alglib 0.1.1

data/ext/alglib/hbisinv.h

@@ -0,0 +1,183 @@
+/*************************************************************************
+Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).
+
+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 _hbisinv_h
+#define _hbisinv_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "cblas.h"
+#include "creflections.h"
+#include "hblas.h"
+#include "htridiagonal.h"
+#include "blas.h"
+#include "tdbisinv.h"
+
+
+/*************************************************************************
+Subroutine for finding the eigenvalues (and eigenvectors) of  a  Hermitian
+matrix  in  a  given half-interval (A, B] by using a bisection and inverse
+iteration
+
+Input parameters:
+    A       -   Hermitian matrix which is given  by  its  upper  or  lower
+                triangular  part.  Array  whose   indexes   range   within
+                [0..N-1, 0..N-1].
+    N       -   size of matrix A.
+    ZNeeded -   flag controlling whether the eigenvectors  are  needed  or
+                not. If ZNeeded is equal to:
+                 * 0, the eigenvectors are not returned;
+                 * 1, the eigenvectors are returned.
+    IsUpperA -  storage format of matrix A.
+    B1, B2 -    half-interval (B1, B2] to search eigenvalues in.
+
+Output parameters:
+    M       -   number of eigenvalues found in a given half-interval, M>=0
+    W       -   array of the eigenvalues found.
+                Array whose index ranges within [0..M-1].
+    Z       -   if ZNeeded is equal to:
+                 * 0, Z hasn�t changed;
+                 * 1, Z contains eigenvectors.
+                Array whose indexes range within [0..N-1, 0..M-1].
+                The eigenvectors are stored in the matrix columns.
+
+Result:
+    True, if successful. M contains the number of eigenvalues in the given
+    half-interval (could be equal to 0), W contains the eigenvalues,
+    Z contains the eigenvectors (if needed).
+
+    False, if the bisection method subroutine  wasn't  able  to  find  the
+    eigenvalues  in  the  given  interval  or  if  the  inverse  iteration
+    subroutine  wasn't  able  to  find all the corresponding eigenvectors.
+    In that case, the eigenvalues and eigenvectors are not returned, M  is
+    equal to 0.
+
+Note:
+    eigen vectors of Hermitian matrix are defined up to multiplication  by
+    a complex number L, such as |L|=1.
+
+  -- ALGLIB --
+     Copyright 07.01.2006, 24.03.2007 by Bochkanov Sergey.
+*************************************************************************/
+bool hmatrixevdr(ap::complex_2d_array a,
+     int n,
+     int zneeded,
+     bool isupper,
+     double b1,
+     double b2,
+     int& m,
+     ap::real_1d_array& w,
+     ap::complex_2d_array& z);
+
+
+/*************************************************************************
+Subroutine for finding the eigenvalues and  eigenvectors  of  a  Hermitian
+matrix with given indexes by using bisection and inverse iteration methods
+
+Input parameters:
+    A       -   Hermitian matrix which is given  by  its  upper  or  lower
+                triangular part.
+                Array whose indexes range within [0..N-1, 0..N-1].
+    N       -   size of matrix A.
+    ZNeeded -   flag controlling whether the eigenvectors  are  needed  or
+                not. If ZNeeded is equal to:
+                 * 0, the eigenvectors are not returned;
+                 * 1, the eigenvectors are returned.
+    IsUpperA -  storage format of matrix A.
+    I1, I2 -    index interval for searching (from I1 to I2).
+                0 <= I1 <= I2 <= N-1.
+
+Output parameters:
+    W       -   array of the eigenvalues found.
+                Array whose index ranges within [0..I2-I1].
+    Z       -   if ZNeeded is equal to:
+                 * 0, Z hasn�t changed;
+                 * 1, Z contains eigenvectors.
+                Array whose indexes range within [0..N-1, 0..I2-I1].
+                In  that  case,  the eigenvectors are stored in the matrix
+                columns.
+
+Result:
+    True, if successful. W contains the eigenvalues, Z contains the
+    eigenvectors (if needed).
+
+    False, if the bisection method subroutine  wasn't  able  to  find  the
+    eigenvalues  in  the  given  interval  or  if  the  inverse  iteration
+    subroutine wasn't able to find  all  the  corresponding  eigenvectors.
+    In that case, the eigenvalues and eigenvectors are not returned.
+
+Note:
+    eigen vectors of Hermitian matrix are defined up to multiplication  by
+    a complex number L, such as |L|=1.
+
+  -- ALGLIB --
+     Copyright 07.01.2006, 24.03.2007 by Bochkanov Sergey.
+*************************************************************************/
+bool hmatrixevdi(ap::complex_2d_array a,
+     int n,
+     int zneeded,
+     bool isupper,
+     int i1,
+     int i2,
+     ap::real_1d_array& w,
+     ap::complex_2d_array& z);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+*************************************************************************/
+bool hermitianeigenvaluesandvectorsininterval(ap::complex_2d_array a,
+     int n,
+     int zneeded,
+     bool isupper,
+     double b1,
+     double b2,
+     int& m,
+     ap::real_1d_array& w,
+     ap::complex_2d_array& z);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+*************************************************************************/
+bool hermitianeigenvaluesandvectorsbyindexes(ap::complex_2d_array a,
+     int n,
+     int zneeded,
+     bool isupper,
+     int i1,
+     int i2,
+     ap::real_1d_array& w,
+     ap::complex_2d_array& z);
+
+
+#endif

data/ext/alglib/hblas.cpp

@@ -0,0 +1,228 @@
+/*************************************************************************
+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.
+*************************************************************************/
+
+#include <stdafx.h>
+#include "hblas.h"
+
+void hermitianmatrixvectormultiply(const ap::complex_2d_array& a,
+     bool isupper,
+     int i1,
+     int i2,
+     const ap::complex_1d_array& x,
+     ap::complex alpha,
+     ap::complex_1d_array& y)
+{
+    int i;
+    int ba1;
+    int ba2;
+    int by1;
+    int by2;
+    int bx1;
+    int bx2;
+    int n;
+    ap::complex v;
+    int i_;
+    int i1_;
+
+    n = i2-i1+1;
+    if( n<=0 )
+    {
+        return;
+    }
+    
+    //
+    // Let A = L + D + U, where
+    //  L is strictly lower triangular (main diagonal is zero)
+    //  D is diagonal
+    //  U is strictly upper triangular (main diagonal is zero)
+    //
+    // A*x = L*x + D*x + U*x
+    //
+    // Calculate D*x first
+    //
+    for(i = i1; i <= i2; i++)
+    {
+        y(i-i1+1) = a(i,i)*x(i-i1+1);
+    }
+    
+    //
+    // Add L*x + U*x
+    //
+    if( isupper )
+    {
+        for(i = i1; i <= i2-1; i++)
+        {
+            
+            //
+            // Add L*x to the result
+            //
+            v = x(i-i1+1);
+            by1 = i-i1+2;
+            by2 = n;
+            ba1 = i+1;
+            ba2 = i2;
+            i1_ = (ba1) - (by1);
+            for(i_=by1; i_<=by2;i_++)
+            {
+                y(i_) = y(i_) + v*ap::conj(a(i,i_+i1_));
+            }
+            
+            //
+            // Add U*x to the result
+            //
+            bx1 = i-i1+2;
+            bx2 = n;
+            ba1 = i+1;
+            ba2 = i2;
+            i1_ = (ba1)-(bx1);
+            v = 0.0;
+            for(i_=bx1; i_<=bx2;i_++)
+            {
+                v += x(i_)*a(i,i_+i1_);
+            }
+            y(i-i1+1) = y(i-i1+1)+v;
+        }
+    }
+    else
+    {
+        for(i = i1+1; i <= i2; i++)
+        {
+            
+            //
+            // Add L*x to the result
+            //
+            bx1 = 1;
+            bx2 = i-i1;
+            ba1 = i1;
+            ba2 = i-1;
+            i1_ = (ba1)-(bx1);
+            v = 0.0;
+            for(i_=bx1; i_<=bx2;i_++)
+            {
+                v += x(i_)*a(i,i_+i1_);
+            }
+            y(i-i1+1) = y(i-i1+1)+v;
+            
+            //
+            // Add U*x to the result
+            //
+            v = x(i-i1+1);
+            by1 = 1;
+            by2 = i-i1;
+            ba1 = i1;
+            ba2 = i-1;
+            i1_ = (ba1) - (by1);
+            for(i_=by1; i_<=by2;i_++)
+            {
+                y(i_) = y(i_) + v*ap::conj(a(i,i_+i1_));
+            }
+        }
+    }
+    for(i_=1; i_<=n;i_++)
+    {
+        y(i_) = alpha*y(i_);
+    }
+}
+
+
+void hermitianrank2update(ap::complex_2d_array& a,
+     bool isupper,
+     int i1,
+     int i2,
+     const ap::complex_1d_array& x,
+     const ap::complex_1d_array& y,
+     ap::complex_1d_array& t,
+     ap::complex alpha)
+{
+    int i;
+    int tp1;
+    int tp2;
+    ap::complex v;
+    int i_;
+    int i1_;
+
+    if( isupper )
+    {
+        for(i = i1; i <= i2; i++)
+        {
+            tp1 = i+1-i1;
+            tp2 = i2-i1+1;
+            v = alpha*x(i+1-i1);
+            for(i_=tp1; i_<=tp2;i_++)
+            {
+                t(i_) = v*ap::conj(y(i_));
+            }
+            v = ap::conj(alpha)*y(i+1-i1);
+            for(i_=tp1; i_<=tp2;i_++)
+            {
+                t(i_) = t(i_) + v*ap::conj(x(i_));
+            }
+            i1_ = (tp1) - (i);
+            for(i_=i; i_<=i2;i_++)
+            {
+                a(i,i_) = a(i,i_) + t(i_+i1_);
+            }
+        }
+    }
+    else
+    {
+        for(i = i1; i <= i2; i++)
+        {
+            tp1 = 1;
+            tp2 = i+1-i1;
+            v = alpha*x(i+1-i1);
+            for(i_=tp1; i_<=tp2;i_++)
+            {
+                t(i_) = v*ap::conj(y(i_));
+            }
+            v = ap::conj(alpha)*y(i+1-i1);
+            for(i_=tp1; i_<=tp2;i_++)
+            {
+                t(i_) = t(i_) + v*ap::conj(x(i_));
+            }
+            i1_ = (tp1) - (i1);
+            for(i_=i1; i_<=i;i_++)
+            {
+                a(i,i_) = a(i,i_) + t(i_+i1_);
+            }
+        }
+    }
+}
+
+
+

data/ext/alglib/hblas.h

@@ -0,0 +1,64 @@
+/*************************************************************************
+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 _hblas_h
+#define _hblas_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+void hermitianmatrixvectormultiply(const ap::complex_2d_array& a,
+     bool isupper,
+     int i1,
+     int i2,
+     const ap::complex_1d_array& x,
+     ap::complex alpha,
+     ap::complex_1d_array& y);
+
+
+void hermitianrank2update(ap::complex_2d_array& a,
+     bool isupper,
+     int i1,
+     int i2,
+     const ap::complex_1d_array& x,
+     const ap::complex_1d_array& y,
+     ap::complex_1d_array& t,
+     ap::complex alpha);
+
+
+#endif