff)
implement thinQR and thinRQ
Diffstat (limited to 'packages/base/src')
-rw-r--r--packages/base/src/Internal/Algorithms.hs24
-rw-r--r--packages/base/src/Numeric/LinearAlgebra.hs2
2 files changed, 23 insertions, 3 deletions
diff --git a/packages/base/src/Internal/Algorithms.hs b/packages/base/src/Internal/Algorithms.hs
index c4f1a60..d5cf98e 100644
--- a/packages/base/src/Internal/Algorithms.hs
+++ b/packages/base/src/Internal/Algorithms.hs
@@ -30,6 +30,7 @@ import Internal.LAPACK as LAPACK
30import Internal.Numeric 30import Internal.Numeric
31import Data.List(foldl1') 31import Data.List(foldl1')
32import qualified Data.Array as A 32import qualified Data.Array as A
33import qualified Data.Vector.Storable as Vector
33import Internal.ST 34import Internal.ST
34import Internal.Vectorized(range) 35import Internal.Vectorized(range)
35import Control.DeepSeq 36import Control.DeepSeq
@@ -475,9 +476,14 @@ instance (NFData t, Numeric t) => NFData (QR t)
475-- | QR factorization. 476-- | QR factorization.
476-- 477--
477-- If @(q,r) = qr m@ then @m == q \<> r@, where q is unitary and r is upper triangular. 478-- If @(q,r) = qr m@ then @m == q \<> r@, where q is unitary and r is upper triangular.
479-- Note: the current implementation is very slow for large matrices. 'thinQR' is much faster.
478qr :: Field t => Matrix t -> (Matrix t, Matrix t) 480qr :: Field t => Matrix t -> (Matrix t, Matrix t)
479qr = {-# SCC "qr" #-} unpackQR . qr' 481qr = {-# SCC "qr" #-} unpackQR . qr'
480 482
483-- | A version of 'qr' which returns only the @min (rows m) (cols m)@ columns of @q@ and rows of @r@.
484thinQR :: Field t => Matrix t -> (Matrix t, Matrix t)
485thinQR = {-# SCC "thinQR" #-} thinUnpackQR . qr'
486
481-- | Compute the QR decomposition of a matrix in compact form. 487-- | Compute the QR decomposition of a matrix in compact form.
482qrRaw :: Field t => Matrix t -> QR t 488qrRaw :: Field t => Matrix t -> QR t
483qrRaw m = QR x v 489qrRaw m = QR x v
@@ -494,9 +500,17 @@ qrgr n (QR a t)
494-- | RQ factorization. 500-- | RQ factorization.
495-- 501--
496-- If @(r,q) = rq m@ then @m == r \<> q@, where q is unitary and r is upper triangular. 502-- If @(r,q) = rq m@ then @m == r \<> q@, where q is unitary and r is upper triangular.
503-- Note: the current implementation is very slow for large matrices. 'thinRQ' is much faster.
497rq :: Field t => Matrix t -> (Matrix t, Matrix t) 504rq :: Field t => Matrix t -> (Matrix t, Matrix t)
498rq m = {-# SCC "rq" #-} (r,q) where 505rq = {-# SCC "rq" #-} rqFromQR qr
499 (q',r') = qr $ trans $ rev1 m 506
507-- | A version of 'rq' which returns only the @min (rows m) (cols m)@ columns of @r@ and rows of @q@.
508thinRQ :: Field t => Matrix t -> (Matrix t, Matrix t)
509thinRQ = {-# SCC "thinQR" #-} rqFromQR thinQR
510
511rqFromQR :: Field t => (Matrix t -> (Matrix t, Matrix t)) -> Matrix t -> (Matrix t, Matrix t)
512rqFromQR qr0 m = (r,q) where
513 (q',r') = qr0 $ trans $ rev1 m
500 r = rev2 (trans r') 514 r = rev2 (trans r')
501 q = rev2 (trans q') 515 q = rev2 (trans q')
502 rev1 = flipud . fliprl 516 rev1 = flipud . fliprl
@@ -724,6 +738,12 @@ unpackQR (pq, tau) = {-# SCC "unpackQR" #-} (q,r)
724 hs = zipWith haussholder (toList tau) vs 738 hs = zipWith haussholder (toList tau) vs
725 q = foldl1' mXm hs 739 q = foldl1' mXm hs
726 740
741thinUnpackQR :: (Field t) => (Matrix t, Vector t) -> (Matrix t, Matrix t)
742thinUnpackQR (pq, tau) = (q, r)
743 where mn = uncurry min $ size pq
744 q = qrgr mn $ QR pq tau
745 r = fromRows $ zipWith (\i v -> Vector.replicate i 0 Vector.++ Vector.drop i v) [0..mn-1] (toRows pq)
746
727unpackHess :: (Field t) => (Matrix t -> (Matrix t,Vector t)) -> Matrix t -> (Matrix t, Matrix t) 747unpackHess :: (Field t) => (Matrix t -> (Matrix t,Vector t)) -> Matrix t -> (Matrix t, Matrix t)
728unpackHess hf m 748unpackHess hf m
729 | rows m == 1 = ((1><1)[1],m) 749 | rows m == 1 = ((1><1)[1],m)
diff --git a/packages/base/src/Numeric/LinearAlgebra.hs b/packages/base/src/Numeric/LinearAlgebra.hs
index b5bacf4..dee66c1 100644
--- a/packages/base/src/Numeric/LinearAlgebra.hs
+++ b/packages/base/src/Numeric/LinearAlgebra.hs
@@ -126,7 +126,7 @@ module Numeric.LinearAlgebra (
126 geigSH, 126 geigSH,
127 127
128 -- * QR 128 -- * QR
129 qr, rq, qrRaw, qrgr, 129 qr, thinQR, rq, thinRQ, qrRaw, qrgr,
130 130
131 -- * Cholesky 131 -- * Cholesky
132 chol, mbChol, 132 chol, mbChol,