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author | Alberto Ruiz <aruiz@um.es> | 2014-05-08 08:48:12 +0200 |
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committer | Alberto Ruiz <aruiz@um.es> | 2014-05-08 08:48:12 +0200 |
commit | 1925c123d7d8184a1d2ddc0a413e0fd2776e1083 (patch) | |
tree | fad79f909d9c3be53d68e6ebd67202650536d387 /packages/hmatrix/src/Numeric/LinearAlgebra/LAPACK.hs | |
parent | eb3f702d065a4a967bb754977233e6eec408fd1f (diff) |
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1 | ----------------------------------------------------------------------------- | ||
2 | -- | | ||
3 | -- Module : Numeric.LinearAlgebra.LAPACK | ||
4 | -- Copyright : (c) Alberto Ruiz 2006-7 | ||
5 | -- License : GPL-style | ||
6 | -- | ||
7 | -- Maintainer : Alberto Ruiz (aruiz at um dot es) | ||
8 | -- Stability : provisional | ||
9 | -- Portability : portable (uses FFI) | ||
10 | -- | ||
11 | -- Functional interface to selected LAPACK functions (<http://www.netlib.org/lapack>). | ||
12 | -- | ||
13 | ----------------------------------------------------------------------------- | ||
14 | {-# OPTIONS_HADDOCK hide #-} | ||
15 | |||
16 | module Numeric.LinearAlgebra.LAPACK ( | ||
17 | -- * Matrix product | ||
18 | multiplyR, multiplyC, multiplyF, multiplyQ, | ||
19 | -- * Linear systems | ||
20 | linearSolveR, linearSolveC, | ||
21 | lusR, lusC, | ||
22 | cholSolveR, cholSolveC, | ||
23 | linearSolveLSR, linearSolveLSC, | ||
24 | linearSolveSVDR, linearSolveSVDC, | ||
25 | -- * SVD | ||
26 | svR, svRd, svC, svCd, | ||
27 | svdR, svdRd, svdC, svdCd, | ||
28 | thinSVDR, thinSVDRd, thinSVDC, thinSVDCd, | ||
29 | rightSVR, rightSVC, leftSVR, leftSVC, | ||
30 | -- * Eigensystems | ||
31 | eigR, eigC, eigS, eigS', eigH, eigH', | ||
32 | eigOnlyR, eigOnlyC, eigOnlyS, eigOnlyH, | ||
33 | -- * LU | ||
34 | luR, luC, | ||
35 | -- * Cholesky | ||
36 | cholS, cholH, mbCholS, mbCholH, | ||
37 | -- * QR | ||
38 | qrR, qrC, qrgrR, qrgrC, | ||
39 | -- * Hessenberg | ||
40 | hessR, hessC, | ||
41 | -- * Schur | ||
42 | schurR, schurC | ||
43 | ) where | ||
44 | |||
45 | import Data.Packed.Internal | ||
46 | import Data.Packed.Matrix | ||
47 | import Numeric.Conversion | ||
48 | import Numeric.GSL.Vector(vectorMapValR, FunCodeSV(Scale)) | ||
49 | |||
50 | import Foreign.Ptr(nullPtr) | ||
51 | import Foreign.C.Types | ||
52 | import Control.Monad(when) | ||
53 | import System.IO.Unsafe(unsafePerformIO) | ||
54 | |||
55 | ----------------------------------------------------------------------------------- | ||
56 | |||
57 | foreign import ccall unsafe "multiplyR" dgemmc :: CInt -> CInt -> TMMM | ||
58 | foreign import ccall unsafe "multiplyC" zgemmc :: CInt -> CInt -> TCMCMCM | ||
59 | foreign import ccall unsafe "multiplyF" sgemmc :: CInt -> CInt -> TFMFMFM | ||
60 | foreign import ccall unsafe "multiplyQ" cgemmc :: CInt -> CInt -> TQMQMQM | ||
61 | |||
62 | isT Matrix{order = ColumnMajor} = 0 | ||
63 | isT Matrix{order = RowMajor} = 1 | ||
64 | |||
65 | tt x@Matrix{order = ColumnMajor} = x | ||
66 | tt x@Matrix{order = RowMajor} = trans x | ||
67 | |||
68 | multiplyAux f st a b = unsafePerformIO $ do | ||
69 | when (cols a /= rows b) $ error $ "inconsistent dimensions in matrix product "++ | ||
70 | show (rows a,cols a) ++ " x " ++ show (rows b, cols b) | ||
71 | s <- createMatrix ColumnMajor (rows a) (cols b) | ||
72 | app3 (f (isT a) (isT b)) mat (tt a) mat (tt b) mat s st | ||
73 | return s | ||
74 | |||
75 | -- | Matrix product based on BLAS's /dgemm/. | ||
76 | multiplyR :: Matrix Double -> Matrix Double -> Matrix Double | ||
77 | multiplyR a b = {-# SCC "multiplyR" #-} multiplyAux dgemmc "dgemmc" a b | ||
78 | |||
79 | -- | Matrix product based on BLAS's /zgemm/. | ||
80 | multiplyC :: Matrix (Complex Double) -> Matrix (Complex Double) -> Matrix (Complex Double) | ||
81 | multiplyC a b = multiplyAux zgemmc "zgemmc" a b | ||
82 | |||
83 | -- | Matrix product based on BLAS's /sgemm/. | ||
84 | multiplyF :: Matrix Float -> Matrix Float -> Matrix Float | ||
85 | multiplyF a b = multiplyAux sgemmc "sgemmc" a b | ||
86 | |||
87 | -- | Matrix product based on BLAS's /cgemm/. | ||
88 | multiplyQ :: Matrix (Complex Float) -> Matrix (Complex Float) -> Matrix (Complex Float) | ||
89 | multiplyQ a b = multiplyAux cgemmc "cgemmc" a b | ||
90 | |||
91 | ----------------------------------------------------------------------------- | ||
92 | foreign import ccall unsafe "svd_l_R" dgesvd :: TMMVM | ||
93 | foreign import ccall unsafe "svd_l_C" zgesvd :: TCMCMVCM | ||
94 | foreign import ccall unsafe "svd_l_Rdd" dgesdd :: TMMVM | ||
95 | foreign import ccall unsafe "svd_l_Cdd" zgesdd :: TCMCMVCM | ||
96 | |||
97 | -- | Full SVD of a real matrix using LAPACK's /dgesvd/. | ||
98 | svdR :: Matrix Double -> (Matrix Double, Vector Double, Matrix Double) | ||
99 | svdR = svdAux dgesvd "svdR" . fmat | ||
100 | |||
101 | -- | Full SVD of a real matrix using LAPACK's /dgesdd/. | ||
102 | svdRd :: Matrix Double -> (Matrix Double, Vector Double, Matrix Double) | ||
103 | svdRd = svdAux dgesdd "svdRdd" . fmat | ||
104 | |||
105 | -- | Full SVD of a complex matrix using LAPACK's /zgesvd/. | ||
106 | svdC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector Double, Matrix (Complex Double)) | ||
107 | svdC = svdAux zgesvd "svdC" . fmat | ||
108 | |||
109 | -- | Full SVD of a complex matrix using LAPACK's /zgesdd/. | ||
110 | svdCd :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector Double, Matrix (Complex Double)) | ||
111 | svdCd = svdAux zgesdd "svdCdd" . fmat | ||
112 | |||
113 | svdAux f st x = unsafePerformIO $ do | ||
114 | u <- createMatrix ColumnMajor r r | ||
115 | s <- createVector (min r c) | ||
116 | v <- createMatrix ColumnMajor c c | ||
117 | app4 f mat x mat u vec s mat v st | ||
118 | return (u,s,trans v) | ||
119 | where r = rows x | ||
120 | c = cols x | ||
121 | |||
122 | |||
123 | -- | Thin SVD of a real matrix, using LAPACK's /dgesvd/ with jobu == jobvt == \'S\'. | ||
124 | thinSVDR :: Matrix Double -> (Matrix Double, Vector Double, Matrix Double) | ||
125 | thinSVDR = thinSVDAux dgesvd "thinSVDR" . fmat | ||
126 | |||
127 | -- | Thin SVD of a complex matrix, using LAPACK's /zgesvd/ with jobu == jobvt == \'S\'. | ||
128 | thinSVDC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector Double, Matrix (Complex Double)) | ||
129 | thinSVDC = thinSVDAux zgesvd "thinSVDC" . fmat | ||
130 | |||
131 | -- | Thin SVD of a real matrix, using LAPACK's /dgesdd/ with jobz == \'S\'. | ||
132 | thinSVDRd :: Matrix Double -> (Matrix Double, Vector Double, Matrix Double) | ||
133 | thinSVDRd = thinSVDAux dgesdd "thinSVDRdd" . fmat | ||
134 | |||
135 | -- | Thin SVD of a complex matrix, using LAPACK's /zgesdd/ with jobz == \'S\'. | ||
136 | thinSVDCd :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector Double, Matrix (Complex Double)) | ||
137 | thinSVDCd = thinSVDAux zgesdd "thinSVDCdd" . fmat | ||
138 | |||
139 | thinSVDAux f st x = unsafePerformIO $ do | ||
140 | u <- createMatrix ColumnMajor r q | ||
141 | s <- createVector q | ||
142 | v <- createMatrix ColumnMajor q c | ||
143 | app4 f mat x mat u vec s mat v st | ||
144 | return (u,s,trans v) | ||
145 | where r = rows x | ||
146 | c = cols x | ||
147 | q = min r c | ||
148 | |||
149 | |||
150 | -- | Singular values of a real matrix, using LAPACK's /dgesvd/ with jobu == jobvt == \'N\'. | ||
151 | svR :: Matrix Double -> Vector Double | ||
152 | svR = svAux dgesvd "svR" . fmat | ||
153 | |||
154 | -- | Singular values of a complex matrix, using LAPACK's /zgesvd/ with jobu == jobvt == \'N\'. | ||
155 | svC :: Matrix (Complex Double) -> Vector Double | ||
156 | svC = svAux zgesvd "svC" . fmat | ||
157 | |||
158 | -- | Singular values of a real matrix, using LAPACK's /dgesdd/ with jobz == \'N\'. | ||
159 | svRd :: Matrix Double -> Vector Double | ||
160 | svRd = svAux dgesdd "svRd" . fmat | ||
161 | |||
162 | -- | Singular values of a complex matrix, using LAPACK's /zgesdd/ with jobz == \'N\'. | ||
163 | svCd :: Matrix (Complex Double) -> Vector Double | ||
164 | svCd = svAux zgesdd "svCd" . fmat | ||
165 | |||
166 | svAux f st x = unsafePerformIO $ do | ||
167 | s <- createVector q | ||
168 | app2 g mat x vec s st | ||
169 | return s | ||
170 | where r = rows x | ||
171 | c = cols x | ||
172 | q = min r c | ||
173 | g ra ca pa nb pb = f ra ca pa 0 0 nullPtr nb pb 0 0 nullPtr | ||
174 | |||
175 | |||
176 | -- | Singular values and all right singular vectors of a real matrix, using LAPACK's /dgesvd/ with jobu == \'N\' and jobvt == \'A\'. | ||
177 | rightSVR :: Matrix Double -> (Vector Double, Matrix Double) | ||
178 | rightSVR = rightSVAux dgesvd "rightSVR" . fmat | ||
179 | |||
180 | -- | Singular values and all right singular vectors of a complex matrix, using LAPACK's /zgesvd/ with jobu == \'N\' and jobvt == \'A\'. | ||
181 | rightSVC :: Matrix (Complex Double) -> (Vector Double, Matrix (Complex Double)) | ||
182 | rightSVC = rightSVAux zgesvd "rightSVC" . fmat | ||
183 | |||
184 | rightSVAux f st x = unsafePerformIO $ do | ||
185 | s <- createVector q | ||
186 | v <- createMatrix ColumnMajor c c | ||
187 | app3 g mat x vec s mat v st | ||
188 | return (s,trans v) | ||
189 | where r = rows x | ||
190 | c = cols x | ||
191 | q = min r c | ||
192 | g ra ca pa = f ra ca pa 0 0 nullPtr | ||
193 | |||
194 | |||
195 | -- | Singular values and all left singular vectors of a real matrix, using LAPACK's /dgesvd/ with jobu == \'A\' and jobvt == \'N\'. | ||
196 | leftSVR :: Matrix Double -> (Matrix Double, Vector Double) | ||
197 | leftSVR = leftSVAux dgesvd "leftSVR" . fmat | ||
198 | |||
199 | -- | Singular values and all left singular vectors of a complex matrix, using LAPACK's /zgesvd/ with jobu == \'A\' and jobvt == \'N\'. | ||
200 | leftSVC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector Double) | ||
201 | leftSVC = leftSVAux zgesvd "leftSVC" . fmat | ||
202 | |||
203 | leftSVAux f st x = unsafePerformIO $ do | ||
204 | u <- createMatrix ColumnMajor r r | ||
205 | s <- createVector q | ||
206 | app3 g mat x mat u vec s st | ||
207 | return (u,s) | ||
208 | where r = rows x | ||
209 | c = cols x | ||
210 | q = min r c | ||
211 | g ra ca pa ru cu pu nb pb = f ra ca pa ru cu pu nb pb 0 0 nullPtr | ||
212 | |||
213 | ----------------------------------------------------------------------------- | ||
214 | |||
215 | foreign import ccall unsafe "eig_l_R" dgeev :: TMMCVM | ||
216 | foreign import ccall unsafe "eig_l_C" zgeev :: TCMCMCVCM | ||
217 | foreign import ccall unsafe "eig_l_S" dsyev :: CInt -> TMVM | ||
218 | foreign import ccall unsafe "eig_l_H" zheev :: CInt -> TCMVCM | ||
219 | |||
220 | eigAux f st m = unsafePerformIO $ do | ||
221 | l <- createVector r | ||
222 | v <- createMatrix ColumnMajor r r | ||
223 | app3 g mat m vec l mat v st | ||
224 | return (l,v) | ||
225 | where r = rows m | ||
226 | g ra ca pa = f ra ca pa 0 0 nullPtr | ||
227 | |||
228 | |||
229 | -- | Eigenvalues and right eigenvectors of a general complex matrix, using LAPACK's /zgeev/. | ||
230 | -- The eigenvectors are the columns of v. The eigenvalues are not sorted. | ||
231 | eigC :: Matrix (Complex Double) -> (Vector (Complex Double), Matrix (Complex Double)) | ||
232 | eigC = eigAux zgeev "eigC" . fmat | ||
233 | |||
234 | eigOnlyAux f st m = unsafePerformIO $ do | ||
235 | l <- createVector r | ||
236 | app2 g mat m vec l st | ||
237 | return l | ||
238 | where r = rows m | ||
239 | g ra ca pa nl pl = f ra ca pa 0 0 nullPtr nl pl 0 0 nullPtr | ||
240 | |||
241 | -- | Eigenvalues of a general complex matrix, using LAPACK's /zgeev/ with jobz == \'N\'. | ||
242 | -- The eigenvalues are not sorted. | ||
243 | eigOnlyC :: Matrix (Complex Double) -> Vector (Complex Double) | ||
244 | eigOnlyC = eigOnlyAux zgeev "eigOnlyC" . fmat | ||
245 | |||
246 | -- | Eigenvalues and right eigenvectors of a general real matrix, using LAPACK's /dgeev/. | ||
247 | -- The eigenvectors are the columns of v. The eigenvalues are not sorted. | ||
248 | eigR :: Matrix Double -> (Vector (Complex Double), Matrix (Complex Double)) | ||
249 | eigR m = (s', v'') | ||
250 | where (s,v) = eigRaux (fmat m) | ||
251 | s' = fixeig1 s | ||
252 | v' = toRows $ trans v | ||
253 | v'' = fromColumns $ fixeig (toList s') v' | ||
254 | |||
255 | eigRaux :: Matrix Double -> (Vector (Complex Double), Matrix Double) | ||
256 | eigRaux m = unsafePerformIO $ do | ||
257 | l <- createVector r | ||
258 | v <- createMatrix ColumnMajor r r | ||
259 | app3 g mat m vec l mat v "eigR" | ||
260 | return (l,v) | ||
261 | where r = rows m | ||
262 | g ra ca pa = dgeev ra ca pa 0 0 nullPtr | ||
263 | |||
264 | fixeig1 s = toComplex' (subVector 0 r (asReal s), subVector r r (asReal s)) | ||
265 | where r = dim s | ||
266 | |||
267 | fixeig [] _ = [] | ||
268 | fixeig [_] [v] = [comp' v] | ||
269 | fixeig ((r1:+i1):(r2:+i2):r) (v1:v2:vs) | ||
270 | | r1 == r2 && i1 == (-i2) = toComplex' (v1,v2) : toComplex' (v1,scale (-1) v2) : fixeig r vs | ||
271 | | otherwise = comp' v1 : fixeig ((r2:+i2):r) (v2:vs) | ||
272 | where scale = vectorMapValR Scale | ||
273 | fixeig _ _ = error "fixeig with impossible inputs" | ||
274 | |||
275 | |||
276 | -- | Eigenvalues of a general real matrix, using LAPACK's /dgeev/ with jobz == \'N\'. | ||
277 | -- The eigenvalues are not sorted. | ||
278 | eigOnlyR :: Matrix Double -> Vector (Complex Double) | ||
279 | eigOnlyR = fixeig1 . eigOnlyAux dgeev "eigOnlyR" . fmat | ||
280 | |||
281 | |||
282 | ----------------------------------------------------------------------------- | ||
283 | |||
284 | eigSHAux f st m = unsafePerformIO $ do | ||
285 | l <- createVector r | ||
286 | v <- createMatrix ColumnMajor r r | ||
287 | app3 f mat m vec l mat v st | ||
288 | return (l,v) | ||
289 | where r = rows m | ||
290 | |||
291 | -- | Eigenvalues and right eigenvectors of a symmetric real matrix, using LAPACK's /dsyev/. | ||
292 | -- The eigenvectors are the columns of v. | ||
293 | -- The eigenvalues are sorted in descending order (use 'eigS'' for ascending order). | ||
294 | eigS :: Matrix Double -> (Vector Double, Matrix Double) | ||
295 | eigS m = (s', fliprl v) | ||
296 | where (s,v) = eigS' (fmat m) | ||
297 | s' = fromList . reverse . toList $ s | ||
298 | |||
299 | -- | 'eigS' in ascending order | ||
300 | eigS' :: Matrix Double -> (Vector Double, Matrix Double) | ||
301 | eigS' = eigSHAux (dsyev 1) "eigS'" . fmat | ||
302 | |||
303 | -- | Eigenvalues and right eigenvectors of a hermitian complex matrix, using LAPACK's /zheev/. | ||
304 | -- The eigenvectors are the columns of v. | ||
305 | -- The eigenvalues are sorted in descending order (use 'eigH'' for ascending order). | ||
306 | eigH :: Matrix (Complex Double) -> (Vector Double, Matrix (Complex Double)) | ||
307 | eigH m = (s', fliprl v) | ||
308 | where (s,v) = eigH' (fmat m) | ||
309 | s' = fromList . reverse . toList $ s | ||
310 | |||
311 | -- | 'eigH' in ascending order | ||
312 | eigH' :: Matrix (Complex Double) -> (Vector Double, Matrix (Complex Double)) | ||
313 | eigH' = eigSHAux (zheev 1) "eigH'" . fmat | ||
314 | |||
315 | |||
316 | -- | Eigenvalues of a symmetric real matrix, using LAPACK's /dsyev/ with jobz == \'N\'. | ||
317 | -- The eigenvalues are sorted in descending order. | ||
318 | eigOnlyS :: Matrix Double -> Vector Double | ||
319 | eigOnlyS = vrev . fst. eigSHAux (dsyev 0) "eigS'" . fmat | ||
320 | |||
321 | -- | Eigenvalues of a hermitian complex matrix, using LAPACK's /zheev/ with jobz == \'N\'. | ||
322 | -- The eigenvalues are sorted in descending order. | ||
323 | eigOnlyH :: Matrix (Complex Double) -> Vector Double | ||
324 | eigOnlyH = vrev . fst. eigSHAux (zheev 1) "eigH'" . fmat | ||
325 | |||
326 | vrev = flatten . flipud . reshape 1 | ||
327 | |||
328 | ----------------------------------------------------------------------------- | ||
329 | foreign import ccall unsafe "linearSolveR_l" dgesv :: TMMM | ||
330 | foreign import ccall unsafe "linearSolveC_l" zgesv :: TCMCMCM | ||
331 | foreign import ccall unsafe "cholSolveR_l" dpotrs :: TMMM | ||
332 | foreign import ccall unsafe "cholSolveC_l" zpotrs :: TCMCMCM | ||
333 | |||
334 | linearSolveSQAux f st a b | ||
335 | | n1==n2 && n1==r = unsafePerformIO $ do | ||
336 | s <- createMatrix ColumnMajor r c | ||
337 | app3 f mat a mat b mat s st | ||
338 | return s | ||
339 | | otherwise = error $ st ++ " of nonsquare matrix" | ||
340 | where n1 = rows a | ||
341 | n2 = cols a | ||
342 | r = rows b | ||
343 | c = cols b | ||
344 | |||
345 | -- | 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'. | ||
346 | linearSolveR :: Matrix Double -> Matrix Double -> Matrix Double | ||
347 | linearSolveR a b = linearSolveSQAux dgesv "linearSolveR" (fmat a) (fmat b) | ||
348 | |||
349 | -- | 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'. | ||
350 | linearSolveC :: Matrix (Complex Double) -> Matrix (Complex Double) -> Matrix (Complex Double) | ||
351 | linearSolveC a b = linearSolveSQAux zgesv "linearSolveC" (fmat a) (fmat b) | ||
352 | |||
353 | |||
354 | -- | Solves a symmetric positive definite system of linear equations using a precomputed Cholesky factorization obtained by 'cholS'. | ||
355 | cholSolveR :: Matrix Double -> Matrix Double -> Matrix Double | ||
356 | cholSolveR a b = linearSolveSQAux dpotrs "cholSolveR" (fmat a) (fmat b) | ||
357 | |||
358 | -- | Solves a Hermitian positive definite system of linear equations using a precomputed Cholesky factorization obtained by 'cholH'. | ||
359 | cholSolveC :: Matrix (Complex Double) -> Matrix (Complex Double) -> Matrix (Complex Double) | ||
360 | cholSolveC a b = linearSolveSQAux zpotrs "cholSolveC" (fmat a) (fmat b) | ||
361 | |||
362 | ----------------------------------------------------------------------------------- | ||
363 | foreign import ccall unsafe "linearSolveLSR_l" dgels :: TMMM | ||
364 | foreign import ccall unsafe "linearSolveLSC_l" zgels :: TCMCMCM | ||
365 | foreign import ccall unsafe "linearSolveSVDR_l" dgelss :: Double -> TMMM | ||
366 | foreign import ccall unsafe "linearSolveSVDC_l" zgelss :: Double -> TCMCMCM | ||
367 | |||
368 | linearSolveAux f st a b = unsafePerformIO $ do | ||
369 | r <- createMatrix ColumnMajor (max m n) nrhs | ||
370 | app3 f mat a mat b mat r st | ||
371 | return r | ||
372 | where m = rows a | ||
373 | n = cols a | ||
374 | nrhs = cols b | ||
375 | |||
376 | -- | 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'. | ||
377 | linearSolveLSR :: Matrix Double -> Matrix Double -> Matrix Double | ||
378 | linearSolveLSR a b = subMatrix (0,0) (cols a, cols b) $ | ||
379 | linearSolveAux dgels "linearSolverLSR" (fmat a) (fmat b) | ||
380 | |||
381 | -- | 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'. | ||
382 | linearSolveLSC :: Matrix (Complex Double) -> Matrix (Complex Double) -> Matrix (Complex Double) | ||
383 | linearSolveLSC a b = subMatrix (0,0) (cols a, cols b) $ | ||
384 | linearSolveAux zgels "linearSolveLSC" (fmat a) (fmat b) | ||
385 | |||
386 | -- | 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. | ||
387 | linearSolveSVDR :: Maybe Double -- ^ rcond | ||
388 | -> Matrix Double -- ^ coefficient matrix | ||
389 | -> Matrix Double -- ^ right hand sides (as columns) | ||
390 | -> Matrix Double -- ^ solution vectors (as columns) | ||
391 | linearSolveSVDR (Just rcond) a b = subMatrix (0,0) (cols a, cols b) $ | ||
392 | linearSolveAux (dgelss rcond) "linearSolveSVDR" (fmat a) (fmat b) | ||
393 | linearSolveSVDR Nothing a b = linearSolveSVDR (Just (-1)) (fmat a) (fmat b) | ||
394 | |||
395 | -- | 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. | ||
396 | linearSolveSVDC :: Maybe Double -- ^ rcond | ||
397 | -> Matrix (Complex Double) -- ^ coefficient matrix | ||
398 | -> Matrix (Complex Double) -- ^ right hand sides (as columns) | ||
399 | -> Matrix (Complex Double) -- ^ solution vectors (as columns) | ||
400 | linearSolveSVDC (Just rcond) a b = subMatrix (0,0) (cols a, cols b) $ | ||
401 | linearSolveAux (zgelss rcond) "linearSolveSVDC" (fmat a) (fmat b) | ||
402 | linearSolveSVDC Nothing a b = linearSolveSVDC (Just (-1)) (fmat a) (fmat b) | ||
403 | |||
404 | ----------------------------------------------------------------------------------- | ||
405 | foreign import ccall unsafe "chol_l_H" zpotrf :: TCMCM | ||
406 | foreign import ccall unsafe "chol_l_S" dpotrf :: TMM | ||
407 | |||
408 | cholAux f st a = do | ||
409 | r <- createMatrix ColumnMajor n n | ||
410 | app2 f mat a mat r st | ||
411 | return r | ||
412 | where n = rows a | ||
413 | |||
414 | -- | Cholesky factorization of a complex Hermitian positive definite matrix, using LAPACK's /zpotrf/. | ||
415 | cholH :: Matrix (Complex Double) -> Matrix (Complex Double) | ||
416 | cholH = unsafePerformIO . cholAux zpotrf "cholH" . fmat | ||
417 | |||
418 | -- | Cholesky factorization of a real symmetric positive definite matrix, using LAPACK's /dpotrf/. | ||
419 | cholS :: Matrix Double -> Matrix Double | ||
420 | cholS = unsafePerformIO . cholAux dpotrf "cholS" . fmat | ||
421 | |||
422 | -- | Cholesky factorization of a complex Hermitian positive definite matrix, using LAPACK's /zpotrf/ ('Maybe' version). | ||
423 | mbCholH :: Matrix (Complex Double) -> Maybe (Matrix (Complex Double)) | ||
424 | mbCholH = unsafePerformIO . mbCatch . cholAux zpotrf "cholH" . fmat | ||
425 | |||
426 | -- | Cholesky factorization of a real symmetric positive definite matrix, using LAPACK's /dpotrf/ ('Maybe' version). | ||
427 | mbCholS :: Matrix Double -> Maybe (Matrix Double) | ||
428 | mbCholS = unsafePerformIO . mbCatch . cholAux dpotrf "cholS" . fmat | ||
429 | |||
430 | ----------------------------------------------------------------------------------- | ||
431 | foreign import ccall unsafe "qr_l_R" dgeqr2 :: TMVM | ||
432 | foreign import ccall unsafe "qr_l_C" zgeqr2 :: TCMCVCM | ||
433 | |||
434 | -- | QR factorization of a real matrix, using LAPACK's /dgeqr2/. | ||
435 | qrR :: Matrix Double -> (Matrix Double, Vector Double) | ||
436 | qrR = qrAux dgeqr2 "qrR" . fmat | ||
437 | |||
438 | -- | QR factorization of a complex matrix, using LAPACK's /zgeqr2/. | ||
439 | qrC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector (Complex Double)) | ||
440 | qrC = qrAux zgeqr2 "qrC" . fmat | ||
441 | |||
442 | qrAux f st a = unsafePerformIO $ do | ||
443 | r <- createMatrix ColumnMajor m n | ||
444 | tau <- createVector mn | ||
445 | app3 f mat a vec tau mat r st | ||
446 | return (r,tau) | ||
447 | where | ||
448 | m = rows a | ||
449 | n = cols a | ||
450 | mn = min m n | ||
451 | |||
452 | foreign import ccall unsafe "c_dorgqr" dorgqr :: TMVM | ||
453 | foreign import ccall unsafe "c_zungqr" zungqr :: TCMCVCM | ||
454 | |||
455 | -- | build rotation from reflectors | ||
456 | qrgrR :: Int -> (Matrix Double, Vector Double) -> Matrix Double | ||
457 | qrgrR = qrgrAux dorgqr "qrgrR" | ||
458 | -- | build rotation from reflectors | ||
459 | qrgrC :: Int -> (Matrix (Complex Double), Vector (Complex Double)) -> Matrix (Complex Double) | ||
460 | qrgrC = qrgrAux zungqr "qrgrC" | ||
461 | |||
462 | qrgrAux f st n (a, tau) = unsafePerformIO $ do | ||
463 | res <- createMatrix ColumnMajor (rows a) n | ||
464 | app3 f mat (fmat a) vec (subVector 0 n tau') mat res st | ||
465 | return res | ||
466 | where | ||
467 | tau' = vjoin [tau, constantD 0 n] | ||
468 | |||
469 | ----------------------------------------------------------------------------------- | ||
470 | foreign import ccall unsafe "hess_l_R" dgehrd :: TMVM | ||
471 | foreign import ccall unsafe "hess_l_C" zgehrd :: TCMCVCM | ||
472 | |||
473 | -- | Hessenberg factorization of a square real matrix, using LAPACK's /dgehrd/. | ||
474 | hessR :: Matrix Double -> (Matrix Double, Vector Double) | ||
475 | hessR = hessAux dgehrd "hessR" . fmat | ||
476 | |||
477 | -- | Hessenberg factorization of a square complex matrix, using LAPACK's /zgehrd/. | ||
478 | hessC :: Matrix (Complex Double) -> (Matrix (Complex Double), Vector (Complex Double)) | ||
479 | hessC = hessAux zgehrd "hessC" . fmat | ||
480 | |||
481 | hessAux f st a = unsafePerformIO $ do | ||
482 | r <- createMatrix ColumnMajor m n | ||
483 | tau <- createVector (mn-1) | ||
484 | app3 f mat a vec tau mat r st | ||
485 | return (r,tau) | ||
486 | where m = rows a | ||
487 | n = cols a | ||
488 | mn = min m n | ||
489 | |||
490 | ----------------------------------------------------------------------------------- | ||
491 | foreign import ccall unsafe "schur_l_R" dgees :: TMMM | ||
492 | foreign import ccall unsafe "schur_l_C" zgees :: TCMCMCM | ||
493 | |||
494 | -- | Schur factorization of a square real matrix, using LAPACK's /dgees/. | ||
495 | schurR :: Matrix Double -> (Matrix Double, Matrix Double) | ||
496 | schurR = schurAux dgees "schurR" . fmat | ||
497 | |||
498 | -- | Schur factorization of a square complex matrix, using LAPACK's /zgees/. | ||
499 | schurC :: Matrix (Complex Double) -> (Matrix (Complex Double), Matrix (Complex Double)) | ||
500 | schurC = schurAux zgees "schurC" . fmat | ||
501 | |||
502 | schurAux f st a = unsafePerformIO $ do | ||
503 | u <- createMatrix ColumnMajor n n | ||
504 | s <- createMatrix ColumnMajor n n | ||
505 | app3 f mat a mat u mat s st | ||
506 | return (u,s) | ||
507 | where n = rows a | ||
508 | |||
509 | ----------------------------------------------------------------------------------- | ||
510 | foreign import ccall unsafe "lu_l_R" dgetrf :: TMVM | ||
511 | foreign import ccall unsafe "lu_l_C" zgetrf :: TCMVCM | ||
512 | |||
513 | -- | LU factorization of a general real matrix, using LAPACK's /dgetrf/. | ||
514 | luR :: Matrix Double -> (Matrix Double, [Int]) | ||
515 | luR = luAux dgetrf "luR" . fmat | ||
516 | |||
517 | -- | LU factorization of a general complex matrix, using LAPACK's /zgetrf/. | ||
518 | luC :: Matrix (Complex Double) -> (Matrix (Complex Double), [Int]) | ||
519 | luC = luAux zgetrf "luC" . fmat | ||
520 | |||
521 | luAux f st a = unsafePerformIO $ do | ||
522 | lu <- createMatrix ColumnMajor n m | ||
523 | piv <- createVector (min n m) | ||
524 | app3 f mat a vec piv mat lu st | ||
525 | return (lu, map (pred.round) (toList piv)) | ||
526 | where n = rows a | ||
527 | m = cols a | ||
528 | |||
529 | ----------------------------------------------------------------------------------- | ||
530 | type TW a = CInt -> PD -> a | ||
531 | type TQ a = CInt -> CInt -> PC -> a | ||
532 | |||
533 | foreign import ccall unsafe "luS_l_R" dgetrs :: TMVMM | ||
534 | foreign import ccall unsafe "luS_l_C" zgetrs :: TQ (TW (TQ (TQ (IO CInt)))) | ||
535 | |||
536 | -- | Solve a real linear system from a precomputed LU decomposition ('luR'), using LAPACK's /dgetrs/. | ||
537 | lusR :: Matrix Double -> [Int] -> Matrix Double -> Matrix Double | ||
538 | lusR a piv b = lusAux dgetrs "lusR" (fmat a) piv (fmat b) | ||
539 | |||
540 | -- | Solve a real linear system from a precomputed LU decomposition ('luC'), using LAPACK's /zgetrs/. | ||
541 | lusC :: Matrix (Complex Double) -> [Int] -> Matrix (Complex Double) -> Matrix (Complex Double) | ||
542 | lusC a piv b = lusAux zgetrs "lusC" (fmat a) piv (fmat b) | ||
543 | |||
544 | lusAux f st a piv b | ||
545 | | n1==n2 && n2==n =unsafePerformIO $ do | ||
546 | x <- createMatrix ColumnMajor n m | ||
547 | app4 f mat a vec piv' mat b mat x st | ||
548 | return x | ||
549 | | otherwise = error $ st ++ " on LU factorization of nonsquare matrix" | ||
550 | where n1 = rows a | ||
551 | n2 = cols a | ||
552 | n = rows b | ||
553 | m = cols b | ||
554 | piv' = fromList (map (fromIntegral.succ) piv) :: Vector Double | ||
555 | |||