alglib 0.1.1

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  1. data/History.txt +7 -0
  2. data/Manifest.txt +253 -0
  3. data/README.txt +33 -0
  4. data/Rakefile +27 -0
  5. data/ext/Rakefile +24 -0
  6. data/ext/alglib.i +24 -0
  7. data/ext/alglib/Makefile +157 -0
  8. data/ext/alglib/airyf.cpp +372 -0
  9. data/ext/alglib/airyf.h +81 -0
  10. data/ext/alglib/alglib.cpp +8558 -0
  11. data/ext/alglib/alglib_util.cpp +19 -0
  12. data/ext/alglib/alglib_util.h +14 -0
  13. data/ext/alglib/ap.cpp +877 -0
  14. data/ext/alglib/ap.english.html +364 -0
  15. data/ext/alglib/ap.h +666 -0
  16. data/ext/alglib/ap.russian.html +442 -0
  17. data/ext/alglib/apvt.h +754 -0
  18. data/ext/alglib/bdss.cpp +1500 -0
  19. data/ext/alglib/bdss.h +251 -0
  20. data/ext/alglib/bdsvd.cpp +1339 -0
  21. data/ext/alglib/bdsvd.h +164 -0
  22. data/ext/alglib/bessel.cpp +1226 -0
  23. data/ext/alglib/bessel.h +331 -0
  24. data/ext/alglib/betaf.cpp +105 -0
  25. data/ext/alglib/betaf.h +74 -0
  26. data/ext/alglib/bidiagonal.cpp +1328 -0
  27. data/ext/alglib/bidiagonal.h +350 -0
  28. data/ext/alglib/binomialdistr.cpp +247 -0
  29. data/ext/alglib/binomialdistr.h +153 -0
  30. data/ext/alglib/blas.cpp +576 -0
  31. data/ext/alglib/blas.h +132 -0
  32. data/ext/alglib/cblas.cpp +226 -0
  33. data/ext/alglib/cblas.h +57 -0
  34. data/ext/alglib/cdet.cpp +138 -0
  35. data/ext/alglib/cdet.h +92 -0
  36. data/ext/alglib/chebyshev.cpp +216 -0
  37. data/ext/alglib/chebyshev.h +76 -0
  38. data/ext/alglib/chisquaredistr.cpp +157 -0
  39. data/ext/alglib/chisquaredistr.h +144 -0
  40. data/ext/alglib/cholesky.cpp +285 -0
  41. data/ext/alglib/cholesky.h +86 -0
  42. data/ext/alglib/cinverse.cpp +298 -0
  43. data/ext/alglib/cinverse.h +111 -0
  44. data/ext/alglib/clu.cpp +337 -0
  45. data/ext/alglib/clu.h +120 -0
  46. data/ext/alglib/correlation.cpp +280 -0
  47. data/ext/alglib/correlation.h +77 -0
  48. data/ext/alglib/correlationtests.cpp +726 -0
  49. data/ext/alglib/correlationtests.h +134 -0
  50. data/ext/alglib/crcond.cpp +826 -0
  51. data/ext/alglib/crcond.h +148 -0
  52. data/ext/alglib/creflections.cpp +310 -0
  53. data/ext/alglib/creflections.h +165 -0
  54. data/ext/alglib/csolve.cpp +312 -0
  55. data/ext/alglib/csolve.h +99 -0
  56. data/ext/alglib/ctrinverse.cpp +387 -0
  57. data/ext/alglib/ctrinverse.h +98 -0
  58. data/ext/alglib/ctrlinsolve.cpp +297 -0
  59. data/ext/alglib/ctrlinsolve.h +81 -0
  60. data/ext/alglib/dawson.cpp +234 -0
  61. data/ext/alglib/dawson.h +74 -0
  62. data/ext/alglib/descriptivestatistics.cpp +436 -0
  63. data/ext/alglib/descriptivestatistics.h +112 -0
  64. data/ext/alglib/det.cpp +140 -0
  65. data/ext/alglib/det.h +94 -0
  66. data/ext/alglib/dforest.cpp +1819 -0
  67. data/ext/alglib/dforest.h +316 -0
  68. data/ext/alglib/elliptic.cpp +497 -0
  69. data/ext/alglib/elliptic.h +217 -0
  70. data/ext/alglib/estnorm.cpp +429 -0
  71. data/ext/alglib/estnorm.h +107 -0
  72. data/ext/alglib/expintegrals.cpp +422 -0
  73. data/ext/alglib/expintegrals.h +108 -0
  74. data/ext/alglib/faq.english.html +258 -0
  75. data/ext/alglib/faq.russian.html +272 -0
  76. data/ext/alglib/fdistr.cpp +202 -0
  77. data/ext/alglib/fdistr.h +163 -0
  78. data/ext/alglib/fresnel.cpp +211 -0
  79. data/ext/alglib/fresnel.h +91 -0
  80. data/ext/alglib/gammaf.cpp +338 -0
  81. data/ext/alglib/gammaf.h +104 -0
  82. data/ext/alglib/gqgengauss.cpp +235 -0
  83. data/ext/alglib/gqgengauss.h +92 -0
  84. data/ext/alglib/gqgenhermite.cpp +268 -0
  85. data/ext/alglib/gqgenhermite.h +63 -0
  86. data/ext/alglib/gqgenjacobi.cpp +297 -0
  87. data/ext/alglib/gqgenjacobi.h +72 -0
  88. data/ext/alglib/gqgenlaguerre.cpp +265 -0
  89. data/ext/alglib/gqgenlaguerre.h +69 -0
  90. data/ext/alglib/gqgenlegendre.cpp +300 -0
  91. data/ext/alglib/gqgenlegendre.h +62 -0
  92. data/ext/alglib/gqgenlobatto.cpp +305 -0
  93. data/ext/alglib/gqgenlobatto.h +97 -0
  94. data/ext/alglib/gqgenradau.cpp +232 -0
  95. data/ext/alglib/gqgenradau.h +95 -0
  96. data/ext/alglib/hbisinv.cpp +480 -0
  97. data/ext/alglib/hbisinv.h +183 -0
  98. data/ext/alglib/hblas.cpp +228 -0
  99. data/ext/alglib/hblas.h +64 -0
  100. data/ext/alglib/hcholesky.cpp +339 -0
  101. data/ext/alglib/hcholesky.h +91 -0
  102. data/ext/alglib/hermite.cpp +114 -0
  103. data/ext/alglib/hermite.h +49 -0
  104. data/ext/alglib/hessenberg.cpp +370 -0
  105. data/ext/alglib/hessenberg.h +152 -0
  106. data/ext/alglib/hevd.cpp +247 -0
  107. data/ext/alglib/hevd.h +107 -0
  108. data/ext/alglib/hsschur.cpp +1316 -0
  109. data/ext/alglib/hsschur.h +108 -0
  110. data/ext/alglib/htridiagonal.cpp +734 -0
  111. data/ext/alglib/htridiagonal.h +180 -0
  112. data/ext/alglib/ialglib.cpp +6 -0
  113. data/ext/alglib/ialglib.h +9 -0
  114. data/ext/alglib/ibetaf.cpp +960 -0
  115. data/ext/alglib/ibetaf.h +125 -0
  116. data/ext/alglib/igammaf.cpp +430 -0
  117. data/ext/alglib/igammaf.h +157 -0
  118. data/ext/alglib/inv.cpp +274 -0
  119. data/ext/alglib/inv.h +115 -0
  120. data/ext/alglib/inverseupdate.cpp +480 -0
  121. data/ext/alglib/inverseupdate.h +185 -0
  122. data/ext/alglib/jacobianelliptic.cpp +164 -0
  123. data/ext/alglib/jacobianelliptic.h +94 -0
  124. data/ext/alglib/jarquebera.cpp +2271 -0
  125. data/ext/alglib/jarquebera.h +80 -0
  126. data/ext/alglib/kmeans.cpp +356 -0
  127. data/ext/alglib/kmeans.h +76 -0
  128. data/ext/alglib/laguerre.cpp +94 -0
  129. data/ext/alglib/laguerre.h +48 -0
  130. data/ext/alglib/lbfgs.cpp +1167 -0
  131. data/ext/alglib/lbfgs.h +218 -0
  132. data/ext/alglib/lda.cpp +434 -0
  133. data/ext/alglib/lda.h +133 -0
  134. data/ext/alglib/ldlt.cpp +1130 -0
  135. data/ext/alglib/ldlt.h +124 -0
  136. data/ext/alglib/leastsquares.cpp +1252 -0
  137. data/ext/alglib/leastsquares.h +290 -0
  138. data/ext/alglib/legendre.cpp +107 -0
  139. data/ext/alglib/legendre.h +49 -0
  140. data/ext/alglib/linreg.cpp +1185 -0
  141. data/ext/alglib/linreg.h +380 -0
  142. data/ext/alglib/logit.cpp +1523 -0
  143. data/ext/alglib/logit.h +333 -0
  144. data/ext/alglib/lq.cpp +399 -0
  145. data/ext/alglib/lq.h +160 -0
  146. data/ext/alglib/lu.cpp +462 -0
  147. data/ext/alglib/lu.h +119 -0
  148. data/ext/alglib/mannwhitneyu.cpp +4490 -0
  149. data/ext/alglib/mannwhitneyu.h +115 -0
  150. data/ext/alglib/minlm.cpp +918 -0
  151. data/ext/alglib/minlm.h +312 -0
  152. data/ext/alglib/mlpbase.cpp +3375 -0
  153. data/ext/alglib/mlpbase.h +589 -0
  154. data/ext/alglib/mlpe.cpp +1369 -0
  155. data/ext/alglib/mlpe.h +552 -0
  156. data/ext/alglib/mlptrain.cpp +1056 -0
  157. data/ext/alglib/mlptrain.h +283 -0
  158. data/ext/alglib/nearunityunit.cpp +91 -0
  159. data/ext/alglib/nearunityunit.h +17 -0
  160. data/ext/alglib/normaldistr.cpp +377 -0
  161. data/ext/alglib/normaldistr.h +175 -0
  162. data/ext/alglib/nsevd.cpp +1869 -0
  163. data/ext/alglib/nsevd.h +140 -0
  164. data/ext/alglib/pca.cpp +168 -0
  165. data/ext/alglib/pca.h +87 -0
  166. data/ext/alglib/poissondistr.cpp +143 -0
  167. data/ext/alglib/poissondistr.h +130 -0
  168. data/ext/alglib/polinterpolation.cpp +685 -0
  169. data/ext/alglib/polinterpolation.h +206 -0
  170. data/ext/alglib/psif.cpp +173 -0
  171. data/ext/alglib/psif.h +88 -0
  172. data/ext/alglib/qr.cpp +414 -0
  173. data/ext/alglib/qr.h +168 -0
  174. data/ext/alglib/ratinterpolation.cpp +134 -0
  175. data/ext/alglib/ratinterpolation.h +72 -0
  176. data/ext/alglib/rcond.cpp +705 -0
  177. data/ext/alglib/rcond.h +140 -0
  178. data/ext/alglib/reflections.cpp +504 -0
  179. data/ext/alglib/reflections.h +165 -0
  180. data/ext/alglib/rotations.cpp +473 -0
  181. data/ext/alglib/rotations.h +128 -0
  182. data/ext/alglib/rsolve.cpp +221 -0
  183. data/ext/alglib/rsolve.h +99 -0
  184. data/ext/alglib/sbisinv.cpp +217 -0
  185. data/ext/alglib/sbisinv.h +171 -0
  186. data/ext/alglib/sblas.cpp +185 -0
  187. data/ext/alglib/sblas.h +64 -0
  188. data/ext/alglib/schur.cpp +156 -0
  189. data/ext/alglib/schur.h +102 -0
  190. data/ext/alglib/sdet.cpp +193 -0
  191. data/ext/alglib/sdet.h +101 -0
  192. data/ext/alglib/sevd.cpp +116 -0
  193. data/ext/alglib/sevd.h +99 -0
  194. data/ext/alglib/sinverse.cpp +672 -0
  195. data/ext/alglib/sinverse.h +138 -0
  196. data/ext/alglib/spddet.cpp +138 -0
  197. data/ext/alglib/spddet.h +96 -0
  198. data/ext/alglib/spdgevd.cpp +842 -0
  199. data/ext/alglib/spdgevd.h +200 -0
  200. data/ext/alglib/spdinverse.cpp +509 -0
  201. data/ext/alglib/spdinverse.h +122 -0
  202. data/ext/alglib/spdrcond.cpp +421 -0
  203. data/ext/alglib/spdrcond.h +118 -0
  204. data/ext/alglib/spdsolve.cpp +275 -0
  205. data/ext/alglib/spdsolve.h +105 -0
  206. data/ext/alglib/spline2d.cpp +1192 -0
  207. data/ext/alglib/spline2d.h +301 -0
  208. data/ext/alglib/spline3.cpp +1264 -0
  209. data/ext/alglib/spline3.h +290 -0
  210. data/ext/alglib/srcond.cpp +595 -0
  211. data/ext/alglib/srcond.h +127 -0
  212. data/ext/alglib/ssolve.cpp +895 -0
  213. data/ext/alglib/ssolve.h +139 -0
  214. data/ext/alglib/stdafx.h +0 -0
  215. data/ext/alglib/stest.cpp +131 -0
  216. data/ext/alglib/stest.h +94 -0
  217. data/ext/alglib/studenttdistr.cpp +222 -0
  218. data/ext/alglib/studenttdistr.h +115 -0
  219. data/ext/alglib/studentttests.cpp +377 -0
  220. data/ext/alglib/studentttests.h +178 -0
  221. data/ext/alglib/svd.cpp +620 -0
  222. data/ext/alglib/svd.h +126 -0
  223. data/ext/alglib/tdbisinv.cpp +2608 -0
  224. data/ext/alglib/tdbisinv.h +228 -0
  225. data/ext/alglib/tdevd.cpp +1229 -0
  226. data/ext/alglib/tdevd.h +115 -0
  227. data/ext/alglib/tridiagonal.cpp +594 -0
  228. data/ext/alglib/tridiagonal.h +171 -0
  229. data/ext/alglib/trigintegrals.cpp +490 -0
  230. data/ext/alglib/trigintegrals.h +131 -0
  231. data/ext/alglib/trinverse.cpp +345 -0
  232. data/ext/alglib/trinverse.h +98 -0
  233. data/ext/alglib/trlinsolve.cpp +926 -0
  234. data/ext/alglib/trlinsolve.h +73 -0
  235. data/ext/alglib/tsort.cpp +405 -0
  236. data/ext/alglib/tsort.h +54 -0
  237. data/ext/alglib/variancetests.cpp +245 -0
  238. data/ext/alglib/variancetests.h +134 -0
  239. data/ext/alglib/wsr.cpp +6285 -0
  240. data/ext/alglib/wsr.h +96 -0
  241. data/ext/ap.i +97 -0
  242. data/ext/correlation.i +24 -0
  243. data/ext/extconf.rb +6 -0
  244. data/ext/logit.i +89 -0
  245. data/lib/alglib.rb +71 -0
  246. data/lib/alglib/correlation.rb +26 -0
  247. data/lib/alglib/linearregression.rb +63 -0
  248. data/lib/alglib/logit.rb +42 -0
  249. data/test/test_alglib.rb +52 -0
  250. data/test/test_correlation.rb +44 -0
  251. data/test/test_correlationtest.rb +45 -0
  252. data/test/test_linreg.rb +35 -0
  253. data/test/test_logit.rb +43 -0
  254. data/test/test_pca.rb +27 -0
  255. metadata +326 -0
@@ -0,0 +1,49 @@
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+
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+ #ifndef _hermite_h
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+ #define _hermite_h
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+
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+ #include "ap.h"
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+ #include "ialglib.h"
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+
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+ /*************************************************************************
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+ Calculation of the value of the Hermite polynomial.
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+
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+ Parameters:
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+ n - degree, n>=0
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+ x - argument
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+
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+ Result:
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+ the value of the Hermite polynomial Hn at x
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+ *************************************************************************/
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+ double hermitecalculate(const int& n, const double& x);
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+
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+
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+ /*************************************************************************
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+ Summation of Hermite polynomials using Clenshaw�s recurrence formula.
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+
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+ This routine calculates
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+ c[0]*H0(x) + c[1]*H1(x) + ... + c[N]*HN(x)
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+
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+ Parameters:
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+ n - degree, n>=0
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+ x - argument
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+
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+ Result:
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+ the value of the Hermite polynomial at x
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+ *************************************************************************/
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+ double hermitesum(const ap::real_1d_array& c, const int& n, const double& x);
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+
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+
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+ /*************************************************************************
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+ Representation of Hn as C[0] + C[1]*X + ... + C[N]*X^N
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+
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+ Input parameters:
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+ N - polynomial degree, n>=0
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+
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+ Output parameters:
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+ C - coefficients
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+ *************************************************************************/
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+ void hermitecoefficients(const int& n, ap::real_1d_array& c);
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+
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+
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+ #endif
@@ -0,0 +1,370 @@
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+ /*************************************************************************
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+ Copyright (c) 1992-2007 The University of Tennessee. All rights reserved.
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+
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+ Contributors:
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+ * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
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+ pseudocode.
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+
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+ See subroutines comments for additional copyrights.
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+
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+ Redistribution and use in source and binary forms, with or without
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+ modification, are permitted provided that the following conditions are
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+ met:
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+
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+ - Redistributions of source code must retain the above copyright
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+ notice, this list of conditions and the following disclaimer.
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+
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+ - Redistributions in binary form must reproduce the above copyright
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+ notice, this list of conditions and the following disclaimer listed
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+ in this license in the documentation and/or other materials
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+ provided with the distribution.
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+
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+ - Neither the name of the copyright holders nor the names of its
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+ contributors may be used to endorse or promote products derived from
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+ this software without specific prior written permission.
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+
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+ THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
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+ "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
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+ LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
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+ A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
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+ OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
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+ SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
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+ LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
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+ DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
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+ THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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+ (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
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+ OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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+ *************************************************************************/
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+
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+ #include <stdafx.h>
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+ #include "hessenberg.h"
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+
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+ /*************************************************************************
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+ Reduction of a square matrix to upper Hessenberg form: Q'*A*Q = H,
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+ where Q is an orthogonal matrix, H - Hessenberg matrix.
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+
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+ Input parameters:
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+ A - matrix A with elements [0..N-1, 0..N-1]
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+ N - size of matrix A.
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+
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+ Output parameters:
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+ A - matrices Q and P in compact form (see below).
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+ Tau - array of scalar factors which are used to form matrix Q.
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+ Array whose index ranges within [0..N-2]
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+
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+ Matrix H is located on the main diagonal, on the lower secondary diagonal
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+ and above the main diagonal of matrix A. The elements which are used to
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+ form matrix Q are situated in array Tau and below the lower secondary
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+ diagonal of matrix A as follows:
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+
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+ Matrix Q is represented as a product of elementary reflections
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+
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+ Q = H(0)*H(2)*...*H(n-2),
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+
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+ where each H(i) is given by
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+
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+ H(i) = 1 - tau * v * (v^T)
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+
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+ where tau is a scalar stored in Tau[I]; v - is a real vector,
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+ so that v(0:i) = 0, v(i+1) = 1, v(i+2:n-1) stored in A(i+2:n-1,i).
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+
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+ -- LAPACK routine (version 3.0) --
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+ Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
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+ Courant Institute, Argonne National Lab, and Rice University
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+ October 31, 1992
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+ *************************************************************************/
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+ void rmatrixhessenberg(ap::real_2d_array& a, int n, ap::real_1d_array& tau)
77
+ {
78
+ int i;
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+ double v;
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+ ap::real_1d_array t;
81
+ ap::real_1d_array work;
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+
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+ ap::ap_error::make_assertion(n>=0, "RMatrixHessenberg: incorrect N!");
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+
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+ //
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+ // Quick return if possible
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+ //
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+ if( n<=1 )
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+ {
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+ return;
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+ }
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+ tau.setbounds(0, n-2);
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+ t.setbounds(1, n);
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+ work.setbounds(0, n-1);
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+ for(i = 0; i <= n-2; i++)
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+ {
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+
98
+ //
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+ // Compute elementary reflector H(i) to annihilate A(i+2:ihi,i)
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+ //
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+ ap::vmove(t.getvector(1, n-i-1), a.getcolumn(i, i+1, n-1));
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+ generatereflection(t, n-i-1, v);
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+ ap::vmove(a.getcolumn(i, i+1, n-1), t.getvector(1, n-i-1));
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+ tau(i) = v;
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+ t(1) = 1;
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+
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+ //
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+ // Apply H(i) to A(1:ihi,i+1:ihi) from the right
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+ //
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+ applyreflectionfromtheright(a, v, t, 0, n-1, i+1, n-1, work);
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+
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+ //
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+ // Apply H(i) to A(i+1:ihi,i+1:n) from the left
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+ //
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+ applyreflectionfromtheleft(a, v, t, i+1, n-1, i+1, n-1, work);
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+ }
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+ }
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+
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+
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+ /*************************************************************************
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+ Unpacking matrix Q which reduces matrix A to upper Hessenberg form
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+
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+ Input parameters:
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+ A - output of RMatrixHessenberg subroutine.
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+ N - size of matrix A.
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+ Tau - scalar factors which are used to form Q.
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+ Output of RMatrixHessenberg subroutine.
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+
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+ Output parameters:
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+ Q - matrix Q.
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+ Array whose indexes range within [0..N-1, 0..N-1].
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+
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+ -- ALGLIB --
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+ Copyright 2005 by Bochkanov Sergey
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+ *************************************************************************/
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+ void rmatrixhessenbergunpackq(const ap::real_2d_array& a,
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+ int n,
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+ const ap::real_1d_array& tau,
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+ ap::real_2d_array& q)
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+ {
141
+ int i;
142
+ int j;
143
+ ap::real_1d_array v;
144
+ ap::real_1d_array work;
145
+
146
+ if( n==0 )
147
+ {
148
+ return;
149
+ }
150
+
151
+ //
152
+ // init
153
+ //
154
+ q.setbounds(0, n-1, 0, n-1);
155
+ v.setbounds(0, n-1);
156
+ work.setbounds(0, n-1);
157
+ for(i = 0; i <= n-1; i++)
158
+ {
159
+ for(j = 0; j <= n-1; j++)
160
+ {
161
+ if( i==j )
162
+ {
163
+ q(i,j) = 1;
164
+ }
165
+ else
166
+ {
167
+ q(i,j) = 0;
168
+ }
169
+ }
170
+ }
171
+
172
+ //
173
+ // unpack Q
174
+ //
175
+ for(i = 0; i <= n-2; i++)
176
+ {
177
+
178
+ //
179
+ // Apply H(i)
180
+ //
181
+ ap::vmove(v.getvector(1, n-i-1), a.getcolumn(i, i+1, n-1));
182
+ v(1) = 1;
183
+ applyreflectionfromtheright(q, tau(i), v, 0, n-1, i+1, n-1, work);
184
+ }
185
+ }
186
+
187
+
188
+ /*************************************************************************
189
+ Unpacking matrix H (the result of matrix A reduction to upper Hessenberg form)
190
+
191
+ Input parameters:
192
+ A - output of RMatrixHessenberg subroutine.
193
+ N - size of matrix A.
194
+
195
+ Output parameters:
196
+ H - matrix H. Array whose indexes range within [0..N-1, 0..N-1].
197
+
198
+ -- ALGLIB --
199
+ Copyright 2005 by Bochkanov Sergey
200
+ *************************************************************************/
201
+ void rmatrixhessenbergunpackh(const ap::real_2d_array& a,
202
+ int n,
203
+ ap::real_2d_array& h)
204
+ {
205
+ int i;
206
+ int j;
207
+ ap::real_1d_array v;
208
+ ap::real_1d_array work;
209
+
210
+ if( n==0 )
211
+ {
212
+ return;
213
+ }
214
+ h.setbounds(0, n-1, 0, n-1);
215
+ for(i = 0; i <= n-1; i++)
216
+ {
217
+ for(j = 0; j <= i-2; j++)
218
+ {
219
+ h(i,j) = 0;
220
+ }
221
+ j = ap::maxint(0, i-1);
222
+ ap::vmove(&h(i, j), &a(i, j), ap::vlen(j,n-1));
223
+ }
224
+ }
225
+
226
+
227
+ /*************************************************************************
228
+ Obsolete 1-based subroutine.
229
+ See RMatrixHessenberg for 0-based replacement.
230
+ *************************************************************************/
231
+ void toupperhessenberg(ap::real_2d_array& a, int n, ap::real_1d_array& tau)
232
+ {
233
+ int i;
234
+ int ip1;
235
+ int nmi;
236
+ double v;
237
+ ap::real_1d_array t;
238
+ ap::real_1d_array work;
239
+
240
+ ap::ap_error::make_assertion(n>=0, "ToUpperHessenberg: incorrect N!");
241
+
242
+ //
243
+ // Quick return if possible
244
+ //
245
+ if( n<=1 )
246
+ {
247
+ return;
248
+ }
249
+ tau.setbounds(1, n-1);
250
+ t.setbounds(1, n);
251
+ work.setbounds(1, n);
252
+ for(i = 1; i <= n-1; i++)
253
+ {
254
+
255
+ //
256
+ // Compute elementary reflector H(i) to annihilate A(i+2:ihi,i)
257
+ //
258
+ ip1 = i+1;
259
+ nmi = n-i;
260
+ ap::vmove(t.getvector(1, nmi), a.getcolumn(i, ip1, n));
261
+ generatereflection(t, nmi, v);
262
+ ap::vmove(a.getcolumn(i, ip1, n), t.getvector(1, nmi));
263
+ tau(i) = v;
264
+ t(1) = 1;
265
+
266
+ //
267
+ // Apply H(i) to A(1:ihi,i+1:ihi) from the right
268
+ //
269
+ applyreflectionfromtheright(a, v, t, 1, n, i+1, n, work);
270
+
271
+ //
272
+ // Apply H(i) to A(i+1:ihi,i+1:n) from the left
273
+ //
274
+ applyreflectionfromtheleft(a, v, t, i+1, n, i+1, n, work);
275
+ }
276
+ }
277
+
278
+
279
+ /*************************************************************************
280
+ Obsolete 1-based subroutine.
281
+ See RMatrixHessenbergUnpackQ for 0-based replacement.
282
+ *************************************************************************/
283
+ void unpackqfromupperhessenberg(const ap::real_2d_array& a,
284
+ int n,
285
+ const ap::real_1d_array& tau,
286
+ ap::real_2d_array& q)
287
+ {
288
+ int i;
289
+ int j;
290
+ ap::real_1d_array v;
291
+ ap::real_1d_array work;
292
+ int ip1;
293
+ int nmi;
294
+
295
+ if( n==0 )
296
+ {
297
+ return;
298
+ }
299
+
300
+ //
301
+ // init
302
+ //
303
+ q.setbounds(1, n, 1, n);
304
+ v.setbounds(1, n);
305
+ work.setbounds(1, n);
306
+ for(i = 1; i <= n; i++)
307
+ {
308
+ for(j = 1; j <= n; j++)
309
+ {
310
+ if( i==j )
311
+ {
312
+ q(i,j) = 1;
313
+ }
314
+ else
315
+ {
316
+ q(i,j) = 0;
317
+ }
318
+ }
319
+ }
320
+
321
+ //
322
+ // unpack Q
323
+ //
324
+ for(i = 1; i <= n-1; i++)
325
+ {
326
+
327
+ //
328
+ // Apply H(i)
329
+ //
330
+ ip1 = i+1;
331
+ nmi = n-i;
332
+ ap::vmove(v.getvector(1, nmi), a.getcolumn(i, ip1, n));
333
+ v(1) = 1;
334
+ applyreflectionfromtheright(q, tau(i), v, 1, n, i+1, n, work);
335
+ }
336
+ }
337
+
338
+
339
+ /*************************************************************************
340
+ Obsolete 1-based subroutine.
341
+ See RMatrixHessenbergUnpackH for 0-based replacement.
342
+ *************************************************************************/
343
+ void unpackhfromupperhessenberg(const ap::real_2d_array& a,
344
+ int n,
345
+ const ap::real_1d_array& tau,
346
+ ap::real_2d_array& h)
347
+ {
348
+ int i;
349
+ int j;
350
+ ap::real_1d_array v;
351
+ ap::real_1d_array work;
352
+
353
+ if( n==0 )
354
+ {
355
+ return;
356
+ }
357
+ h.setbounds(1, n, 1, n);
358
+ for(i = 1; i <= n; i++)
359
+ {
360
+ for(j = 1; j <= i-2; j++)
361
+ {
362
+ h(i,j) = 0;
363
+ }
364
+ j = ap::maxint(1, i-1);
365
+ ap::vmove(&h(i, j), &a(i, j), ap::vlen(j,n));
366
+ }
367
+ }
368
+
369
+
370
+
@@ -0,0 +1,152 @@
1
+ /*************************************************************************
2
+ Copyright (c) 1992-2007 The University of Tennessee. All rights reserved.
3
+
4
+ Contributors:
5
+ * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
6
+ pseudocode.
7
+
8
+ See subroutines comments for additional copyrights.
9
+
10
+ Redistribution and use in source and binary forms, with or without
11
+ modification, are permitted provided that the following conditions are
12
+ met:
13
+
14
+ - Redistributions of source code must retain the above copyright
15
+ notice, this list of conditions and the following disclaimer.
16
+
17
+ - Redistributions in binary form must reproduce the above copyright
18
+ notice, this list of conditions and the following disclaimer listed
19
+ in this license in the documentation and/or other materials
20
+ provided with the distribution.
21
+
22
+ - Neither the name of the copyright holders nor the names of its
23
+ contributors may be used to endorse or promote products derived from
24
+ this software without specific prior written permission.
25
+
26
+ THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
27
+ "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
28
+ LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
29
+ A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
30
+ OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
31
+ SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
32
+ LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
33
+ DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
34
+ THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
35
+ (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
36
+ OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
37
+ *************************************************************************/
38
+
39
+ #ifndef _hessenberg_h
40
+ #define _hessenberg_h
41
+
42
+ #include "ap.h"
43
+ #include "ialglib.h"
44
+
45
+ #include "reflections.h"
46
+
47
+
48
+ /*************************************************************************
49
+ Reduction of a square matrix to upper Hessenberg form: Q'*A*Q = H,
50
+ where Q is an orthogonal matrix, H - Hessenberg matrix.
51
+
52
+ Input parameters:
53
+ A - matrix A with elements [0..N-1, 0..N-1]
54
+ N - size of matrix A.
55
+
56
+ Output parameters:
57
+ A - matrices Q and P in compact form (see below).
58
+ Tau - array of scalar factors which are used to form matrix Q.
59
+ Array whose index ranges within [0..N-2]
60
+
61
+ Matrix H is located on the main diagonal, on the lower secondary diagonal
62
+ and above the main diagonal of matrix A. The elements which are used to
63
+ form matrix Q are situated in array Tau and below the lower secondary
64
+ diagonal of matrix A as follows:
65
+
66
+ Matrix Q is represented as a product of elementary reflections
67
+
68
+ Q = H(0)*H(2)*...*H(n-2),
69
+
70
+ where each H(i) is given by
71
+
72
+ H(i) = 1 - tau * v * (v^T)
73
+
74
+ where tau is a scalar stored in Tau[I]; v - is a real vector,
75
+ so that v(0:i) = 0, v(i+1) = 1, v(i+2:n-1) stored in A(i+2:n-1,i).
76
+
77
+ -- LAPACK routine (version 3.0) --
78
+ Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
79
+ Courant Institute, Argonne National Lab, and Rice University
80
+ October 31, 1992
81
+ *************************************************************************/
82
+ void rmatrixhessenberg(ap::real_2d_array& a, int n, ap::real_1d_array& tau);
83
+
84
+
85
+ /*************************************************************************
86
+ Unpacking matrix Q which reduces matrix A to upper Hessenberg form
87
+
88
+ Input parameters:
89
+ A - output of RMatrixHessenberg subroutine.
90
+ N - size of matrix A.
91
+ Tau - scalar factors which are used to form Q.
92
+ Output of RMatrixHessenberg subroutine.
93
+
94
+ Output parameters:
95
+ Q - matrix Q.
96
+ Array whose indexes range within [0..N-1, 0..N-1].
97
+
98
+ -- ALGLIB --
99
+ Copyright 2005 by Bochkanov Sergey
100
+ *************************************************************************/
101
+ void rmatrixhessenbergunpackq(const ap::real_2d_array& a,
102
+ int n,
103
+ const ap::real_1d_array& tau,
104
+ ap::real_2d_array& q);
105
+
106
+
107
+ /*************************************************************************
108
+ Unpacking matrix H (the result of matrix A reduction to upper Hessenberg form)
109
+
110
+ Input parameters:
111
+ A - output of RMatrixHessenberg subroutine.
112
+ N - size of matrix A.
113
+
114
+ Output parameters:
115
+ H - matrix H. Array whose indexes range within [0..N-1, 0..N-1].
116
+
117
+ -- ALGLIB --
118
+ Copyright 2005 by Bochkanov Sergey
119
+ *************************************************************************/
120
+ void rmatrixhessenbergunpackh(const ap::real_2d_array& a,
121
+ int n,
122
+ ap::real_2d_array& h);
123
+
124
+
125
+ /*************************************************************************
126
+ Obsolete 1-based subroutine.
127
+ See RMatrixHessenberg for 0-based replacement.
128
+ *************************************************************************/
129
+ void toupperhessenberg(ap::real_2d_array& a, int n, ap::real_1d_array& tau);
130
+
131
+
132
+ /*************************************************************************
133
+ Obsolete 1-based subroutine.
134
+ See RMatrixHessenbergUnpackQ for 0-based replacement.
135
+ *************************************************************************/
136
+ void unpackqfromupperhessenberg(const ap::real_2d_array& a,
137
+ int n,
138
+ const ap::real_1d_array& tau,
139
+ ap::real_2d_array& q);
140
+
141
+
142
+ /*************************************************************************
143
+ Obsolete 1-based subroutine.
144
+ See RMatrixHessenbergUnpackH for 0-based replacement.
145
+ *************************************************************************/
146
+ void unpackhfromupperhessenberg(const ap::real_2d_array& a,
147
+ int n,
148
+ const ap::real_1d_array& tau,
149
+ ap::real_2d_array& h);
150
+
151
+
152
+ #endif