alglib 0.1.1

data/ext/alglib/lq.h

@@ -0,0 +1,160 @@
+/*************************************************************************
+Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#ifndef _lq_h
+#define _lq_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "reflections.h"
+
+
+/*************************************************************************
+LQ decomposition of a rectangular matrix of size MxN
+
+Input parameters:
+    A   -   matrix A whose indexes range within [0..M-1, 0..N-1].
+    M   -   number of rows in matrix A.
+    N   -   number of columns in matrix A.
+
+Output parameters:
+    A   -   matrices L and Q in compact form (see below)
+    Tau -   array of scalar factors which are used to form
+            matrix Q. Array whose index ranges within [0..Min(M,N)-1].
+
+Matrix A is represented as A = LQ, where Q is an orthogonal matrix of size
+MxM, L - lower triangular (or lower trapezoid) matrix of size M x N.
+
+The elements of matrix L are located on and below  the  main  diagonal  of
+matrix A. The elements which are located in Tau array and above  the  main
+diagonal of matrix A are used to form matrix Q as follows:
+
+Matrix Q is represented as a product of elementary reflections
+
+Q = H(k-1)*H(k-2)*...*H(1)*H(0),
+
+where k = min(m,n), and each H(i) is of the form
+
+H(i) = 1 - tau * v * (v^T)
+
+where tau is a scalar stored in Tau[I]; v - real vector, so that v(0:i-1)=0,
+v(i) = 1, v(i+1:n-1) stored in A(i,i+1:n-1).
+
+  -- ALGLIB --
+     Copyright 2005-2007 by Bochkanov Sergey
+*************************************************************************/
+void rmatrixlq(ap::real_2d_array& a, int m, int n, ap::real_1d_array& tau);
+
+
+/*************************************************************************
+Partial unpacking of matrix Q from the LQ decomposition of a matrix A
+
+Input parameters:
+    A       -   matrices L and Q in compact form.
+                Output of RMatrixLQ subroutine.
+    M       -   number of rows in given matrix A. M>=0.
+    N       -   number of columns in given matrix A. N>=0.
+    Tau     -   scalar factors which are used to form Q.
+                Output of the RMatrixLQ subroutine.
+    QRows   -   required number of rows in matrix Q. N>=QRows>=0.
+
+Output parameters:
+    Q       -   first QRows rows of matrix Q. Array whose indexes range
+                within [0..QRows-1, 0..N-1]. If QRows=0, the array remains
+                unchanged.
+
+  -- ALGLIB --
+     Copyright 2005 by Bochkanov Sergey
+*************************************************************************/
+void rmatrixlqunpackq(const ap::real_2d_array& a,
+     int m,
+     int n,
+     const ap::real_1d_array& tau,
+     int qrows,
+     ap::real_2d_array& q);
+
+
+/*************************************************************************
+Unpacking of matrix L from the LQ decomposition of a matrix A
+
+Input parameters:
+    A       -   matrices Q and L in compact form.
+                Output of RMatrixLQ subroutine.
+    M       -   number of rows in given matrix A. M>=0.
+    N       -   number of columns in given matrix A. N>=0.
+
+Output parameters:
+    L       -   matrix L, array[0..M-1, 0..N-1].
+
+  -- ALGLIB --
+     Copyright 2005 by Bochkanov Sergey
+*************************************************************************/
+void rmatrixlqunpackl(const ap::real_2d_array& a,
+     int m,
+     int n,
+     ap::real_2d_array& l);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+See RMatrixLQ for 0-based replacement.
+*************************************************************************/
+void lqdecomposition(ap::real_2d_array& a,
+     int m,
+     int n,
+     ap::real_1d_array& tau);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+See RMatrixLQUnpackQ for 0-based replacement.
+*************************************************************************/
+void unpackqfromlq(const ap::real_2d_array& a,
+     int m,
+     int n,
+     const ap::real_1d_array& tau,
+     int qrows,
+     ap::real_2d_array& q);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+*************************************************************************/
+void lqdecompositionunpacked(ap::real_2d_array a,
+     int m,
+     int n,
+     ap::real_2d_array& l,
+     ap::real_2d_array& q);
+
+
+#endif

data/ext/alglib/lu.cpp

@@ -0,0 +1,462 @@
+/*************************************************************************
+Copyright (c) 1992-2007 The University of Tennessee. All rights reserved.
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
+      pseudocode.
+
+See subroutines comments for additional copyrights.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#include <stdafx.h>
+#include "lu.h"
+
+static const int lunb = 8;
+
+static void rmatrixlu2(ap::real_2d_array& a,
+     int m,
+     int n,
+     ap::integer_1d_array& pivots);
+
+/*************************************************************************
+LU decomposition of a general matrix of size MxN
+
+The subroutine calculates the LU decomposition of a rectangular general
+matrix with partial pivoting (with row permutations).
+
+Input parameters:
+    A   -   matrix A whose indexes range within [0..M-1, 0..N-1].
+    M   -   number of rows in matrix A.
+    N   -   number of columns in matrix A.
+
+Output parameters:
+    A   -   matrices L and U in compact form (see below).
+            Array whose indexes range within [0..M-1, 0..N-1].
+    Pivots - permutation matrix in compact form (see below).
+            Array whose index ranges within [0..Min(M-1,N-1)].
+
+Matrix A is represented as A = P * L * U, where P is a permutation matrix,
+matrix L - lower triangular (or lower trapezoid, if M>N) matrix,
+U - upper triangular (or upper trapezoid, if M<N) matrix.
+
+Let M be equal to 4 and N be equal to 3:
+
+                   (  1          )    ( U11 U12 U13  )
+A = P1 * P2 * P3 * ( L21  1      )  * (     U22 U23  )
+                   ( L31 L32  1  )    (         U33  )
+                   ( L41 L42 L43 )
+
+Matrix L has size MxMin(M,N), matrix U has size Min(M,N)xN, matrix P(i) is
+a permutation of the identity matrix of size MxM with numbers I and Pivots[I].
+
+The algorithm returns array Pivots and the following matrix which replaces
+matrix A and contains matrices L and U in compact form (the example applies
+to M=4, N=3).
+
+ ( U11 U12 U13 )
+ ( L21 U22 U23 )
+ ( L31 L32 U33 )
+ ( L41 L42 L43 )
+
+As we can see, the unit diagonal isn't stored.
+
+  -- LAPACK routine (version 3.0) --
+     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
+     Courant Institute, Argonne National Lab, and Rice University
+     June 30, 1992
+*************************************************************************/
+void rmatrixlu(ap::real_2d_array& a,
+     int m,
+     int n,
+     ap::integer_1d_array& pivots)
+{
+    ap::real_2d_array b;
+    ap::real_1d_array t;
+    ap::integer_1d_array bp;
+    int minmn;
+    int i;
+    int ip;
+    int j;
+    int j1;
+    int j2;
+    int cb;
+    int nb;
+    double v;
+
+    ap::ap_error::make_assertion(lunb>=1, "RMatrixLU internal error");
+    nb = lunb;
+    
+    //
+    // Decide what to use - blocked or unblocked code
+    //
+    if( n<=1||ap::minint(m, n)<=nb||nb==1 )
+    {
+        
+        //
+        // Unblocked code
+        //
+        rmatrixlu2(a, m, n, pivots);
+    }
+    else
+    {
+        
+        //
+        // Blocked code.
+        // First, prepare temporary matrix and indices
+        //
+        b.setbounds(0, m-1, 0, nb-1);
+        t.setbounds(0, n-1);
+        pivots.setbounds(0, ap::minint(m, n)-1);
+        minmn = ap::minint(m, n);
+        j1 = 0;
+        j2 = ap::minint(minmn, nb)-1;
+        
+        //
+        // Main cycle
+        //
+        while(j1<minmn)
+        {
+            cb = j2-j1+1;
+            
+            //
+            // LU factorization of diagonal and subdiagonal blocks:
+            // 1. Copy columns J1..J2 of A to B
+            // 2. LU(B)
+            // 3. Copy result back to A
+            // 4. Copy pivots, apply pivots
+            //
+            for(i = j1; i <= m-1; i++)
+            {
+                ap::vmove(&b(i-j1, 0), &a(i, j1), ap::vlen(0,cb-1));
+            }
+            rmatrixlu2(b, m-j1, cb, bp);
+            for(i = j1; i <= m-1; i++)
+            {
+                ap::vmove(&a(i, j1), &b(i-j1, 0), ap::vlen(j1,j2));
+            }
+            for(i = 0; i <= cb-1; i++)
+            {
+                ip = bp(i);
+                pivots(j1+i) = j1+ip;
+                if( bp(i)!=i )
+                {
+                    if( j1!=0 )
+                    {
+                        
+                        //
+                        // Interchange columns 0:J1-1
+                        //
+                        ap::vmove(&t(0), &a(j1+i, 0), ap::vlen(0,j1-1));
+                        ap::vmove(&a(j1+i, 0), &a(j1+ip, 0), ap::vlen(0,j1-1));
+                        ap::vmove(&a(j1+ip, 0), &t(0), ap::vlen(0,j1-1));
+                    }
+                    if( j2<n-1 )
+                    {
+                        
+                        //
+                        // Interchange the rest of the matrix, if needed
+                        //
+                        ap::vmove(&t(j2+1), &a(j1+i, j2+1), ap::vlen(j2+1,n-1));
+                        ap::vmove(&a(j1+i, j2+1), &a(j1+ip, j2+1), ap::vlen(j2+1,n-1));
+                        ap::vmove(&a(j1+ip, j2+1), &t(j2+1), ap::vlen(j2+1,n-1));
+                    }
+                }
+            }
+            
+            //
+            // Compute block row of U
+            //
+            if( j2<n-1 )
+            {
+                for(i = j1+1; i <= j2; i++)
+                {
+                    for(j = j1; j <= i-1; j++)
+                    {
+                        v = a(i,j);
+                        ap::vsub(&a(i, j2+1), &a(j, j2+1), ap::vlen(j2+1,n-1), v);
+                    }
+                }
+            }
+            
+            //
+            // Update trailing submatrix
+            //
+            if( j2<n-1 )
+            {
+                for(i = j2+1; i <= m-1; i++)
+                {
+                    for(j = j1; j <= j2; j++)
+                    {
+                        v = a(i,j);
+                        ap::vsub(&a(i, j2+1), &a(j, j2+1), ap::vlen(j2+1,n-1), v);
+                    }
+                }
+            }
+            
+            //
+            // Next step
+            //
+            j1 = j2+1;
+            j2 = ap::minint(minmn, j1+nb)-1;
+        }
+    }
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine. Left for backward compatibility.
+See RMatrixLU for 0-based replacement.
+*************************************************************************/
+void ludecomposition(ap::real_2d_array& a,
+     int m,
+     int n,
+     ap::integer_1d_array& pivots)
+{
+    int i;
+    int j;
+    int jp;
+    ap::real_1d_array t1;
+    double s;
+
+    pivots.setbounds(1, ap::minint(m, n));
+    t1.setbounds(1, ap::maxint(m, n));
+    ap::ap_error::make_assertion(m>=0&&n>=0, "Error in LUDecomposition: incorrect function arguments");
+    
+    //
+    // Quick return if possible
+    //
+    if( m==0||n==0 )
+    {
+        return;
+    }
+    for(j = 1; j <= ap::minint(m, n); j++)
+    {
+        
+        //
+        // Find pivot and test for singularity.
+        //
+        jp = j;
+        for(i = j+1; i <= m; i++)
+        {
+            if( fabs(a(i,j))>fabs(a(jp,j)) )
+            {
+                jp = i;
+            }
+        }
+        pivots(j) = jp;
+        if( a(jp,j)!=0 )
+        {
+            
+            //
+            //Apply the interchange to rows
+            //
+            if( jp!=j )
+            {
+                ap::vmove(&t1(1), &a(j, 1), ap::vlen(1,n));
+                ap::vmove(&a(j, 1), &a(jp, 1), ap::vlen(1,n));
+                ap::vmove(&a(jp, 1), &t1(1), ap::vlen(1,n));
+            }
+            
+            //
+            //Compute elements J+1:M of J-th column.
+            //
+            if( j<m )
+            {
+                
+                //
+                // CALL DSCAL( M-J, ONE / A( J, J ), A( J+1, J ), 1 )
+                //
+                jp = j+1;
+                s = 1/a(j,j);
+                ap::vmul(a.getcolumn(j, jp, m), s);
+            }
+        }
+        if( j<ap::minint(m, n) )
+        {
+            
+            //
+            //Update trailing submatrix.
+            //CALL DGER( M-J, N-J, -ONE, A( J+1, J ), 1, A( J, J+1 ), LDA,A( J+1, J+1 ), LDA )
+            //
+            jp = j+1;
+            for(i = j+1; i <= m; i++)
+            {
+                s = a(i,j);
+                ap::vsub(&a(i, jp), &a(j, jp), ap::vlen(jp,n), s);
+            }
+        }
+    }
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine. Left for backward compatibility.
+*************************************************************************/
+void ludecompositionunpacked(ap::real_2d_array a,
+     int m,
+     int n,
+     ap::real_2d_array& l,
+     ap::real_2d_array& u,
+     ap::integer_1d_array& pivots)
+{
+    int i;
+    int j;
+    int minmn;
+
+    if( m==0||n==0 )
+    {
+        return;
+    }
+    minmn = ap::minint(m, n);
+    l.setbounds(1, m, 1, minmn);
+    u.setbounds(1, minmn, 1, n);
+    ludecomposition(a, m, n, pivots);
+    for(i = 1; i <= m; i++)
+    {
+        for(j = 1; j <= minmn; j++)
+        {
+            if( j>i )
+            {
+                l(i,j) = 0;
+            }
+            if( j==i )
+            {
+                l(i,j) = 1;
+            }
+            if( j<i )
+            {
+                l(i,j) = a(i,j);
+            }
+        }
+    }
+    for(i = 1; i <= minmn; i++)
+    {
+        for(j = 1; j <= n; j++)
+        {
+            if( j<i )
+            {
+                u(i,j) = 0;
+            }
+            if( j>=i )
+            {
+                u(i,j) = a(i,j);
+            }
+        }
+    }
+}
+
+
+/*************************************************************************
+Level 2 BLAS version of RMatrixLU
+
+  -- LAPACK routine (version 3.0) --
+     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
+     Courant Institute, Argonne National Lab, and Rice University
+     June 30, 1992
+*************************************************************************/
+static void rmatrixlu2(ap::real_2d_array& a,
+     int m,
+     int n,
+     ap::integer_1d_array& pivots)
+{
+    int i;
+    int j;
+    int jp;
+    ap::real_1d_array t1;
+    double s;
+
+    pivots.setbounds(0, ap::minint(m-1, n-1));
+    t1.setbounds(0, ap::maxint(m-1, n-1));
+    ap::ap_error::make_assertion(m>=0&&n>=0, "Error in LUDecomposition: incorrect function arguments");
+    
+    //
+    // Quick return if possible
+    //
+    if( m==0||n==0 )
+    {
+        return;
+    }
+    for(j = 0; j <= ap::minint(m-1, n-1); j++)
+    {
+        
+        //
+        // Find pivot and test for singularity.
+        //
+        jp = j;
+        for(i = j+1; i <= m-1; i++)
+        {
+            if( fabs(a(i,j))>fabs(a(jp,j)) )
+            {
+                jp = i;
+            }
+        }
+        pivots(j) = jp;
+        if( a(jp,j)!=0 )
+        {
+            
+            //
+            //Apply the interchange to rows
+            //
+            if( jp!=j )
+            {
+                ap::vmove(&t1(0), &a(j, 0), ap::vlen(0,n-1));
+                ap::vmove(&a(j, 0), &a(jp, 0), ap::vlen(0,n-1));
+                ap::vmove(&a(jp, 0), &t1(0), ap::vlen(0,n-1));
+            }
+            
+            //
+            //Compute elements J+1:M of J-th column.
+            //
+            if( j<m )
+            {
+                jp = j+1;
+                s = 1/a(j,j);
+                ap::vmul(a.getcolumn(j, jp, m-1), s);
+            }
+        }
+        if( j<ap::minint(m, n)-1 )
+        {
+            
+            //
+            //Update trailing submatrix.
+            //
+            jp = j+1;
+            for(i = j+1; i <= m-1; i++)
+            {
+                s = a(i,j);
+                ap::vsub(&a(i, jp), &a(j, jp), ap::vlen(jp,n-1), s);
+            }
+        }
+    }
+}
+
+
+