alglib 0.1.1

data/ext/alglib/schur.h

@@ -0,0 +1,102 @@
+/*************************************************************************
+Copyright (c) 1992-2007 The University of Tennessee.  All rights reserved.
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
+      pseudocode.
+
+See subroutines comments for additional copyrights.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#ifndef _schur_h
+#define _schur_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "reflections.h"
+#include "hessenberg.h"
+#include "blas.h"
+#include "rotations.h"
+#include "hsschur.h"
+
+
+/*************************************************************************
+Subroutine performing the Schur decomposition of a general matrix by using
+the QR algorithm with multiple shifts.
+
+The source matrix A is represented as S'*A*S = T, where S is an orthogonal
+matrix (Schur vectors), T - upper quasi-triangular matrix (with blocks of
+sizes 1x1 and 2x2 on the main diagonal).
+
+Input parameters:
+    A   -   matrix to be decomposed.
+            Array whose indexes range within [0..N-1, 0..N-1].
+    N   -   size of A, N>=0.
+
+
+Output parameters:
+    A   -   contains matrix T.
+            Array whose indexes range within [0..N-1, 0..N-1].
+    S   -   contains Schur vectors.
+            Array whose indexes range within [0..N-1, 0..N-1].
+
+Note 1:
+    The block structure of matrix T can be easily recognized: since all
+    the elements below the blocks are zeros, the elements a[i+1,i] which
+    are equal to 0 show the block border.
+
+Note 2:
+    The algorithm performance depends on the value of the internal parameter
+    NS of the InternalSchurDecomposition subroutine which defines the number
+    of shifts in the QR algorithm (similarly to the block width in block-matrix
+    algorithms in linear algebra). If you require maximum performance on
+    your machine, it is recommended to adjust this parameter manually.
+
+Result:
+    True,
+        if the algorithm has converged and parameters A and S contain the result.
+    False,
+        if the algorithm has not converged.
+
+Algorithm implemented on the basis of the DHSEQR subroutine (LAPACK 3.0 library).
+*************************************************************************/
+bool rmatrixschur(ap::real_2d_array& a, int n, ap::real_2d_array& s);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine.
+See RMatrixSchur for 0-based replacement.
+*************************************************************************/
+bool schurdecomposition(ap::real_2d_array& a, int n, ap::real_2d_array& s);
+
+
+#endif

data/ext/alglib/sdet.cpp

@@ -0,0 +1,193 @@
+/*************************************************************************
+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.
+*************************************************************************/
+
+#include <stdafx.h>
+#include "sdet.h"
+
+/*************************************************************************
+Determinant calculation of the matrix given by LDLT decomposition.
+
+Input parameters:
+    A       -   LDLT-decomposition of the matrix,
+                output of subroutine SMatrixLDLT.
+    Pivots  -   table of permutations which were made during
+                LDLT decomposition, output of subroutine SMatrixLDLT.
+    N       -   size of matrix A.
+    IsUpper -   matrix storage format. The value is equal to the input
+                parameter of subroutine SMatrixLDLT.
+
+Result:
+    matrix determinant.
+
+  -- ALGLIB --
+     Copyright 2005-2008 by Bochkanov Sergey
+*************************************************************************/
+double smatrixldltdet(const ap::real_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     int n,
+     bool isupper)
+{
+    double result;
+    int k;
+
+    result = 1;
+    if( isupper )
+    {
+        k = 0;
+        while(k<n)
+        {
+            if( pivots(k)>=0 )
+            {
+                result = result*a(k,k);
+                k = k+1;
+            }
+            else
+            {
+                result = result*(a(k,k)*a(k+1,k+1)-a(k,k+1)*a(k,k+1));
+                k = k+2;
+            }
+        }
+    }
+    else
+    {
+        k = n-1;
+        while(k>=0)
+        {
+            if( pivots(k)>=0 )
+            {
+                result = result*a(k,k);
+                k = k-1;
+            }
+            else
+            {
+                result = result*(a(k-1,k-1)*a(k,k)-a(k,k-1)*a(k,k-1));
+                k = k-2;
+            }
+        }
+    }
+    return result;
+}
+
+
+/*************************************************************************
+Determinant calculation of the symmetric matrix
+
+Input parameters:
+    A       -   matrix. Array with elements [0..N-1, 0..N-1].
+    N       -   size of matrix A.
+    IsUpper -   if IsUpper = True, then symmetric matrix A is given by its
+                upper triangle, and the lower triangle isn�t used by
+                subroutine. Similarly, if IsUpper = False, then A is given
+                by its lower triangle.
+
+Result:
+    determinant of matrix A.
+
+  -- ALGLIB --
+     Copyright 2005-2008 by Bochkanov Sergey
+*************************************************************************/
+double smatrixdet(ap::real_2d_array a, int n, bool isupper)
+{
+    double result;
+    ap::integer_1d_array pivots;
+
+    smatrixldlt(a, n, isupper, pivots);
+    result = smatrixldltdet(a, pivots, n, isupper);
+    return result;
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+*************************************************************************/
+double determinantldlt(const ap::real_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     int n,
+     bool isupper)
+{
+    double result;
+    int k;
+
+    result = 1;
+    if( isupper )
+    {
+        k = 1;
+        while(k<=n)
+        {
+            if( pivots(k)>0 )
+            {
+                result = result*a(k,k);
+                k = k+1;
+            }
+            else
+            {
+                result = result*(a(k,k)*a(k+1,k+1)-a(k,k+1)*a(k,k+1));
+                k = k+2;
+            }
+        }
+    }
+    else
+    {
+        k = n;
+        while(k>=1)
+        {
+            if( pivots(k)>0 )
+            {
+                result = result*a(k,k);
+                k = k-1;
+            }
+            else
+            {
+                result = result*(a(k-1,k-1)*a(k,k)-a(k,k-1)*a(k,k-1));
+                k = k-2;
+            }
+        }
+    }
+    return result;
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+*************************************************************************/
+double determinantsymmetric(ap::real_2d_array a, int n, bool isupper)
+{
+    double result;
+    ap::integer_1d_array pivots;
+
+    ldltdecomposition(a, n, isupper, pivots);
+    result = determinantldlt(a, pivots, n, isupper);
+    return result;
+}
+
+
+

data/ext/alglib/sdet.h

@@ -0,0 +1,101 @@
+/*************************************************************************
+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 _sdet_h
+#define _sdet_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "ldlt.h"
+
+
+/*************************************************************************
+Determinant calculation of the matrix given by LDLT decomposition.
+
+Input parameters:
+    A       -   LDLT-decomposition of the matrix,
+                output of subroutine SMatrixLDLT.
+    Pivots  -   table of permutations which were made during
+                LDLT decomposition, output of subroutine SMatrixLDLT.
+    N       -   size of matrix A.
+    IsUpper -   matrix storage format. The value is equal to the input
+                parameter of subroutine SMatrixLDLT.
+
+Result:
+    matrix determinant.
+
+  -- ALGLIB --
+     Copyright 2005-2008 by Bochkanov Sergey
+*************************************************************************/
+double smatrixldltdet(const ap::real_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     int n,
+     bool isupper);
+
+
+/*************************************************************************
+Determinant calculation of the symmetric matrix
+
+Input parameters:
+    A       -   matrix. Array with elements [0..N-1, 0..N-1].
+    N       -   size of matrix A.
+    IsUpper -   if IsUpper = True, then symmetric matrix A is given by its
+                upper triangle, and the lower triangle isn�t used by
+                subroutine. Similarly, if IsUpper = False, then A is given
+                by its lower triangle.
+
+Result:
+    determinant of matrix A.
+
+  -- ALGLIB --
+     Copyright 2005-2008 by Bochkanov Sergey
+*************************************************************************/
+double smatrixdet(ap::real_2d_array a, int n, bool isupper);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+*************************************************************************/
+double determinantldlt(const ap::real_2d_array& a,
+     const ap::integer_1d_array& pivots,
+     int n,
+     bool isupper);
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+*************************************************************************/
+double determinantsymmetric(ap::real_2d_array a, int n, bool isupper);
+
+
+#endif

data/ext/alglib/sevd.cpp

@@ -0,0 +1,116 @@
+/*************************************************************************
+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.
+*************************************************************************/
+
+#include <stdafx.h>
+#include "sevd.h"
+
+/*************************************************************************
+Finding the eigenvalues and eigenvectors of a symmetric matrix
+
+The algorithm finds eigen pairs of a symmetric matrix by reducing it to
+tridiagonal form and using the QL/QR algorithm.
+
+Input parameters:
+    A       -   symmetric matrix which is given by its upper or lower
+                triangular part.
+                Array whose indexes range within [0..N-1, 0..N-1].
+    N       -   size of matrix A.
+    IsUpper -   storage format.
+    ZNeeded -   flag controlling whether the eigenvectors are needed or not.
+                If ZNeeded is equal to:
+                 * 0, the eigenvectors are not returned;
+                 * 1, the eigenvectors are returned.
+
+Output parameters:
+    D       -   eigenvalues in ascending order.
+                Array whose index ranges within [0..N-1].
+    Z       -   if ZNeeded is equal to:
+                 * 0, Z hasn�t changed;
+                 * 1, Z contains the eigenvectors.
+                Array whose indexes range within [0..N-1, 0..N-1].
+                The eigenvectors are stored in the matrix columns.
+
+Result:
+    True, if the algorithm has converged.
+    False, if the algorithm hasn't converged (rare case).
+
+  -- ALGLIB --
+     Copyright 2005-2008 by Bochkanov Sergey
+*************************************************************************/
+bool smatrixevd(ap::real_2d_array a,
+     int n,
+     int zneeded,
+     bool isupper,
+     ap::real_1d_array& d,
+     ap::real_2d_array& z)
+{
+    bool result;
+    ap::real_1d_array tau;
+    ap::real_1d_array e;
+
+    ap::ap_error::make_assertion(zneeded==0||zneeded==1, "SMatrixEVD: incorrect ZNeeded");
+    smatrixtd(a, n, isupper, tau, d, e);
+    if( zneeded==1 )
+    {
+        smatrixtdunpackq(a, n, isupper, tau, z);
+    }
+    result = smatrixtdevd(d, e, n, zneeded, z);
+    return result;
+}
+
+
+/*************************************************************************
+Obsolete 1-based subroutine
+*************************************************************************/
+bool symmetricevd(ap::real_2d_array a,
+     int n,
+     int zneeded,
+     bool isupper,
+     ap::real_1d_array& d,
+     ap::real_2d_array& z)
+{
+    bool result;
+    ap::real_1d_array tau;
+    ap::real_1d_array e;
+
+    ap::ap_error::make_assertion(zneeded==0||zneeded==1, "SymmetricEVD: incorrect ZNeeded");
+    totridiagonal(a, n, isupper, tau, d, e);
+    if( zneeded==1 )
+    {
+        unpackqfromtridiagonal(a, n, isupper, tau, z);
+    }
+    result = tridiagonalevd(d, e, n, zneeded, z);
+    return result;
+}
+
+
+