alglib 0.1.1

data/ext/alglib/creflections.h

@@ -0,0 +1,165 @@
+/*************************************************************************
+Copyright (c) 1992-2007 The University of Tennessee.  All rights reserved.
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
+      pseudocode.
+
+See subroutines comments for additional copyrights.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#ifndef _creflections_h
+#define _creflections_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+/*************************************************************************
+Generation of an elementary complex reflection transformation
+
+The subroutine generates elementary complex reflection H of  order  N,  so
+that, for a given X, the following equality holds true:
+
+     ( X(1) )   ( Beta )
+H' * (  ..  ) = (  0   ),   H'*H = I,   Beta is a real number
+     ( X(n) )   (  0   )
+
+where
+
+              ( V(1) )
+H = 1 - Tau * (  ..  ) * ( conj(V(1)), ..., conj(V(n)) )
+              ( V(n) )
+
+where the first component of vector V equals 1.
+
+Input parameters:
+    X   -   vector. Array with elements [1..N].
+    N   -   reflection order.
+
+Output parameters:
+    X   -   components from 2 to N are replaced by vector V.
+            The first component is replaced with parameter Beta.
+    Tau -   scalar value Tau.
+
+This subroutine is the modification of CLARFG subroutines  from the LAPACK
+library. It has similar functionality except for the fact that it  doesn�t
+handle errors when intermediate results cause an overflow.
+
+  -- LAPACK auxiliary routine (version 3.0) --
+     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
+     Courant Institute, Argonne National Lab, and Rice University
+     September 30, 1994
+*************************************************************************/
+void complexgeneratereflection(ap::complex_1d_array& x,
+     int n,
+     ap::complex& tau);
+
+
+/*************************************************************************
+Application of an elementary reflection to a rectangular matrix of size MxN
+
+The  algorithm  pre-multiplies  the  matrix  by  an  elementary reflection
+transformation  which  is  given  by  column  V  and  scalar  Tau (see the
+description of the GenerateReflection). Not the whole matrix  but  only  a
+part of it is transformed (rows from M1 to M2, columns from N1 to N2). Only
+the elements of this submatrix are changed.
+
+Note: the matrix is multiplied by H, not by H'.   If  it  is  required  to
+multiply the matrix by H', it is necessary to pass Conj(Tau) instead of Tau.
+
+Input parameters:
+    C       -   matrix to be transformed.
+    Tau     -   scalar defining transformation.
+    V       -   column defining transformation.
+                Array whose index ranges within [1..M2-M1+1]
+    M1, M2  -   range of rows to be transformed.
+    N1, N2  -   range of columns to be transformed.
+    WORK    -   working array whose index goes from N1 to N2.
+
+Output parameters:
+    C       -   the result of multiplying the input matrix C by the
+                transformation matrix which is given by Tau and V.
+                If N1>N2 or M1>M2, C is not modified.
+
+  -- LAPACK auxiliary routine (version 3.0) --
+     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
+     Courant Institute, Argonne National Lab, and Rice University
+     September 30, 1994
+*************************************************************************/
+void complexapplyreflectionfromtheleft(ap::complex_2d_array& c,
+     ap::complex tau,
+     const ap::complex_1d_array& v,
+     int m1,
+     int m2,
+     int n1,
+     int n2,
+     ap::complex_1d_array& work);
+
+
+/*************************************************************************
+Application of an elementary reflection to a rectangular matrix of size MxN
+
+The  algorithm  post-multiplies  the  matrix  by  an elementary reflection
+transformation  which  is  given  by  column  V  and  scalar  Tau (see the
+description  of  the  GenerateReflection). Not the whole matrix but only a
+part  of  it  is  transformed (rows from M1 to M2, columns from N1 to N2).
+Only the elements of this submatrix are changed.
+
+Input parameters:
+    C       -   matrix to be transformed.
+    Tau     -   scalar defining transformation.
+    V       -   column defining transformation.
+                Array whose index ranges within [1..N2-N1+1]
+    M1, M2  -   range of rows to be transformed.
+    N1, N2  -   range of columns to be transformed.
+    WORK    -   working array whose index goes from M1 to M2.
+
+Output parameters:
+    C       -   the result of multiplying the input matrix C by the
+                transformation matrix which is given by Tau and V.
+                If N1>N2 or M1>M2, C is not modified.
+
+  -- LAPACK auxiliary routine (version 3.0) --
+     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
+     Courant Institute, Argonne National Lab, and Rice University
+     September 30, 1994
+*************************************************************************/
+void complexapplyreflectionfromtheright(ap::complex_2d_array& c,
+     ap::complex tau,
+     ap::complex_1d_array& v,
+     int m1,
+     int m2,
+     int n1,
+     int n2,
+     ap::complex_1d_array& work);
+
+
+#endif

data/ext/alglib/csolve.cpp

@@ -0,0 +1,312 @@
+
+#include <stdafx.h>
+#include <stdio.h>
+#include "csolve.h"
+
+static void testcomplexsolvesystemlu();
+
+/*************************************************************************
+Solving a system of linear equations with a system matrix given by its
+LU decomposition.
+
+The algorithm solves a system of linear equations whose matrix is given by
+its LU decomposition. In case of a singular matrix, the algorithm  returns
+False.
+
+The algorithm solves systems with a square matrix only.
+
+Input parameters:
+    A       -   LU decomposition of a system matrix in compact  form  (the
+                result of the RMatrixLU subroutine).
+    Pivots  -   row permutation table (the result of a
+                RMatrixLU subroutine).
+    B       -   right side of a system.
+                Array whose index ranges within [0..N-1].
+    N       -   size of matrix A.
+
+Output parameters:
+    X       -   solution of a system.
+                Array whose index ranges within [0..N-1].
+
+Result:
+    True, if the matrix is not singular.
+    False, if the matrux is singular. In this case, X doesn't contain a
+solution.
+
+  -- ALGLIB --
+     Copyright 2005-2008 by Bochkanov Sergey
+*************************************************************************/
+bool cmatrixlusolve(const ap::complex_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     ap::complex_1d_array b,
+     int n,
+     ap::complex_1d_array& x)
+{
+    bool result;
+    ap::complex_1d_array y;
+    int i;
+    int j;
+    ap::complex v;
+    int i_;
+
+    y.setbounds(0, n-1);
+    x.setbounds(0, n-1);
+    result = true;
+    for(i = 0; i <= n-1; i++)
+    {
+        if( a(i,i)==0 )
+        {
+            result = false;
+            return result;
+        }
+    }
+    
+    //
+    // pivots
+    //
+    for(i = 0; i <= n-1; i++)
+    {
+        if( pivots(i)!=i )
+        {
+            v = b(i);
+            b(i) = b(pivots(i));
+            b(pivots(i)) = v;
+        }
+    }
+    
+    //
+    // Ly = b
+    //
+    y(0) = b(0);
+    for(i = 1; i <= n-1; i++)
+    {
+        v = 0.0;
+        for(i_=0; i_<=i-1;i_++)
+        {
+            v += a(i,i_)*y(i_);
+        }
+        y(i) = b(i)-v;
+    }
+    
+    //
+    // Ux = y
+    //
+    x(n-1) = y(n-1)/a(n-1,n-1);
+    for(i = n-2; i >= 0; i--)
+    {
+        v = 0.0;
+        for(i_=i+1; i_<=n-1;i_++)
+        {
+            v += a(i,i_)*x(i_);
+        }
+        x(i) = (y(i)-v)/a(i,i);
+    }
+    return result;
+}
+
+
+/*************************************************************************
+Solving a system of linear equations.
+
+The algorithm solves a system of linear equations by using the
+LU decomposition. The algorithm solves systems with a square matrix only.
+
+Input parameters:
+    A   -   system matrix.
+            Array whose indexes range within [0..N-1, 0..N-1].
+    B   -   right side of a system.
+            Array whose indexes range within [0..N-1].
+    N   -   size of matrix A.
+
+Output parameters:
+    X   -   solution of a system.
+            Array whose index ranges within [0..N-1].
+
+Result:
+    True, if the matrix is not singular.
+    False, if the matrix is singular. In this case, X doesn't contain a
+solution.
+
+  -- ALGLIB --
+     Copyright 2005-2008 by Bochkanov Sergey
+*************************************************************************/
+bool cmatrixsolve(ap::complex_2d_array a,
+     ap::complex_1d_array b,
+     int n,
+     ap::complex_1d_array& x)
+{
+    bool result;
+    ap::integer_1d_array pivots;
+    int i;
+
+    cmatrixlu(a, n, n, pivots);
+    result = cmatrixlusolve(a, pivots, b, n, x);
+    return result;
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+*************************************************************************/
+bool complexsolvesystemlu(const ap::complex_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     ap::complex_1d_array b,
+     int n,
+     ap::complex_1d_array& x)
+{
+    bool result;
+    ap::complex_1d_array y;
+    int i;
+    ap::complex v;
+    int ip1;
+    int im1;
+    int i_;
+
+    y.setbounds(1, n);
+    x.setbounds(1, n);
+    result = true;
+    for(i = 1; i <= n; i++)
+    {
+        if( a(i,i)==0 )
+        {
+            result = false;
+            return result;
+        }
+    }
+    
+    //
+    // pivots
+    //
+    for(i = 1; i <= n; i++)
+    {
+        if( pivots(i)!=i )
+        {
+            v = b(i);
+            b(i) = b(pivots(i));
+            b(pivots(i)) = v;
+        }
+    }
+    
+    //
+    // Ly = b
+    //
+    y(1) = b(1);
+    for(i = 2; i <= n; i++)
+    {
+        im1 = i-1;
+        v = 0.0;
+        for(i_=1; i_<=im1;i_++)
+        {
+            v += a(i,i_)*y(i_);
+        }
+        y(i) = b(i)-v;
+    }
+    
+    //
+    // Ux = y
+    //
+    x(n) = y(n)/a(n,n);
+    for(i = n-1; i >= 1; i--)
+    {
+        ip1 = i+1;
+        v = 0.0;
+        for(i_=ip1; i_<=n;i_++)
+        {
+            v += a(i,i_)*x(i_);
+        }
+        x(i) = (y(i)-v)/a(i,i);
+    }
+    return result;
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+*************************************************************************/
+bool complexsolvesystem(ap::complex_2d_array a,
+     ap::complex_1d_array b,
+     int n,
+     ap::complex_1d_array& x)
+{
+    bool result;
+    ap::integer_1d_array pivots;
+
+    complexludecomposition(a, n, n, pivots);
+    result = complexsolvesystemlu(a, pivots, b, n, x);
+    return result;
+}
+
+
+static void testcomplexsolvesystemlu()
+{
+    int i;
+    int j;
+    double err;
+    ap::complex v;
+    ap::complex_2d_array a;
+    ap::complex_1d_array tx;
+    ap::complex_1d_array x;
+    ap::complex_1d_array b;
+    int n;
+    int pass;
+    int passcount;
+    int i_;
+
+    err = 0;
+    passcount = 1000;
+    for(pass = 1; pass <= passcount; pass++)
+    {
+        n = 1+ap::randominteger(20);
+        a.setbounds(1, n, 1, n);
+        tx.setbounds(1, n);
+        b.setbounds(1, n);
+        
+        //
+        // init A, TX
+        //
+        for(i = 1; i <= n; i++)
+        {
+            for(j = 1; j <= n; j++)
+            {
+                a(i,j).x = 2*ap::randomreal()-1;
+                a(i,j).y = 2*ap::randomreal()-1;
+            }
+        }
+        a(1+ap::randominteger(n),1+ap::randominteger(n)) = 10;
+        a(1+ap::randominteger(n),1+ap::randominteger(n)) = 7;
+        for(i = 1; i <= n; i++)
+        {
+            tx(i).x = 2*ap::randomreal()-1;
+            tx(i).y = 2*ap::randomreal()-1;
+        }
+        for(i = 1; i <= n; i++)
+        {
+            v = 0.0;
+            for(i_=1; i_<=n;i_++)
+            {
+                v += a(i,i_)*tx(i_);
+            }
+            b(i) = v;
+        }
+        
+        //
+        // solve
+        //
+        complexsolvesystem(a, b, n, x);
+        
+        //
+        // test
+        //
+        for(i = 1; i <= n; i++)
+        {
+            err = ap::maxreal(err, ap::abscomplex(tx(i)-x(i)));
+        }
+    }
+    printf("TESTING COMPLEX SOLVE SYSTEM\n");
+    printf("Pass count is %0ld\nSolveSystem absolute error is %5.3le\n",
+        long(passcount),
+        double(err));
+}
+
+
+