alglib 0.1.1
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- data/History.txt +7 -0
- data/Manifest.txt +253 -0
- data/README.txt +33 -0
- data/Rakefile +27 -0
- data/ext/Rakefile +24 -0
- data/ext/alglib.i +24 -0
- data/ext/alglib/Makefile +157 -0
- data/ext/alglib/airyf.cpp +372 -0
- data/ext/alglib/airyf.h +81 -0
- data/ext/alglib/alglib.cpp +8558 -0
- data/ext/alglib/alglib_util.cpp +19 -0
- data/ext/alglib/alglib_util.h +14 -0
- data/ext/alglib/ap.cpp +877 -0
- data/ext/alglib/ap.english.html +364 -0
- data/ext/alglib/ap.h +666 -0
- data/ext/alglib/ap.russian.html +442 -0
- data/ext/alglib/apvt.h +754 -0
- data/ext/alglib/bdss.cpp +1500 -0
- data/ext/alglib/bdss.h +251 -0
- data/ext/alglib/bdsvd.cpp +1339 -0
- data/ext/alglib/bdsvd.h +164 -0
- data/ext/alglib/bessel.cpp +1226 -0
- data/ext/alglib/bessel.h +331 -0
- data/ext/alglib/betaf.cpp +105 -0
- data/ext/alglib/betaf.h +74 -0
- data/ext/alglib/bidiagonal.cpp +1328 -0
- data/ext/alglib/bidiagonal.h +350 -0
- data/ext/alglib/binomialdistr.cpp +247 -0
- data/ext/alglib/binomialdistr.h +153 -0
- data/ext/alglib/blas.cpp +576 -0
- data/ext/alglib/blas.h +132 -0
- data/ext/alglib/cblas.cpp +226 -0
- data/ext/alglib/cblas.h +57 -0
- data/ext/alglib/cdet.cpp +138 -0
- data/ext/alglib/cdet.h +92 -0
- data/ext/alglib/chebyshev.cpp +216 -0
- data/ext/alglib/chebyshev.h +76 -0
- data/ext/alglib/chisquaredistr.cpp +157 -0
- data/ext/alglib/chisquaredistr.h +144 -0
- data/ext/alglib/cholesky.cpp +285 -0
- data/ext/alglib/cholesky.h +86 -0
- data/ext/alglib/cinverse.cpp +298 -0
- data/ext/alglib/cinverse.h +111 -0
- data/ext/alglib/clu.cpp +337 -0
- data/ext/alglib/clu.h +120 -0
- data/ext/alglib/correlation.cpp +280 -0
- data/ext/alglib/correlation.h +77 -0
- data/ext/alglib/correlationtests.cpp +726 -0
- data/ext/alglib/correlationtests.h +134 -0
- data/ext/alglib/crcond.cpp +826 -0
- data/ext/alglib/crcond.h +148 -0
- data/ext/alglib/creflections.cpp +310 -0
- data/ext/alglib/creflections.h +165 -0
- data/ext/alglib/csolve.cpp +312 -0
- data/ext/alglib/csolve.h +99 -0
- data/ext/alglib/ctrinverse.cpp +387 -0
- data/ext/alglib/ctrinverse.h +98 -0
- data/ext/alglib/ctrlinsolve.cpp +297 -0
- data/ext/alglib/ctrlinsolve.h +81 -0
- data/ext/alglib/dawson.cpp +234 -0
- data/ext/alglib/dawson.h +74 -0
- data/ext/alglib/descriptivestatistics.cpp +436 -0
- data/ext/alglib/descriptivestatistics.h +112 -0
- data/ext/alglib/det.cpp +140 -0
- data/ext/alglib/det.h +94 -0
- data/ext/alglib/dforest.cpp +1819 -0
- data/ext/alglib/dforest.h +316 -0
- data/ext/alglib/elliptic.cpp +497 -0
- data/ext/alglib/elliptic.h +217 -0
- data/ext/alglib/estnorm.cpp +429 -0
- data/ext/alglib/estnorm.h +107 -0
- data/ext/alglib/expintegrals.cpp +422 -0
- data/ext/alglib/expintegrals.h +108 -0
- data/ext/alglib/faq.english.html +258 -0
- data/ext/alglib/faq.russian.html +272 -0
- data/ext/alglib/fdistr.cpp +202 -0
- data/ext/alglib/fdistr.h +163 -0
- data/ext/alglib/fresnel.cpp +211 -0
- data/ext/alglib/fresnel.h +91 -0
- data/ext/alglib/gammaf.cpp +338 -0
- data/ext/alglib/gammaf.h +104 -0
- data/ext/alglib/gqgengauss.cpp +235 -0
- data/ext/alglib/gqgengauss.h +92 -0
- data/ext/alglib/gqgenhermite.cpp +268 -0
- data/ext/alglib/gqgenhermite.h +63 -0
- data/ext/alglib/gqgenjacobi.cpp +297 -0
- data/ext/alglib/gqgenjacobi.h +72 -0
- data/ext/alglib/gqgenlaguerre.cpp +265 -0
- data/ext/alglib/gqgenlaguerre.h +69 -0
- data/ext/alglib/gqgenlegendre.cpp +300 -0
- data/ext/alglib/gqgenlegendre.h +62 -0
- data/ext/alglib/gqgenlobatto.cpp +305 -0
- data/ext/alglib/gqgenlobatto.h +97 -0
- data/ext/alglib/gqgenradau.cpp +232 -0
- data/ext/alglib/gqgenradau.h +95 -0
- data/ext/alglib/hbisinv.cpp +480 -0
- data/ext/alglib/hbisinv.h +183 -0
- data/ext/alglib/hblas.cpp +228 -0
- data/ext/alglib/hblas.h +64 -0
- data/ext/alglib/hcholesky.cpp +339 -0
- data/ext/alglib/hcholesky.h +91 -0
- data/ext/alglib/hermite.cpp +114 -0
- data/ext/alglib/hermite.h +49 -0
- data/ext/alglib/hessenberg.cpp +370 -0
- data/ext/alglib/hessenberg.h +152 -0
- data/ext/alglib/hevd.cpp +247 -0
- data/ext/alglib/hevd.h +107 -0
- data/ext/alglib/hsschur.cpp +1316 -0
- data/ext/alglib/hsschur.h +108 -0
- data/ext/alglib/htridiagonal.cpp +734 -0
- data/ext/alglib/htridiagonal.h +180 -0
- data/ext/alglib/ialglib.cpp +6 -0
- data/ext/alglib/ialglib.h +9 -0
- data/ext/alglib/ibetaf.cpp +960 -0
- data/ext/alglib/ibetaf.h +125 -0
- data/ext/alglib/igammaf.cpp +430 -0
- data/ext/alglib/igammaf.h +157 -0
- data/ext/alglib/inv.cpp +274 -0
- data/ext/alglib/inv.h +115 -0
- data/ext/alglib/inverseupdate.cpp +480 -0
- data/ext/alglib/inverseupdate.h +185 -0
- data/ext/alglib/jacobianelliptic.cpp +164 -0
- data/ext/alglib/jacobianelliptic.h +94 -0
- data/ext/alglib/jarquebera.cpp +2271 -0
- data/ext/alglib/jarquebera.h +80 -0
- data/ext/alglib/kmeans.cpp +356 -0
- data/ext/alglib/kmeans.h +76 -0
- data/ext/alglib/laguerre.cpp +94 -0
- data/ext/alglib/laguerre.h +48 -0
- data/ext/alglib/lbfgs.cpp +1167 -0
- data/ext/alglib/lbfgs.h +218 -0
- data/ext/alglib/lda.cpp +434 -0
- data/ext/alglib/lda.h +133 -0
- data/ext/alglib/ldlt.cpp +1130 -0
- data/ext/alglib/ldlt.h +124 -0
- data/ext/alglib/leastsquares.cpp +1252 -0
- data/ext/alglib/leastsquares.h +290 -0
- data/ext/alglib/legendre.cpp +107 -0
- data/ext/alglib/legendre.h +49 -0
- data/ext/alglib/linreg.cpp +1185 -0
- data/ext/alglib/linreg.h +380 -0
- data/ext/alglib/logit.cpp +1523 -0
- data/ext/alglib/logit.h +333 -0
- data/ext/alglib/lq.cpp +399 -0
- data/ext/alglib/lq.h +160 -0
- data/ext/alglib/lu.cpp +462 -0
- data/ext/alglib/lu.h +119 -0
- data/ext/alglib/mannwhitneyu.cpp +4490 -0
- data/ext/alglib/mannwhitneyu.h +115 -0
- data/ext/alglib/minlm.cpp +918 -0
- data/ext/alglib/minlm.h +312 -0
- data/ext/alglib/mlpbase.cpp +3375 -0
- data/ext/alglib/mlpbase.h +589 -0
- data/ext/alglib/mlpe.cpp +1369 -0
- data/ext/alglib/mlpe.h +552 -0
- data/ext/alglib/mlptrain.cpp +1056 -0
- data/ext/alglib/mlptrain.h +283 -0
- data/ext/alglib/nearunityunit.cpp +91 -0
- data/ext/alglib/nearunityunit.h +17 -0
- data/ext/alglib/normaldistr.cpp +377 -0
- data/ext/alglib/normaldistr.h +175 -0
- data/ext/alglib/nsevd.cpp +1869 -0
- data/ext/alglib/nsevd.h +140 -0
- data/ext/alglib/pca.cpp +168 -0
- data/ext/alglib/pca.h +87 -0
- data/ext/alglib/poissondistr.cpp +143 -0
- data/ext/alglib/poissondistr.h +130 -0
- data/ext/alglib/polinterpolation.cpp +685 -0
- data/ext/alglib/polinterpolation.h +206 -0
- data/ext/alglib/psif.cpp +173 -0
- data/ext/alglib/psif.h +88 -0
- data/ext/alglib/qr.cpp +414 -0
- data/ext/alglib/qr.h +168 -0
- data/ext/alglib/ratinterpolation.cpp +134 -0
- data/ext/alglib/ratinterpolation.h +72 -0
- data/ext/alglib/rcond.cpp +705 -0
- data/ext/alglib/rcond.h +140 -0
- data/ext/alglib/reflections.cpp +504 -0
- data/ext/alglib/reflections.h +165 -0
- data/ext/alglib/rotations.cpp +473 -0
- data/ext/alglib/rotations.h +128 -0
- data/ext/alglib/rsolve.cpp +221 -0
- data/ext/alglib/rsolve.h +99 -0
- data/ext/alglib/sbisinv.cpp +217 -0
- data/ext/alglib/sbisinv.h +171 -0
- data/ext/alglib/sblas.cpp +185 -0
- data/ext/alglib/sblas.h +64 -0
- data/ext/alglib/schur.cpp +156 -0
- data/ext/alglib/schur.h +102 -0
- data/ext/alglib/sdet.cpp +193 -0
- data/ext/alglib/sdet.h +101 -0
- data/ext/alglib/sevd.cpp +116 -0
- data/ext/alglib/sevd.h +99 -0
- data/ext/alglib/sinverse.cpp +672 -0
- data/ext/alglib/sinverse.h +138 -0
- data/ext/alglib/spddet.cpp +138 -0
- data/ext/alglib/spddet.h +96 -0
- data/ext/alglib/spdgevd.cpp +842 -0
- data/ext/alglib/spdgevd.h +200 -0
- data/ext/alglib/spdinverse.cpp +509 -0
- data/ext/alglib/spdinverse.h +122 -0
- data/ext/alglib/spdrcond.cpp +421 -0
- data/ext/alglib/spdrcond.h +118 -0
- data/ext/alglib/spdsolve.cpp +275 -0
- data/ext/alglib/spdsolve.h +105 -0
- data/ext/alglib/spline2d.cpp +1192 -0
- data/ext/alglib/spline2d.h +301 -0
- data/ext/alglib/spline3.cpp +1264 -0
- data/ext/alglib/spline3.h +290 -0
- data/ext/alglib/srcond.cpp +595 -0
- data/ext/alglib/srcond.h +127 -0
- data/ext/alglib/ssolve.cpp +895 -0
- data/ext/alglib/ssolve.h +139 -0
- data/ext/alglib/stdafx.h +0 -0
- data/ext/alglib/stest.cpp +131 -0
- data/ext/alglib/stest.h +94 -0
- data/ext/alglib/studenttdistr.cpp +222 -0
- data/ext/alglib/studenttdistr.h +115 -0
- data/ext/alglib/studentttests.cpp +377 -0
- data/ext/alglib/studentttests.h +178 -0
- data/ext/alglib/svd.cpp +620 -0
- data/ext/alglib/svd.h +126 -0
- data/ext/alglib/tdbisinv.cpp +2608 -0
- data/ext/alglib/tdbisinv.h +228 -0
- data/ext/alglib/tdevd.cpp +1229 -0
- data/ext/alglib/tdevd.h +115 -0
- data/ext/alglib/tridiagonal.cpp +594 -0
- data/ext/alglib/tridiagonal.h +171 -0
- data/ext/alglib/trigintegrals.cpp +490 -0
- data/ext/alglib/trigintegrals.h +131 -0
- data/ext/alglib/trinverse.cpp +345 -0
- data/ext/alglib/trinverse.h +98 -0
- data/ext/alglib/trlinsolve.cpp +926 -0
- data/ext/alglib/trlinsolve.h +73 -0
- data/ext/alglib/tsort.cpp +405 -0
- data/ext/alglib/tsort.h +54 -0
- data/ext/alglib/variancetests.cpp +245 -0
- data/ext/alglib/variancetests.h +134 -0
- data/ext/alglib/wsr.cpp +6285 -0
- data/ext/alglib/wsr.h +96 -0
- data/ext/ap.i +97 -0
- data/ext/correlation.i +24 -0
- data/ext/extconf.rb +6 -0
- data/ext/logit.i +89 -0
- data/lib/alglib.rb +71 -0
- data/lib/alglib/correlation.rb +26 -0
- data/lib/alglib/linearregression.rb +63 -0
- data/lib/alglib/logit.rb +42 -0
- data/test/test_alglib.rb +52 -0
- data/test/test_correlation.rb +44 -0
- data/test/test_correlationtest.rb +45 -0
- data/test/test_linreg.rb +35 -0
- data/test/test_logit.rb +43 -0
- data/test/test_pca.rb +27 -0
- metadata +326 -0
data/ext/alglib/hevd.cpp
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/*************************************************************************
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Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).
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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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- 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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- 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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- 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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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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#include <stdafx.h>
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#include "hevd.h"
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/*************************************************************************
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Finding the eigenvalues and eigenvectors of a Hermitian matrix
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The algorithm finds eigen pairs of a Hermitian matrix by reducing it to
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real tridiagonal form and using the QL/QR algorithm.
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Input parameters:
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A - Hermitian matrix which is given by its upper or lower
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triangular part.
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Array whose indexes range within [0..N-1, 0..N-1].
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N - size of matrix A.
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IsUpper - storage format.
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ZNeeded - flag controlling whether the eigenvectors are needed or
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not. If ZNeeded is equal to:
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* 0, the eigenvectors are not returned;
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* 1, the eigenvectors are returned.
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Output parameters:
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D - eigenvalues in ascending order.
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Array whose index ranges within [0..N-1].
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Z - if ZNeeded is equal to:
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* 0, Z hasn�t changed;
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* 1, Z contains the eigenvectors.
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Array whose indexes range within [0..N-1, 0..N-1].
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The eigenvectors are stored in the matrix columns.
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Result:
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True, if the algorithm has converged.
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False, if the algorithm hasn't converged (rare case).
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Note:
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eigen vectors of Hermitian matrix are defined up to multiplication by
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a complex number L, such as |L|=1.
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-- ALGLIB --
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Copyright 2005, 23 March 2007 by Bochkanov Sergey
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*************************************************************************/
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bool hmatrixevd(ap::complex_2d_array a,
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int n,
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int zneeded,
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bool isupper,
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ap::real_1d_array& d,
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ap::complex_2d_array& z)
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{
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bool result;
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ap::complex_1d_array tau;
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ap::real_1d_array e;
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ap::real_1d_array work;
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ap::real_2d_array t;
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ap::complex_2d_array q;
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int i;
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int k;
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double v;
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ap::ap_error::make_assertion(zneeded==0||zneeded==1, "HermitianEVD: incorrect ZNeeded");
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//
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// Reduce to tridiagonal form
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//
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hmatrixtd(a, n, isupper, tau, d, e);
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if( zneeded==1 )
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{
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hmatrixtdunpackq(a, n, isupper, tau, q);
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zneeded = 2;
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}
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//
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// TDEVD
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//
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result = smatrixtdevd(d, e, n, zneeded, t);
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//
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// Eigenvectors are needed
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// Calculate Z = Q*T = Re(Q)*T + i*Im(Q)*T
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//
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if( result&&zneeded!=0 )
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{
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work.setbounds(0, n-1);
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z.setbounds(0, n-1, 0, n-1);
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for(i = 0; i <= n-1; i++)
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{
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//
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// Calculate real part
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//
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for(k = 0; k <= n-1; k++)
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{
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work(k) = 0;
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}
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for(k = 0; k <= n-1; k++)
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{
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v = q(i,k).x;
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ap::vadd(&work(0), &t(k, 0), ap::vlen(0,n-1), v);
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}
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for(k = 0; k <= n-1; k++)
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{
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z(i,k).x = work(k);
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}
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//
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// Calculate imaginary part
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//
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for(k = 0; k <= n-1; k++)
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{
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work(k) = 0;
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}
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for(k = 0; k <= n-1; k++)
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{
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v = q(i,k).y;
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ap::vadd(&work(0), &t(k, 0), ap::vlen(0,n-1), v);
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+
}
|
147
|
+
for(k = 0; k <= n-1; k++)
|
148
|
+
{
|
149
|
+
z(i,k).y = work(k);
|
150
|
+
}
|
151
|
+
}
|
152
|
+
}
|
153
|
+
return result;
|
154
|
+
}
|
155
|
+
|
156
|
+
|
157
|
+
/*************************************************************************
|
158
|
+
Obsolete 1-based subroutine
|
159
|
+
|
160
|
+
-- ALGLIB --
|
161
|
+
Copyright 2005, 23 March 2007 by Bochkanov Sergey
|
162
|
+
*************************************************************************/
|
163
|
+
bool hermitianevd(ap::complex_2d_array a,
|
164
|
+
int n,
|
165
|
+
int zneeded,
|
166
|
+
bool isupper,
|
167
|
+
ap::real_1d_array& d,
|
168
|
+
ap::complex_2d_array& z)
|
169
|
+
{
|
170
|
+
bool result;
|
171
|
+
ap::complex_1d_array tau;
|
172
|
+
ap::real_1d_array e;
|
173
|
+
ap::real_1d_array work;
|
174
|
+
ap::real_2d_array t;
|
175
|
+
ap::complex_2d_array q;
|
176
|
+
int i;
|
177
|
+
int k;
|
178
|
+
double v;
|
179
|
+
|
180
|
+
ap::ap_error::make_assertion(zneeded==0||zneeded==1, "HermitianEVD: incorrect ZNeeded");
|
181
|
+
|
182
|
+
//
|
183
|
+
// Reduce to tridiagonal form
|
184
|
+
//
|
185
|
+
hermitiantotridiagonal(a, n, isupper, tau, d, e);
|
186
|
+
if( zneeded==1 )
|
187
|
+
{
|
188
|
+
unpackqfromhermitiantridiagonal(a, n, isupper, tau, q);
|
189
|
+
zneeded = 2;
|
190
|
+
}
|
191
|
+
|
192
|
+
//
|
193
|
+
// TDEVD
|
194
|
+
//
|
195
|
+
result = tridiagonalevd(d, e, n, zneeded, t);
|
196
|
+
|
197
|
+
//
|
198
|
+
// Eigenvectors are needed
|
199
|
+
// Calculate Z = Q*T = Re(Q)*T + i*Im(Q)*T
|
200
|
+
//
|
201
|
+
if( result&&zneeded!=0 )
|
202
|
+
{
|
203
|
+
work.setbounds(1, n);
|
204
|
+
z.setbounds(1, n, 1, n);
|
205
|
+
for(i = 1; i <= n; i++)
|
206
|
+
{
|
207
|
+
|
208
|
+
//
|
209
|
+
// Calculate real part
|
210
|
+
//
|
211
|
+
for(k = 1; k <= n; k++)
|
212
|
+
{
|
213
|
+
work(k) = 0;
|
214
|
+
}
|
215
|
+
for(k = 1; k <= n; k++)
|
216
|
+
{
|
217
|
+
v = q(i,k).x;
|
218
|
+
ap::vadd(&work(1), &t(k, 1), ap::vlen(1,n), v);
|
219
|
+
}
|
220
|
+
for(k = 1; k <= n; k++)
|
221
|
+
{
|
222
|
+
z(i,k).x = work(k);
|
223
|
+
}
|
224
|
+
|
225
|
+
//
|
226
|
+
// Calculate imaginary part
|
227
|
+
//
|
228
|
+
for(k = 1; k <= n; k++)
|
229
|
+
{
|
230
|
+
work(k) = 0;
|
231
|
+
}
|
232
|
+
for(k = 1; k <= n; k++)
|
233
|
+
{
|
234
|
+
v = q(i,k).y;
|
235
|
+
ap::vadd(&work(1), &t(k, 1), ap::vlen(1,n), v);
|
236
|
+
}
|
237
|
+
for(k = 1; k <= n; k++)
|
238
|
+
{
|
239
|
+
z(i,k).y = work(k);
|
240
|
+
}
|
241
|
+
}
|
242
|
+
}
|
243
|
+
return result;
|
244
|
+
}
|
245
|
+
|
246
|
+
|
247
|
+
|
data/ext/alglib/hevd.h
ADDED
@@ -0,0 +1,107 @@
|
|
1
|
+
/*************************************************************************
|
2
|
+
Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).
|
3
|
+
|
4
|
+
Redistribution and use in source and binary forms, with or without
|
5
|
+
modification, are permitted provided that the following conditions are
|
6
|
+
met:
|
7
|
+
|
8
|
+
- Redistributions of source code must retain the above copyright
|
9
|
+
notice, this list of conditions and the following disclaimer.
|
10
|
+
|
11
|
+
- Redistributions in binary form must reproduce the above copyright
|
12
|
+
notice, this list of conditions and the following disclaimer listed
|
13
|
+
in this license in the documentation and/or other materials
|
14
|
+
provided with the distribution.
|
15
|
+
|
16
|
+
- Neither the name of the copyright holders nor the names of its
|
17
|
+
contributors may be used to endorse or promote products derived from
|
18
|
+
this software without specific prior written permission.
|
19
|
+
|
20
|
+
THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
|
21
|
+
"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
|
22
|
+
LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
|
23
|
+
A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
|
24
|
+
OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
|
25
|
+
SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
|
26
|
+
LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
|
27
|
+
DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
|
28
|
+
THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
|
29
|
+
(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
|
30
|
+
OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
|
31
|
+
*************************************************************************/
|
32
|
+
|
33
|
+
#ifndef _hevd_h
|
34
|
+
#define _hevd_h
|
35
|
+
|
36
|
+
#include "ap.h"
|
37
|
+
#include "ialglib.h"
|
38
|
+
|
39
|
+
#include "blas.h"
|
40
|
+
#include "rotations.h"
|
41
|
+
#include "tdevd.h"
|
42
|
+
#include "cblas.h"
|
43
|
+
#include "creflections.h"
|
44
|
+
#include "hblas.h"
|
45
|
+
#include "htridiagonal.h"
|
46
|
+
|
47
|
+
|
48
|
+
/*************************************************************************
|
49
|
+
Finding the eigenvalues and eigenvectors of a Hermitian matrix
|
50
|
+
|
51
|
+
The algorithm finds eigen pairs of a Hermitian matrix by reducing it to
|
52
|
+
real tridiagonal form and using the QL/QR algorithm.
|
53
|
+
|
54
|
+
Input parameters:
|
55
|
+
A - Hermitian matrix which is given by its upper or lower
|
56
|
+
triangular part.
|
57
|
+
Array whose indexes range within [0..N-1, 0..N-1].
|
58
|
+
N - size of matrix A.
|
59
|
+
IsUpper - storage format.
|
60
|
+
ZNeeded - flag controlling whether the eigenvectors are needed or
|
61
|
+
not. If ZNeeded is equal to:
|
62
|
+
* 0, the eigenvectors are not returned;
|
63
|
+
* 1, the eigenvectors are returned.
|
64
|
+
|
65
|
+
Output parameters:
|
66
|
+
D - eigenvalues in ascending order.
|
67
|
+
Array whose index ranges within [0..N-1].
|
68
|
+
Z - if ZNeeded is equal to:
|
69
|
+
* 0, Z hasn�t changed;
|
70
|
+
* 1, Z contains the eigenvectors.
|
71
|
+
Array whose indexes range within [0..N-1, 0..N-1].
|
72
|
+
The eigenvectors are stored in the matrix columns.
|
73
|
+
|
74
|
+
Result:
|
75
|
+
True, if the algorithm has converged.
|
76
|
+
False, if the algorithm hasn't converged (rare case).
|
77
|
+
|
78
|
+
Note:
|
79
|
+
eigen vectors of Hermitian matrix are defined up to multiplication by
|
80
|
+
a complex number L, such as |L|=1.
|
81
|
+
|
82
|
+
-- ALGLIB --
|
83
|
+
Copyright 2005, 23 March 2007 by Bochkanov Sergey
|
84
|
+
*************************************************************************/
|
85
|
+
bool hmatrixevd(ap::complex_2d_array a,
|
86
|
+
int n,
|
87
|
+
int zneeded,
|
88
|
+
bool isupper,
|
89
|
+
ap::real_1d_array& d,
|
90
|
+
ap::complex_2d_array& z);
|
91
|
+
|
92
|
+
|
93
|
+
/*************************************************************************
|
94
|
+
Obsolete 1-based subroutine
|
95
|
+
|
96
|
+
-- ALGLIB --
|
97
|
+
Copyright 2005, 23 March 2007 by Bochkanov Sergey
|
98
|
+
*************************************************************************/
|
99
|
+
bool hermitianevd(ap::complex_2d_array a,
|
100
|
+
int n,
|
101
|
+
int zneeded,
|
102
|
+
bool isupper,
|
103
|
+
ap::real_1d_array& d,
|
104
|
+
ap::complex_2d_array& z);
|
105
|
+
|
106
|
+
|
107
|
+
#endif
|
@@ -0,0 +1,1316 @@
|
|
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
|
+
#include <stdafx.h>
|
40
|
+
#include "hsschur.h"
|
41
|
+
|
42
|
+
static void internalauxschur(bool wantt,
|
43
|
+
bool wantz,
|
44
|
+
int n,
|
45
|
+
int ilo,
|
46
|
+
int ihi,
|
47
|
+
ap::real_2d_array& h,
|
48
|
+
ap::real_1d_array& wr,
|
49
|
+
ap::real_1d_array& wi,
|
50
|
+
int iloz,
|
51
|
+
int ihiz,
|
52
|
+
ap::real_2d_array& z,
|
53
|
+
ap::real_1d_array& work,
|
54
|
+
ap::real_1d_array& workv3,
|
55
|
+
ap::real_1d_array& workc1,
|
56
|
+
ap::real_1d_array& works1,
|
57
|
+
int& info);
|
58
|
+
static void aux2x2schur(double& a,
|
59
|
+
double& b,
|
60
|
+
double& c,
|
61
|
+
double& d,
|
62
|
+
double& rt1r,
|
63
|
+
double& rt1i,
|
64
|
+
double& rt2r,
|
65
|
+
double& rt2i,
|
66
|
+
double& cs,
|
67
|
+
double& sn);
|
68
|
+
static double extschursign(double a, double b);
|
69
|
+
static int extschursigntoone(double b);
|
70
|
+
|
71
|
+
/*************************************************************************
|
72
|
+
Subroutine performing the Schur decomposition of a matrix in upper
|
73
|
+
Hessenberg form using the QR algorithm with multiple shifts.
|
74
|
+
|
75
|
+
The source matrix H is represented as S'*H*S = T, where H - matrix in
|
76
|
+
upper Hessenberg form, S - orthogonal matrix (Schur vectors), T - upper
|
77
|
+
quasi-triangular matrix (with blocks of sizes 1x1 and 2x2 on the main
|
78
|
+
diagonal).
|
79
|
+
|
80
|
+
Input parameters:
|
81
|
+
H - matrix to be decomposed.
|
82
|
+
Array whose indexes range within [1..N, 1..N].
|
83
|
+
N - size of H, N>=0.
|
84
|
+
|
85
|
+
|
86
|
+
Output parameters:
|
87
|
+
H � contains the matrix T.
|
88
|
+
Array whose indexes range within [1..N, 1..N].
|
89
|
+
All elements below the blocks on the main diagonal are equal
|
90
|
+
to 0.
|
91
|
+
S - contains Schur vectors.
|
92
|
+
Array whose indexes range within [1..N, 1..N].
|
93
|
+
|
94
|
+
Note 1:
|
95
|
+
The block structure of matrix T could be easily recognized: since all
|
96
|
+
the elements below the blocks are zeros, the elements a[i+1,i] which
|
97
|
+
are equal to 0 show the block border.
|
98
|
+
|
99
|
+
Note 2:
|
100
|
+
the algorithm performance depends on the value of the internal
|
101
|
+
parameter NS of InternalSchurDecomposition subroutine which defines
|
102
|
+
the number of shifts in the QR algorithm (analog of the block width
|
103
|
+
in block matrix algorithms in linear algebra). If you require maximum
|
104
|
+
performance on your machine, it is recommended to adjust this
|
105
|
+
parameter manually.
|
106
|
+
|
107
|
+
Result:
|
108
|
+
True, if the algorithm has converged and the parameters H and S contain
|
109
|
+
the result.
|
110
|
+
False, if the algorithm has not converged.
|
111
|
+
|
112
|
+
Algorithm implemented on the basis of subroutine DHSEQR (LAPACK 3.0 library).
|
113
|
+
*************************************************************************/
|
114
|
+
bool upperhessenbergschurdecomposition(ap::real_2d_array& h,
|
115
|
+
int n,
|
116
|
+
ap::real_2d_array& s)
|
117
|
+
{
|
118
|
+
bool result;
|
119
|
+
ap::real_1d_array wi;
|
120
|
+
ap::real_1d_array wr;
|
121
|
+
int info;
|
122
|
+
|
123
|
+
internalschurdecomposition(h, n, 1, 2, wr, wi, s, info);
|
124
|
+
result = info==0;
|
125
|
+
return result;
|
126
|
+
}
|
127
|
+
|
128
|
+
|
129
|
+
void internalschurdecomposition(ap::real_2d_array& h,
|
130
|
+
int n,
|
131
|
+
int tneeded,
|
132
|
+
int zneeded,
|
133
|
+
ap::real_1d_array& wr,
|
134
|
+
ap::real_1d_array& wi,
|
135
|
+
ap::real_2d_array& z,
|
136
|
+
int& info)
|
137
|
+
{
|
138
|
+
ap::real_1d_array work;
|
139
|
+
int i;
|
140
|
+
int i1;
|
141
|
+
int i2;
|
142
|
+
int ierr;
|
143
|
+
int ii;
|
144
|
+
int itemp;
|
145
|
+
int itn;
|
146
|
+
int its;
|
147
|
+
int j;
|
148
|
+
int k;
|
149
|
+
int l;
|
150
|
+
int maxb;
|
151
|
+
int nr;
|
152
|
+
int ns;
|
153
|
+
int nv;
|
154
|
+
double absw;
|
155
|
+
double ovfl;
|
156
|
+
double smlnum;
|
157
|
+
double tau;
|
158
|
+
double temp;
|
159
|
+
double tst1;
|
160
|
+
double ulp;
|
161
|
+
double unfl;
|
162
|
+
ap::real_2d_array s;
|
163
|
+
ap::real_1d_array v;
|
164
|
+
ap::real_1d_array vv;
|
165
|
+
ap::real_1d_array workc1;
|
166
|
+
ap::real_1d_array works1;
|
167
|
+
ap::real_1d_array workv3;
|
168
|
+
ap::real_1d_array tmpwr;
|
169
|
+
ap::real_1d_array tmpwi;
|
170
|
+
bool initz;
|
171
|
+
bool wantt;
|
172
|
+
bool wantz;
|
173
|
+
double cnst;
|
174
|
+
bool failflag;
|
175
|
+
int p1;
|
176
|
+
int p2;
|
177
|
+
double vt;
|
178
|
+
|
179
|
+
|
180
|
+
//
|
181
|
+
// Set the order of the multi-shift QR algorithm to be used.
|
182
|
+
// If you want to tune algorithm, change this values
|
183
|
+
//
|
184
|
+
ns = 12;
|
185
|
+
maxb = 50;
|
186
|
+
|
187
|
+
//
|
188
|
+
// Now 2 < NS <= MAXB < NH.
|
189
|
+
//
|
190
|
+
maxb = ap::maxint(3, maxb);
|
191
|
+
ns = ap::minint(maxb, ns);
|
192
|
+
|
193
|
+
//
|
194
|
+
// Initialize
|
195
|
+
//
|
196
|
+
cnst = 1.5;
|
197
|
+
work.setbounds(1, ap::maxint(n, 1));
|
198
|
+
s.setbounds(1, ns, 1, ns);
|
199
|
+
v.setbounds(1, ns+1);
|
200
|
+
vv.setbounds(1, ns+1);
|
201
|
+
wr.setbounds(1, ap::maxint(n, 1));
|
202
|
+
wi.setbounds(1, ap::maxint(n, 1));
|
203
|
+
workc1.setbounds(1, 1);
|
204
|
+
works1.setbounds(1, 1);
|
205
|
+
workv3.setbounds(1, 3);
|
206
|
+
tmpwr.setbounds(1, ap::maxint(n, 1));
|
207
|
+
tmpwi.setbounds(1, ap::maxint(n, 1));
|
208
|
+
ap::ap_error::make_assertion(n>=0, "InternalSchurDecomposition: incorrect N!");
|
209
|
+
ap::ap_error::make_assertion(tneeded==0||tneeded==1, "InternalSchurDecomposition: incorrect TNeeded!");
|
210
|
+
ap::ap_error::make_assertion(zneeded==0||zneeded==1||zneeded==2, "InternalSchurDecomposition: incorrect ZNeeded!");
|
211
|
+
wantt = tneeded==1;
|
212
|
+
initz = zneeded==2;
|
213
|
+
wantz = zneeded!=0;
|
214
|
+
info = 0;
|
215
|
+
|
216
|
+
//
|
217
|
+
// Initialize Z, if necessary
|
218
|
+
//
|
219
|
+
if( initz )
|
220
|
+
{
|
221
|
+
z.setbounds(1, n, 1, n);
|
222
|
+
for(i = 1; i <= n; i++)
|
223
|
+
{
|
224
|
+
for(j = 1; j <= n; j++)
|
225
|
+
{
|
226
|
+
if( i==j )
|
227
|
+
{
|
228
|
+
z(i,j) = 1;
|
229
|
+
}
|
230
|
+
else
|
231
|
+
{
|
232
|
+
z(i,j) = 0;
|
233
|
+
}
|
234
|
+
}
|
235
|
+
}
|
236
|
+
}
|
237
|
+
|
238
|
+
//
|
239
|
+
// Quick return if possible
|
240
|
+
//
|
241
|
+
if( n==0 )
|
242
|
+
{
|
243
|
+
return;
|
244
|
+
}
|
245
|
+
if( n==1 )
|
246
|
+
{
|
247
|
+
wr(1) = h(1,1);
|
248
|
+
wi(1) = 0;
|
249
|
+
return;
|
250
|
+
}
|
251
|
+
|
252
|
+
//
|
253
|
+
// Set rows and columns 1 to N to zero below the first
|
254
|
+
// subdiagonal.
|
255
|
+
//
|
256
|
+
for(j = 1; j <= n-2; j++)
|
257
|
+
{
|
258
|
+
for(i = j+2; i <= n; i++)
|
259
|
+
{
|
260
|
+
h(i,j) = 0;
|
261
|
+
}
|
262
|
+
}
|
263
|
+
|
264
|
+
//
|
265
|
+
// Test if N is sufficiently small
|
266
|
+
//
|
267
|
+
if( ns<=2||ns>n||maxb>=n )
|
268
|
+
{
|
269
|
+
|
270
|
+
//
|
271
|
+
// Use the standard double-shift algorithm
|
272
|
+
//
|
273
|
+
internalauxschur(wantt, wantz, n, 1, n, h, wr, wi, 1, n, z, work, workv3, workc1, works1, info);
|
274
|
+
|
275
|
+
//
|
276
|
+
// fill entries under diagonal blocks of T with zeros
|
277
|
+
//
|
278
|
+
if( wantt )
|
279
|
+
{
|
280
|
+
j = 1;
|
281
|
+
while(j<=n)
|
282
|
+
{
|
283
|
+
if( wi(j)==0 )
|
284
|
+
{
|
285
|
+
for(i = j+1; i <= n; i++)
|
286
|
+
{
|
287
|
+
h(i,j) = 0;
|
288
|
+
}
|
289
|
+
j = j+1;
|
290
|
+
}
|
291
|
+
else
|
292
|
+
{
|
293
|
+
for(i = j+2; i <= n; i++)
|
294
|
+
{
|
295
|
+
h(i,j) = 0;
|
296
|
+
h(i,j+1) = 0;
|
297
|
+
}
|
298
|
+
j = j+2;
|
299
|
+
}
|
300
|
+
}
|
301
|
+
}
|
302
|
+
return;
|
303
|
+
}
|
304
|
+
unfl = ap::minrealnumber;
|
305
|
+
ovfl = 1/unfl;
|
306
|
+
ulp = 2*ap::machineepsilon;
|
307
|
+
smlnum = unfl*(n/ulp);
|
308
|
+
|
309
|
+
//
|
310
|
+
// I1 and I2 are the indices of the first row and last column of H
|
311
|
+
// to which transformations must be applied. If eigenvalues only are
|
312
|
+
// being computed, I1 and I2 are set inside the main loop.
|
313
|
+
//
|
314
|
+
if( wantt )
|
315
|
+
{
|
316
|
+
i1 = 1;
|
317
|
+
i2 = n;
|
318
|
+
}
|
319
|
+
|
320
|
+
//
|
321
|
+
// ITN is the total number of multiple-shift QR iterations allowed.
|
322
|
+
//
|
323
|
+
itn = 30*n;
|
324
|
+
|
325
|
+
//
|
326
|
+
// The main loop begins here. I is the loop index and decreases from
|
327
|
+
// IHI to ILO in steps of at most MAXB. Each iteration of the loop
|
328
|
+
// works with the active submatrix in rows and columns L to I.
|
329
|
+
// Eigenvalues I+1 to IHI have already converged. Either L = ILO or
|
330
|
+
// H(L,L-1) is negligible so that the matrix splits.
|
331
|
+
//
|
332
|
+
i = n;
|
333
|
+
while(true)
|
334
|
+
{
|
335
|
+
l = 1;
|
336
|
+
if( i<1 )
|
337
|
+
{
|
338
|
+
|
339
|
+
//
|
340
|
+
// fill entries under diagonal blocks of T with zeros
|
341
|
+
//
|
342
|
+
if( wantt )
|
343
|
+
{
|
344
|
+
j = 1;
|
345
|
+
while(j<=n)
|
346
|
+
{
|
347
|
+
if( wi(j)==0 )
|
348
|
+
{
|
349
|
+
for(i = j+1; i <= n; i++)
|
350
|
+
{
|
351
|
+
h(i,j) = 0;
|
352
|
+
}
|
353
|
+
j = j+1;
|
354
|
+
}
|
355
|
+
else
|
356
|
+
{
|
357
|
+
for(i = j+2; i <= n; i++)
|
358
|
+
{
|
359
|
+
h(i,j) = 0;
|
360
|
+
h(i,j+1) = 0;
|
361
|
+
}
|
362
|
+
j = j+2;
|
363
|
+
}
|
364
|
+
}
|
365
|
+
}
|
366
|
+
|
367
|
+
//
|
368
|
+
// Exit
|
369
|
+
//
|
370
|
+
return;
|
371
|
+
}
|
372
|
+
|
373
|
+
//
|
374
|
+
// Perform multiple-shift QR iterations on rows and columns ILO to I
|
375
|
+
// until a submatrix of order at most MAXB splits off at the bottom
|
376
|
+
// because a subdiagonal element has become negligible.
|
377
|
+
//
|
378
|
+
failflag = true;
|
379
|
+
for(its = 0; its <= itn; its++)
|
380
|
+
{
|
381
|
+
|
382
|
+
//
|
383
|
+
// Look for a single small subdiagonal element.
|
384
|
+
//
|
385
|
+
for(k = i; k >= l+1; k--)
|
386
|
+
{
|
387
|
+
tst1 = fabs(h(k-1,k-1))+fabs(h(k,k));
|
388
|
+
if( tst1==0 )
|
389
|
+
{
|
390
|
+
tst1 = upperhessenberg1norm(h, l, i, l, i, work);
|
391
|
+
}
|
392
|
+
if( fabs(h(k,k-1))<=ap::maxreal(ulp*tst1, smlnum) )
|
393
|
+
{
|
394
|
+
break;
|
395
|
+
}
|
396
|
+
}
|
397
|
+
l = k;
|
398
|
+
if( l>1 )
|
399
|
+
{
|
400
|
+
|
401
|
+
//
|
402
|
+
// H(L,L-1) is negligible.
|
403
|
+
//
|
404
|
+
h(l,l-1) = 0;
|
405
|
+
}
|
406
|
+
|
407
|
+
//
|
408
|
+
// Exit from loop if a submatrix of order <= MAXB has split off.
|
409
|
+
//
|
410
|
+
if( l>=i-maxb+1 )
|
411
|
+
{
|
412
|
+
failflag = false;
|
413
|
+
break;
|
414
|
+
}
|
415
|
+
|
416
|
+
//
|
417
|
+
// Now the active submatrix is in rows and columns L to I. If
|
418
|
+
// eigenvalues only are being computed, only the active submatrix
|
419
|
+
// need be transformed.
|
420
|
+
//
|
421
|
+
if( !wantt )
|
422
|
+
{
|
423
|
+
i1 = l;
|
424
|
+
i2 = i;
|
425
|
+
}
|
426
|
+
if( its==20||its==30 )
|
427
|
+
{
|
428
|
+
|
429
|
+
//
|
430
|
+
// Exceptional shifts.
|
431
|
+
//
|
432
|
+
for(ii = i-ns+1; ii <= i; ii++)
|
433
|
+
{
|
434
|
+
wr(ii) = cnst*(fabs(h(ii,ii-1))+fabs(h(ii,ii)));
|
435
|
+
wi(ii) = 0;
|
436
|
+
}
|
437
|
+
}
|
438
|
+
else
|
439
|
+
{
|
440
|
+
|
441
|
+
//
|
442
|
+
// Use eigenvalues of trailing submatrix of order NS as shifts.
|
443
|
+
//
|
444
|
+
copymatrix(h, i-ns+1, i, i-ns+1, i, s, 1, ns, 1, ns);
|
445
|
+
internalauxschur(false, false, ns, 1, ns, s, tmpwr, tmpwi, 1, ns, z, work, workv3, workc1, works1, ierr);
|
446
|
+
for(p1 = 1; p1 <= ns; p1++)
|
447
|
+
{
|
448
|
+
wr(i-ns+p1) = tmpwr(p1);
|
449
|
+
wi(i-ns+p1) = tmpwi(p1);
|
450
|
+
}
|
451
|
+
if( ierr>0 )
|
452
|
+
{
|
453
|
+
|
454
|
+
//
|
455
|
+
// If DLAHQR failed to compute all NS eigenvalues, use the
|
456
|
+
// unconverged diagonal elements as the remaining shifts.
|
457
|
+
//
|
458
|
+
for(ii = 1; ii <= ierr; ii++)
|
459
|
+
{
|
460
|
+
wr(i-ns+ii) = s(ii,ii);
|
461
|
+
wi(i-ns+ii) = 0;
|
462
|
+
}
|
463
|
+
}
|
464
|
+
}
|
465
|
+
|
466
|
+
//
|
467
|
+
// Form the first column of (G-w(1)) (G-w(2)) . . . (G-w(ns))
|
468
|
+
// where G is the Hessenberg submatrix H(L:I,L:I) and w is
|
469
|
+
// the vector of shifts (stored in WR and WI). The result is
|
470
|
+
// stored in the local array V.
|
471
|
+
//
|
472
|
+
v(1) = 1;
|
473
|
+
for(ii = 2; ii <= ns+1; ii++)
|
474
|
+
{
|
475
|
+
v(ii) = 0;
|
476
|
+
}
|
477
|
+
nv = 1;
|
478
|
+
for(j = i-ns+1; j <= i; j++)
|
479
|
+
{
|
480
|
+
if( wi(j)>=0 )
|
481
|
+
{
|
482
|
+
if( wi(j)==0 )
|
483
|
+
{
|
484
|
+
|
485
|
+
//
|
486
|
+
// real shift
|
487
|
+
//
|
488
|
+
p1 = nv+1;
|
489
|
+
ap::vmove(&vv(1), &v(1), ap::vlen(1,p1));
|
490
|
+
matrixvectormultiply(h, l, l+nv, l, l+nv-1, false, vv, 1, nv, 1.0, v, 1, nv+1, -wr(j));
|
491
|
+
nv = nv+1;
|
492
|
+
}
|
493
|
+
else
|
494
|
+
{
|
495
|
+
if( wi(j)>0 )
|
496
|
+
{
|
497
|
+
|
498
|
+
//
|
499
|
+
// complex conjugate pair of shifts
|
500
|
+
//
|
501
|
+
p1 = nv+1;
|
502
|
+
ap::vmove(&vv(1), &v(1), ap::vlen(1,p1));
|
503
|
+
matrixvectormultiply(h, l, l+nv, l, l+nv-1, false, v, 1, nv, 1.0, vv, 1, nv+1, -2*wr(j));
|
504
|
+
itemp = vectoridxabsmax(vv, 1, nv+1);
|
505
|
+
temp = 1/ap::maxreal(fabs(vv(itemp)), smlnum);
|
506
|
+
p1 = nv+1;
|
507
|
+
ap::vmul(&vv(1), ap::vlen(1,p1), temp);
|
508
|
+
absw = pythag2(wr(j), wi(j));
|
509
|
+
temp = temp*absw*absw;
|
510
|
+
matrixvectormultiply(h, l, l+nv+1, l, l+nv, false, vv, 1, nv+1, 1.0, v, 1, nv+2, temp);
|
511
|
+
nv = nv+2;
|
512
|
+
}
|
513
|
+
}
|
514
|
+
|
515
|
+
//
|
516
|
+
// Scale V(1:NV) so that max(abs(V(i))) = 1. If V is zero,
|
517
|
+
// reset it to the unit vector.
|
518
|
+
//
|
519
|
+
itemp = vectoridxabsmax(v, 1, nv);
|
520
|
+
temp = fabs(v(itemp));
|
521
|
+
if( temp==0 )
|
522
|
+
{
|
523
|
+
v(1) = 1;
|
524
|
+
for(ii = 2; ii <= nv; ii++)
|
525
|
+
{
|
526
|
+
v(ii) = 0;
|
527
|
+
}
|
528
|
+
}
|
529
|
+
else
|
530
|
+
{
|
531
|
+
temp = ap::maxreal(temp, smlnum);
|
532
|
+
vt = 1/temp;
|
533
|
+
ap::vmul(&v(1), ap::vlen(1,nv), vt);
|
534
|
+
}
|
535
|
+
}
|
536
|
+
}
|
537
|
+
|
538
|
+
//
|
539
|
+
// Multiple-shift QR step
|
540
|
+
//
|
541
|
+
for(k = l; k <= i-1; k++)
|
542
|
+
{
|
543
|
+
|
544
|
+
//
|
545
|
+
// The first iteration of this loop determines a reflection G
|
546
|
+
// from the vector V and applies it from left and right to H,
|
547
|
+
// thus creating a nonzero bulge below the subdiagonal.
|
548
|
+
//
|
549
|
+
// Each subsequent iteration determines a reflection G to
|
550
|
+
// restore the Hessenberg form in the (K-1)th column, and thus
|
551
|
+
// chases the bulge one step toward the bottom of the active
|
552
|
+
// submatrix. NR is the order of G.
|
553
|
+
//
|
554
|
+
nr = ap::minint(ns+1, i-k+1);
|
555
|
+
if( k>l )
|
556
|
+
{
|
557
|
+
p1 = k-1;
|
558
|
+
p2 = k+nr-1;
|
559
|
+
ap::vmove(v.getvector(1, nr), h.getcolumn(p1, k, p2));
|
560
|
+
}
|
561
|
+
generatereflection(v, nr, tau);
|
562
|
+
if( k>l )
|
563
|
+
{
|
564
|
+
h(k,k-1) = v(1);
|
565
|
+
for(ii = k+1; ii <= i; ii++)
|
566
|
+
{
|
567
|
+
h(ii,k-1) = 0;
|
568
|
+
}
|
569
|
+
}
|
570
|
+
v(1) = 1;
|
571
|
+
|
572
|
+
//
|
573
|
+
// Apply G from the left to transform the rows of the matrix in
|
574
|
+
// columns K to I2.
|
575
|
+
//
|
576
|
+
applyreflectionfromtheleft(h, tau, v, k, k+nr-1, k, i2, work);
|
577
|
+
|
578
|
+
//
|
579
|
+
// Apply G from the right to transform the columns of the
|
580
|
+
// matrix in rows I1 to min(K+NR,I).
|
581
|
+
//
|
582
|
+
applyreflectionfromtheright(h, tau, v, i1, ap::minint(k+nr, i), k, k+nr-1, work);
|
583
|
+
if( wantz )
|
584
|
+
{
|
585
|
+
|
586
|
+
//
|
587
|
+
// Accumulate transformations in the matrix Z
|
588
|
+
//
|
589
|
+
applyreflectionfromtheright(z, tau, v, 1, n, k, k+nr-1, work);
|
590
|
+
}
|
591
|
+
}
|
592
|
+
}
|
593
|
+
|
594
|
+
//
|
595
|
+
// Failure to converge in remaining number of iterations
|
596
|
+
//
|
597
|
+
if( failflag )
|
598
|
+
{
|
599
|
+
info = i;
|
600
|
+
return;
|
601
|
+
}
|
602
|
+
|
603
|
+
//
|
604
|
+
// A submatrix of order <= MAXB in rows and columns L to I has split
|
605
|
+
// off. Use the double-shift QR algorithm to handle it.
|
606
|
+
//
|
607
|
+
internalauxschur(wantt, wantz, n, l, i, h, wr, wi, 1, n, z, work, workv3, workc1, works1, info);
|
608
|
+
if( info>0 )
|
609
|
+
{
|
610
|
+
return;
|
611
|
+
}
|
612
|
+
|
613
|
+
//
|
614
|
+
// Decrement number of remaining iterations, and return to start of
|
615
|
+
// the main loop with a new value of I.
|
616
|
+
//
|
617
|
+
itn = itn-its;
|
618
|
+
i = l-1;
|
619
|
+
}
|
620
|
+
}
|
621
|
+
|
622
|
+
|
623
|
+
static void internalauxschur(bool wantt,
|
624
|
+
bool wantz,
|
625
|
+
int n,
|
626
|
+
int ilo,
|
627
|
+
int ihi,
|
628
|
+
ap::real_2d_array& h,
|
629
|
+
ap::real_1d_array& wr,
|
630
|
+
ap::real_1d_array& wi,
|
631
|
+
int iloz,
|
632
|
+
int ihiz,
|
633
|
+
ap::real_2d_array& z,
|
634
|
+
ap::real_1d_array& work,
|
635
|
+
ap::real_1d_array& workv3,
|
636
|
+
ap::real_1d_array& workc1,
|
637
|
+
ap::real_1d_array& works1,
|
638
|
+
int& info)
|
639
|
+
{
|
640
|
+
int i;
|
641
|
+
int i1;
|
642
|
+
int i2;
|
643
|
+
int itn;
|
644
|
+
int its;
|
645
|
+
int j;
|
646
|
+
int k;
|
647
|
+
int l;
|
648
|
+
int m;
|
649
|
+
int nh;
|
650
|
+
int nr;
|
651
|
+
int nz;
|
652
|
+
double ave;
|
653
|
+
double cs;
|
654
|
+
double disc;
|
655
|
+
double h00;
|
656
|
+
double h10;
|
657
|
+
double h11;
|
658
|
+
double h12;
|
659
|
+
double h21;
|
660
|
+
double h22;
|
661
|
+
double h33;
|
662
|
+
double h33s;
|
663
|
+
double h43h34;
|
664
|
+
double h44;
|
665
|
+
double h44s;
|
666
|
+
double ovfl;
|
667
|
+
double s;
|
668
|
+
double smlnum;
|
669
|
+
double sn;
|
670
|
+
double sum;
|
671
|
+
double t1;
|
672
|
+
double t2;
|
673
|
+
double t3;
|
674
|
+
double tst1;
|
675
|
+
double unfl;
|
676
|
+
double v1;
|
677
|
+
double v2;
|
678
|
+
double v3;
|
679
|
+
bool failflag;
|
680
|
+
double dat1;
|
681
|
+
double dat2;
|
682
|
+
int p1;
|
683
|
+
double him1im1;
|
684
|
+
double him1i;
|
685
|
+
double hiim1;
|
686
|
+
double hii;
|
687
|
+
double wrim1;
|
688
|
+
double wri;
|
689
|
+
double wiim1;
|
690
|
+
double wii;
|
691
|
+
double ulp;
|
692
|
+
|
693
|
+
info = 0;
|
694
|
+
dat1 = 0.75;
|
695
|
+
dat2 = -0.4375;
|
696
|
+
ulp = ap::machineepsilon;
|
697
|
+
|
698
|
+
//
|
699
|
+
// Quick return if possible
|
700
|
+
//
|
701
|
+
if( n==0 )
|
702
|
+
{
|
703
|
+
return;
|
704
|
+
}
|
705
|
+
if( ilo==ihi )
|
706
|
+
{
|
707
|
+
wr(ilo) = h(ilo,ilo);
|
708
|
+
wi(ilo) = 0;
|
709
|
+
return;
|
710
|
+
}
|
711
|
+
nh = ihi-ilo+1;
|
712
|
+
nz = ihiz-iloz+1;
|
713
|
+
|
714
|
+
//
|
715
|
+
// Set machine-dependent constants for the stopping criterion.
|
716
|
+
// If norm(H) <= sqrt(OVFL), overflow should not occur.
|
717
|
+
//
|
718
|
+
unfl = ap::minrealnumber;
|
719
|
+
ovfl = 1/unfl;
|
720
|
+
smlnum = unfl*(nh/ulp);
|
721
|
+
|
722
|
+
//
|
723
|
+
// I1 and I2 are the indices of the first row and last column of H
|
724
|
+
// to which transformations must be applied. If eigenvalues only are
|
725
|
+
// being computed, I1 and I2 are set inside the main loop.
|
726
|
+
//
|
727
|
+
if( wantt )
|
728
|
+
{
|
729
|
+
i1 = 1;
|
730
|
+
i2 = n;
|
731
|
+
}
|
732
|
+
|
733
|
+
//
|
734
|
+
// ITN is the total number of QR iterations allowed.
|
735
|
+
//
|
736
|
+
itn = 30*nh;
|
737
|
+
|
738
|
+
//
|
739
|
+
// The main loop begins here. I is the loop index and decreases from
|
740
|
+
// IHI to ILO in steps of 1 or 2. Each iteration of the loop works
|
741
|
+
// with the active submatrix in rows and columns L to I.
|
742
|
+
// Eigenvalues I+1 to IHI have already converged. Either L = ILO or
|
743
|
+
// H(L,L-1) is negligible so that the matrix splits.
|
744
|
+
//
|
745
|
+
i = ihi;
|
746
|
+
while(true)
|
747
|
+
{
|
748
|
+
l = ilo;
|
749
|
+
if( i<ilo )
|
750
|
+
{
|
751
|
+
return;
|
752
|
+
}
|
753
|
+
|
754
|
+
//
|
755
|
+
// Perform QR iterations on rows and columns ILO to I until a
|
756
|
+
// submatrix of order 1 or 2 splits off at the bottom because a
|
757
|
+
// subdiagonal element has become negligible.
|
758
|
+
//
|
759
|
+
failflag = true;
|
760
|
+
for(its = 0; its <= itn; its++)
|
761
|
+
{
|
762
|
+
|
763
|
+
//
|
764
|
+
// Look for a single small subdiagonal element.
|
765
|
+
//
|
766
|
+
for(k = i; k >= l+1; k--)
|
767
|
+
{
|
768
|
+
tst1 = fabs(h(k-1,k-1))+fabs(h(k,k));
|
769
|
+
if( tst1==0 )
|
770
|
+
{
|
771
|
+
tst1 = upperhessenberg1norm(h, l, i, l, i, work);
|
772
|
+
}
|
773
|
+
if( fabs(h(k,k-1))<=ap::maxreal(ulp*tst1, smlnum) )
|
774
|
+
{
|
775
|
+
break;
|
776
|
+
}
|
777
|
+
}
|
778
|
+
l = k;
|
779
|
+
if( l>ilo )
|
780
|
+
{
|
781
|
+
|
782
|
+
//
|
783
|
+
// H(L,L-1) is negligible
|
784
|
+
//
|
785
|
+
h(l,l-1) = 0;
|
786
|
+
}
|
787
|
+
|
788
|
+
//
|
789
|
+
// Exit from loop if a submatrix of order 1 or 2 has split off.
|
790
|
+
//
|
791
|
+
if( l>=i-1 )
|
792
|
+
{
|
793
|
+
failflag = false;
|
794
|
+
break;
|
795
|
+
}
|
796
|
+
|
797
|
+
//
|
798
|
+
// Now the active submatrix is in rows and columns L to I. If
|
799
|
+
// eigenvalues only are being computed, only the active submatrix
|
800
|
+
// need be transformed.
|
801
|
+
//
|
802
|
+
if( !wantt )
|
803
|
+
{
|
804
|
+
i1 = l;
|
805
|
+
i2 = i;
|
806
|
+
}
|
807
|
+
if( its==10||its==20 )
|
808
|
+
{
|
809
|
+
|
810
|
+
//
|
811
|
+
// Exceptional shift.
|
812
|
+
//
|
813
|
+
s = fabs(h(i,i-1))+fabs(h(i-1,i-2));
|
814
|
+
h44 = dat1*s+h(i,i);
|
815
|
+
h33 = h44;
|
816
|
+
h43h34 = dat2*s*s;
|
817
|
+
}
|
818
|
+
else
|
819
|
+
{
|
820
|
+
|
821
|
+
//
|
822
|
+
// Prepare to use Francis' double shift
|
823
|
+
// (i.e. 2nd degree generalized Rayleigh quotient)
|
824
|
+
//
|
825
|
+
h44 = h(i,i);
|
826
|
+
h33 = h(i-1,i-1);
|
827
|
+
h43h34 = h(i,i-1)*h(i-1,i);
|
828
|
+
s = h(i-1,i-2)*h(i-1,i-2);
|
829
|
+
disc = (h33-h44)*0.5;
|
830
|
+
disc = disc*disc+h43h34;
|
831
|
+
if( disc>0 )
|
832
|
+
{
|
833
|
+
|
834
|
+
//
|
835
|
+
// Real roots: use Wilkinson's shift twice
|
836
|
+
//
|
837
|
+
disc = sqrt(disc);
|
838
|
+
ave = 0.5*(h33+h44);
|
839
|
+
if( fabs(h33)-fabs(h44)>0 )
|
840
|
+
{
|
841
|
+
h33 = h33*h44-h43h34;
|
842
|
+
h44 = h33/(extschursign(disc, ave)+ave);
|
843
|
+
}
|
844
|
+
else
|
845
|
+
{
|
846
|
+
h44 = extschursign(disc, ave)+ave;
|
847
|
+
}
|
848
|
+
h33 = h44;
|
849
|
+
h43h34 = 0;
|
850
|
+
}
|
851
|
+
}
|
852
|
+
|
853
|
+
//
|
854
|
+
// Look for two consecutive small subdiagonal elements.
|
855
|
+
//
|
856
|
+
for(m = i-2; m >= l; m--)
|
857
|
+
{
|
858
|
+
|
859
|
+
//
|
860
|
+
// Determine the effect of starting the double-shift QR
|
861
|
+
// iteration at row M, and see if this would make H(M,M-1)
|
862
|
+
// negligible.
|
863
|
+
//
|
864
|
+
h11 = h(m,m);
|
865
|
+
h22 = h(m+1,m+1);
|
866
|
+
h21 = h(m+1,m);
|
867
|
+
h12 = h(m,m+1);
|
868
|
+
h44s = h44-h11;
|
869
|
+
h33s = h33-h11;
|
870
|
+
v1 = (h33s*h44s-h43h34)/h21+h12;
|
871
|
+
v2 = h22-h11-h33s-h44s;
|
872
|
+
v3 = h(m+2,m+1);
|
873
|
+
s = fabs(v1)+fabs(v2)+fabs(v3);
|
874
|
+
v1 = v1/s;
|
875
|
+
v2 = v2/s;
|
876
|
+
v3 = v3/s;
|
877
|
+
workv3(1) = v1;
|
878
|
+
workv3(2) = v2;
|
879
|
+
workv3(3) = v3;
|
880
|
+
if( m==l )
|
881
|
+
{
|
882
|
+
break;
|
883
|
+
}
|
884
|
+
h00 = h(m-1,m-1);
|
885
|
+
h10 = h(m,m-1);
|
886
|
+
tst1 = fabs(v1)*(fabs(h00)+fabs(h11)+fabs(h22));
|
887
|
+
if( fabs(h10)*(fabs(v2)+fabs(v3))<=ulp*tst1 )
|
888
|
+
{
|
889
|
+
break;
|
890
|
+
}
|
891
|
+
}
|
892
|
+
|
893
|
+
//
|
894
|
+
// Double-shift QR step
|
895
|
+
//
|
896
|
+
for(k = m; k <= i-1; k++)
|
897
|
+
{
|
898
|
+
|
899
|
+
//
|
900
|
+
// The first iteration of this loop determines a reflection G
|
901
|
+
// from the vector V and applies it from left and right to H,
|
902
|
+
// thus creating a nonzero bulge below the subdiagonal.
|
903
|
+
//
|
904
|
+
// Each subsequent iteration determines a reflection G to
|
905
|
+
// restore the Hessenberg form in the (K-1)th column, and thus
|
906
|
+
// chases the bulge one step toward the bottom of the active
|
907
|
+
// submatrix. NR is the order of G.
|
908
|
+
//
|
909
|
+
nr = ap::minint(3, i-k+1);
|
910
|
+
if( k>m )
|
911
|
+
{
|
912
|
+
for(p1 = 1; p1 <= nr; p1++)
|
913
|
+
{
|
914
|
+
workv3(p1) = h(k+p1-1,k-1);
|
915
|
+
}
|
916
|
+
}
|
917
|
+
generatereflection(workv3, nr, t1);
|
918
|
+
if( k>m )
|
919
|
+
{
|
920
|
+
h(k,k-1) = workv3(1);
|
921
|
+
h(k+1,k-1) = 0;
|
922
|
+
if( k<i-1 )
|
923
|
+
{
|
924
|
+
h(k+2,k-1) = 0;
|
925
|
+
}
|
926
|
+
}
|
927
|
+
else
|
928
|
+
{
|
929
|
+
if( m>l )
|
930
|
+
{
|
931
|
+
h(k,k-1) = -h(k,k-1);
|
932
|
+
}
|
933
|
+
}
|
934
|
+
v2 = workv3(2);
|
935
|
+
t2 = t1*v2;
|
936
|
+
if( nr==3 )
|
937
|
+
{
|
938
|
+
v3 = workv3(3);
|
939
|
+
t3 = t1*v3;
|
940
|
+
|
941
|
+
//
|
942
|
+
// Apply G from the left to transform the rows of the matrix
|
943
|
+
// in columns K to I2.
|
944
|
+
//
|
945
|
+
for(j = k; j <= i2; j++)
|
946
|
+
{
|
947
|
+
sum = h(k,j)+v2*h(k+1,j)+v3*h(k+2,j);
|
948
|
+
h(k,j) = h(k,j)-sum*t1;
|
949
|
+
h(k+1,j) = h(k+1,j)-sum*t2;
|
950
|
+
h(k+2,j) = h(k+2,j)-sum*t3;
|
951
|
+
}
|
952
|
+
|
953
|
+
//
|
954
|
+
// Apply G from the right to transform the columns of the
|
955
|
+
// matrix in rows I1 to min(K+3,I).
|
956
|
+
//
|
957
|
+
for(j = i1; j <= ap::minint(k+3, i); j++)
|
958
|
+
{
|
959
|
+
sum = h(j,k)+v2*h(j,k+1)+v3*h(j,k+2);
|
960
|
+
h(j,k) = h(j,k)-sum*t1;
|
961
|
+
h(j,k+1) = h(j,k+1)-sum*t2;
|
962
|
+
h(j,k+2) = h(j,k+2)-sum*t3;
|
963
|
+
}
|
964
|
+
if( wantz )
|
965
|
+
{
|
966
|
+
|
967
|
+
//
|
968
|
+
// Accumulate transformations in the matrix Z
|
969
|
+
//
|
970
|
+
for(j = iloz; j <= ihiz; j++)
|
971
|
+
{
|
972
|
+
sum = z(j,k)+v2*z(j,k+1)+v3*z(j,k+2);
|
973
|
+
z(j,k) = z(j,k)-sum*t1;
|
974
|
+
z(j,k+1) = z(j,k+1)-sum*t2;
|
975
|
+
z(j,k+2) = z(j,k+2)-sum*t3;
|
976
|
+
}
|
977
|
+
}
|
978
|
+
}
|
979
|
+
else
|
980
|
+
{
|
981
|
+
if( nr==2 )
|
982
|
+
{
|
983
|
+
|
984
|
+
//
|
985
|
+
// Apply G from the left to transform the rows of the matrix
|
986
|
+
// in columns K to I2.
|
987
|
+
//
|
988
|
+
for(j = k; j <= i2; j++)
|
989
|
+
{
|
990
|
+
sum = h(k,j)+v2*h(k+1,j);
|
991
|
+
h(k,j) = h(k,j)-sum*t1;
|
992
|
+
h(k+1,j) = h(k+1,j)-sum*t2;
|
993
|
+
}
|
994
|
+
|
995
|
+
//
|
996
|
+
// Apply G from the right to transform the columns of the
|
997
|
+
// matrix in rows I1 to min(K+3,I).
|
998
|
+
//
|
999
|
+
for(j = i1; j <= i; j++)
|
1000
|
+
{
|
1001
|
+
sum = h(j,k)+v2*h(j,k+1);
|
1002
|
+
h(j,k) = h(j,k)-sum*t1;
|
1003
|
+
h(j,k+1) = h(j,k+1)-sum*t2;
|
1004
|
+
}
|
1005
|
+
if( wantz )
|
1006
|
+
{
|
1007
|
+
|
1008
|
+
//
|
1009
|
+
// Accumulate transformations in the matrix Z
|
1010
|
+
//
|
1011
|
+
for(j = iloz; j <= ihiz; j++)
|
1012
|
+
{
|
1013
|
+
sum = z(j,k)+v2*z(j,k+1);
|
1014
|
+
z(j,k) = z(j,k)-sum*t1;
|
1015
|
+
z(j,k+1) = z(j,k+1)-sum*t2;
|
1016
|
+
}
|
1017
|
+
}
|
1018
|
+
}
|
1019
|
+
}
|
1020
|
+
}
|
1021
|
+
}
|
1022
|
+
if( failflag )
|
1023
|
+
{
|
1024
|
+
|
1025
|
+
//
|
1026
|
+
// Failure to converge in remaining number of iterations
|
1027
|
+
//
|
1028
|
+
info = i;
|
1029
|
+
return;
|
1030
|
+
}
|
1031
|
+
if( l==i )
|
1032
|
+
{
|
1033
|
+
|
1034
|
+
//
|
1035
|
+
// H(I,I-1) is negligible: one eigenvalue has converged.
|
1036
|
+
//
|
1037
|
+
wr(i) = h(i,i);
|
1038
|
+
wi(i) = 0;
|
1039
|
+
}
|
1040
|
+
else
|
1041
|
+
{
|
1042
|
+
if( l==i-1 )
|
1043
|
+
{
|
1044
|
+
|
1045
|
+
//
|
1046
|
+
// H(I-1,I-2) is negligible: a pair of eigenvalues have converged.
|
1047
|
+
//
|
1048
|
+
// Transform the 2-by-2 submatrix to standard Schur form,
|
1049
|
+
// and compute and store the eigenvalues.
|
1050
|
+
//
|
1051
|
+
him1im1 = h(i-1,i-1);
|
1052
|
+
him1i = h(i-1,i);
|
1053
|
+
hiim1 = h(i,i-1);
|
1054
|
+
hii = h(i,i);
|
1055
|
+
aux2x2schur(him1im1, him1i, hiim1, hii, wrim1, wiim1, wri, wii, cs, sn);
|
1056
|
+
wr(i-1) = wrim1;
|
1057
|
+
wi(i-1) = wiim1;
|
1058
|
+
wr(i) = wri;
|
1059
|
+
wi(i) = wii;
|
1060
|
+
h(i-1,i-1) = him1im1;
|
1061
|
+
h(i-1,i) = him1i;
|
1062
|
+
h(i,i-1) = hiim1;
|
1063
|
+
h(i,i) = hii;
|
1064
|
+
if( wantt )
|
1065
|
+
{
|
1066
|
+
|
1067
|
+
//
|
1068
|
+
// Apply the transformation to the rest of H.
|
1069
|
+
//
|
1070
|
+
if( i2>i )
|
1071
|
+
{
|
1072
|
+
workc1(1) = cs;
|
1073
|
+
works1(1) = sn;
|
1074
|
+
applyrotationsfromtheleft(true, i-1, i, i+1, i2, workc1, works1, h, work);
|
1075
|
+
}
|
1076
|
+
workc1(1) = cs;
|
1077
|
+
works1(1) = sn;
|
1078
|
+
applyrotationsfromtheright(true, i1, i-2, i-1, i, workc1, works1, h, work);
|
1079
|
+
}
|
1080
|
+
if( wantz )
|
1081
|
+
{
|
1082
|
+
|
1083
|
+
//
|
1084
|
+
// Apply the transformation to Z.
|
1085
|
+
//
|
1086
|
+
workc1(1) = cs;
|
1087
|
+
works1(1) = sn;
|
1088
|
+
applyrotationsfromtheright(true, iloz, iloz+nz-1, i-1, i, workc1, works1, z, work);
|
1089
|
+
}
|
1090
|
+
}
|
1091
|
+
}
|
1092
|
+
|
1093
|
+
//
|
1094
|
+
// Decrement number of remaining iterations, and return to start of
|
1095
|
+
// the main loop with new value of I.
|
1096
|
+
//
|
1097
|
+
itn = itn-its;
|
1098
|
+
i = l-1;
|
1099
|
+
}
|
1100
|
+
}
|
1101
|
+
|
1102
|
+
|
1103
|
+
static void aux2x2schur(double& a,
|
1104
|
+
double& b,
|
1105
|
+
double& c,
|
1106
|
+
double& d,
|
1107
|
+
double& rt1r,
|
1108
|
+
double& rt1i,
|
1109
|
+
double& rt2r,
|
1110
|
+
double& rt2i,
|
1111
|
+
double& cs,
|
1112
|
+
double& sn)
|
1113
|
+
{
|
1114
|
+
double multpl;
|
1115
|
+
double aa;
|
1116
|
+
double bb;
|
1117
|
+
double bcmax;
|
1118
|
+
double bcmis;
|
1119
|
+
double cc;
|
1120
|
+
double cs1;
|
1121
|
+
double dd;
|
1122
|
+
double eps;
|
1123
|
+
double p;
|
1124
|
+
double sab;
|
1125
|
+
double sac;
|
1126
|
+
double scl;
|
1127
|
+
double sigma;
|
1128
|
+
double sn1;
|
1129
|
+
double tau;
|
1130
|
+
double temp;
|
1131
|
+
double z;
|
1132
|
+
|
1133
|
+
multpl = 4.0;
|
1134
|
+
eps = ap::machineepsilon;
|
1135
|
+
if( c==0 )
|
1136
|
+
{
|
1137
|
+
cs = 1;
|
1138
|
+
sn = 0;
|
1139
|
+
}
|
1140
|
+
else
|
1141
|
+
{
|
1142
|
+
if( b==0 )
|
1143
|
+
{
|
1144
|
+
|
1145
|
+
//
|
1146
|
+
// Swap rows and columns
|
1147
|
+
//
|
1148
|
+
cs = 0;
|
1149
|
+
sn = 1;
|
1150
|
+
temp = d;
|
1151
|
+
d = a;
|
1152
|
+
a = temp;
|
1153
|
+
b = -c;
|
1154
|
+
c = 0;
|
1155
|
+
}
|
1156
|
+
else
|
1157
|
+
{
|
1158
|
+
if( a-d==0&&extschursigntoone(b)!=extschursigntoone(c) )
|
1159
|
+
{
|
1160
|
+
cs = 1;
|
1161
|
+
sn = 0;
|
1162
|
+
}
|
1163
|
+
else
|
1164
|
+
{
|
1165
|
+
temp = a-d;
|
1166
|
+
p = 0.5*temp;
|
1167
|
+
bcmax = ap::maxreal(fabs(b), fabs(c));
|
1168
|
+
bcmis = ap::minreal(fabs(b), fabs(c))*extschursigntoone(b)*extschursigntoone(c);
|
1169
|
+
scl = ap::maxreal(fabs(p), bcmax);
|
1170
|
+
z = p/scl*p+bcmax/scl*bcmis;
|
1171
|
+
|
1172
|
+
//
|
1173
|
+
// If Z is of the order of the machine accuracy, postpone the
|
1174
|
+
// decision on the nature of eigenvalues
|
1175
|
+
//
|
1176
|
+
if( z>=multpl*eps )
|
1177
|
+
{
|
1178
|
+
|
1179
|
+
//
|
1180
|
+
// Real eigenvalues. Compute A and D.
|
1181
|
+
//
|
1182
|
+
z = p+extschursign(sqrt(scl)*sqrt(z), p);
|
1183
|
+
a = d+z;
|
1184
|
+
d = d-bcmax/z*bcmis;
|
1185
|
+
|
1186
|
+
//
|
1187
|
+
// Compute B and the rotation matrix
|
1188
|
+
//
|
1189
|
+
tau = pythag2(c, z);
|
1190
|
+
cs = z/tau;
|
1191
|
+
sn = c/tau;
|
1192
|
+
b = b-c;
|
1193
|
+
c = 0;
|
1194
|
+
}
|
1195
|
+
else
|
1196
|
+
{
|
1197
|
+
|
1198
|
+
//
|
1199
|
+
// Complex eigenvalues, or real (almost) equal eigenvalues.
|
1200
|
+
// Make diagonal elements equal.
|
1201
|
+
//
|
1202
|
+
sigma = b+c;
|
1203
|
+
tau = pythag2(sigma, temp);
|
1204
|
+
cs = sqrt(0.5*(1+fabs(sigma)/tau));
|
1205
|
+
sn = -p/(tau*cs)*extschursign(double(1), sigma);
|
1206
|
+
|
1207
|
+
//
|
1208
|
+
// Compute [ AA BB ] = [ A B ] [ CS -SN ]
|
1209
|
+
// [ CC DD ] [ C D ] [ SN CS ]
|
1210
|
+
//
|
1211
|
+
aa = a*cs+b*sn;
|
1212
|
+
bb = -a*sn+b*cs;
|
1213
|
+
cc = c*cs+d*sn;
|
1214
|
+
dd = -c*sn+d*cs;
|
1215
|
+
|
1216
|
+
//
|
1217
|
+
// Compute [ A B ] = [ CS SN ] [ AA BB ]
|
1218
|
+
// [ C D ] [-SN CS ] [ CC DD ]
|
1219
|
+
//
|
1220
|
+
a = aa*cs+cc*sn;
|
1221
|
+
b = bb*cs+dd*sn;
|
1222
|
+
c = -aa*sn+cc*cs;
|
1223
|
+
d = -bb*sn+dd*cs;
|
1224
|
+
temp = 0.5*(a+d);
|
1225
|
+
a = temp;
|
1226
|
+
d = temp;
|
1227
|
+
if( c!=0 )
|
1228
|
+
{
|
1229
|
+
if( b!=0 )
|
1230
|
+
{
|
1231
|
+
if( extschursigntoone(b)==extschursigntoone(c) )
|
1232
|
+
{
|
1233
|
+
|
1234
|
+
//
|
1235
|
+
// Real eigenvalues: reduce to upper triangular form
|
1236
|
+
//
|
1237
|
+
sab = sqrt(fabs(b));
|
1238
|
+
sac = sqrt(fabs(c));
|
1239
|
+
p = extschursign(sab*sac, c);
|
1240
|
+
tau = 1/sqrt(fabs(b+c));
|
1241
|
+
a = temp+p;
|
1242
|
+
d = temp-p;
|
1243
|
+
b = b-c;
|
1244
|
+
c = 0;
|
1245
|
+
cs1 = sab*tau;
|
1246
|
+
sn1 = sac*tau;
|
1247
|
+
temp = cs*cs1-sn*sn1;
|
1248
|
+
sn = cs*sn1+sn*cs1;
|
1249
|
+
cs = temp;
|
1250
|
+
}
|
1251
|
+
}
|
1252
|
+
else
|
1253
|
+
{
|
1254
|
+
b = -c;
|
1255
|
+
c = 0;
|
1256
|
+
temp = cs;
|
1257
|
+
cs = -sn;
|
1258
|
+
sn = temp;
|
1259
|
+
}
|
1260
|
+
}
|
1261
|
+
}
|
1262
|
+
}
|
1263
|
+
}
|
1264
|
+
}
|
1265
|
+
|
1266
|
+
//
|
1267
|
+
// Store eigenvalues in (RT1R,RT1I) and (RT2R,RT2I).
|
1268
|
+
//
|
1269
|
+
rt1r = a;
|
1270
|
+
rt2r = d;
|
1271
|
+
if( c==0 )
|
1272
|
+
{
|
1273
|
+
rt1i = 0;
|
1274
|
+
rt2i = 0;
|
1275
|
+
}
|
1276
|
+
else
|
1277
|
+
{
|
1278
|
+
rt1i = sqrt(fabs(b))*sqrt(fabs(c));
|
1279
|
+
rt2i = -rt1i;
|
1280
|
+
}
|
1281
|
+
}
|
1282
|
+
|
1283
|
+
|
1284
|
+
static double extschursign(double a, double b)
|
1285
|
+
{
|
1286
|
+
double result;
|
1287
|
+
|
1288
|
+
if( b>=0 )
|
1289
|
+
{
|
1290
|
+
result = fabs(a);
|
1291
|
+
}
|
1292
|
+
else
|
1293
|
+
{
|
1294
|
+
result = -fabs(a);
|
1295
|
+
}
|
1296
|
+
return result;
|
1297
|
+
}
|
1298
|
+
|
1299
|
+
|
1300
|
+
static int extschursigntoone(double b)
|
1301
|
+
{
|
1302
|
+
int result;
|
1303
|
+
|
1304
|
+
if( b>=0 )
|
1305
|
+
{
|
1306
|
+
result = 1;
|
1307
|
+
}
|
1308
|
+
else
|
1309
|
+
{
|
1310
|
+
result = -1;
|
1311
|
+
}
|
1312
|
+
return result;
|
1313
|
+
}
|
1314
|
+
|
1315
|
+
|
1316
|
+
|