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/tdevd.h
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/*************************************************************************
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Copyright (c) 1992-2007 The University of Tennessee. All rights reserved.
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Contributors:
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* Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
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pseudocode.
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See subroutines comments for additional copyrights.
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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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#ifndef _tdevd_h
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#define _tdevd_h
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#include "ap.h"
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#include "ialglib.h"
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#include "blas.h"
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#include "rotations.h"
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/*************************************************************************
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Finding the eigenvalues and eigenvectors of a tridiagonal symmetric matrix
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The algorithm finds the eigen pairs of a tridiagonal symmetric matrix by
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using an QL/QR algorithm with implicit shifts.
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Input parameters:
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D - the main diagonal of a tridiagonal matrix.
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Array whose index ranges within [0..N-1].
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E - the secondary diagonal of a tridiagonal matrix.
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Array whose index ranges within [0..N-2].
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N - size of matrix A.
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ZNeeded - flag controlling whether the eigenvectors are needed or not.
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If ZNeeded is equal to:
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* 0, the eigenvectors are not needed;
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* 1, the eigenvectors of a tridiagonal matrix
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are multiplied by the square matrix Z. It is used if the
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tridiagonal matrix is obtained by the similarity
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transformation of a symmetric matrix;
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* 2, the eigenvectors of a tridiagonal matrix replace the
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square matrix Z;
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* 3, matrix Z contains the first row of the eigenvectors
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matrix.
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Z - if ZNeeded=1, Z contains the square matrix by which the
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eigenvectors are multiplied.
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Array whose indexes range within [0..N-1, 0..N-1].
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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 product of a given matrix (from the left)
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and the eigenvectors matrix (from the right);
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* 2, Z contains the eigenvectors.
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* 3, Z contains the first row of the eigenvectors matrix.
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If ZNeeded<3, Z is the array whose indexes range within [0..N-1, 0..N-1].
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In that case, the eigenvectors are stored in the matrix columns.
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If ZNeeded=3, Z is the array whose indexes range within [0..0, 0..N-1].
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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.
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-- LAPACK routine (version 3.0) --
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Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
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Courant Institute, Argonne National Lab, and Rice University
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September 30, 1994
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*************************************************************************/
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bool smatrixtdevd(ap::real_1d_array& d,
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ap::real_1d_array e,
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int n,
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int zneeded,
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ap::real_2d_array& z);
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/*************************************************************************
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Obsolete 1-based subroutine.
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*************************************************************************/
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bool tridiagonalevd(ap::real_1d_array& d,
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ap::real_1d_array e,
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int n,
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int zneeded,
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ap::real_2d_array& z);
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#endif
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/*************************************************************************
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Copyright (c) 1992-2007 The University of Tennessee. All rights reserved.
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Contributors:
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* Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
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pseudocode.
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See subroutines comments for additional copyrights.
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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 "tridiagonal.h"
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+
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/*************************************************************************
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Reduction of a symmetric matrix which is given by its higher or lower
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+
triangular part to a tridiagonal matrix using orthogonal similarity
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+
transformation: Q'*A*Q=T.
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+
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Input parameters:
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+
A - matrix to be transformed
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array with elements [0..N-1, 0..N-1].
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+
N - size of matrix A.
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IsUpper - storage format. If IsUpper = True, then matrix A is given
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by its upper triangle, and the lower triangle is not used
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and not modified by the algorithm, and vice versa
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if IsUpper = False.
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+
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Output parameters:
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A - matrices T and Q in compact form (see lower)
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Tau - array of factors which are forming matrices H(i)
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array with elements [0..N-2].
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D - main diagonal of symmetric matrix T.
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array with elements [0..N-1].
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E - secondary diagonal of symmetric matrix T.
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array with elements [0..N-2].
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+
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+
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If IsUpper=True, the matrix Q is represented as a product of elementary
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reflectors
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+
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Q = H(n-2) . . . H(2) H(0).
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+
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Each H(i) has the form
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+
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H(i) = I - tau * v * v'
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+
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+
where tau is a real scalar, and v is a real vector with
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v(i+1:n-1) = 0, v(i) = 1, v(0:i-1) is stored on exit in
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A(0:i-1,i+1), and tau in TAU(i).
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+
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+
If IsUpper=False, the matrix Q is represented as a product of elementary
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reflectors
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+
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Q = H(0) H(2) . . . H(n-2).
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+
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Each H(i) has the form
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+
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H(i) = I - tau * v * v'
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+
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where tau is a real scalar, and v is a real vector with
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v(0:i) = 0, v(i+1) = 1, v(i+2:n-1) is stored on exit in A(i+2:n-1,i),
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and tau in TAU(i).
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+
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The contents of A on exit are illustrated by the following examples
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with n = 5:
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+
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if UPLO = 'U': if UPLO = 'L':
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+
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+
( d e v1 v2 v3 ) ( d )
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+
( d e v2 v3 ) ( e d )
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+
( d e v3 ) ( v0 e d )
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( d e ) ( v0 v1 e d )
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( d ) ( v0 v1 v2 e d )
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+
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+
where d and e denote diagonal and off-diagonal elements of T, and vi
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+
denotes an element of the vector defining H(i).
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+
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+
-- LAPACK routine (version 3.0) --
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+
Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
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Courant Institute, Argonne National Lab, and Rice University
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+
October 31, 1992
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+
*************************************************************************/
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void smatrixtd(ap::real_2d_array& a,
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+
int n,
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+
bool isupper,
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+
ap::real_1d_array& tau,
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+
ap::real_1d_array& d,
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+
ap::real_1d_array& e)
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+
{
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int i;
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double alpha;
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+
double taui;
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+
double v;
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ap::real_1d_array t;
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+
ap::real_1d_array t2;
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+
ap::real_1d_array t3;
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+
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+
if( n<=0 )
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+
{
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+
return;
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+
}
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+
t.setbounds(1, n);
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|
+
t2.setbounds(1, n);
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+
t3.setbounds(1, n);
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+
if( n>1 )
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|
+
{
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|
+
tau.setbounds(0, n-2);
|
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+
}
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+
d.setbounds(0, n-1);
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+
if( n>1 )
|
139
|
+
{
|
140
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+
e.setbounds(0, n-2);
|
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+
}
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|
+
if( isupper )
|
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+
{
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+
|
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+
//
|
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+
// Reduce the upper triangle of A
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+
//
|
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+
for(i = n-2; i >= 0; i--)
|
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|
+
{
|
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+
|
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+
//
|
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+
// Generate elementary reflector H() = E - tau * v * v'
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+
//
|
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|
+
if( i>=1 )
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|
+
{
|
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+
ap::vmove(t.getvector(2, i+1), a.getcolumn(i+1, 0, i-1));
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+
}
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+
t(1) = a(i,i+1);
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+
generatereflection(t, i+1, taui);
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+
if( i>=1 )
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{
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+
ap::vmove(a.getcolumn(i+1, 0, i-1), t.getvector(2, i+1));
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+
}
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+
a(i,i+1) = t(1);
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e(i) = a(i,i+1);
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+
if( taui!=0 )
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+
{
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+
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//
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// Apply H from both sides to A
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+
//
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a(i,i+1) = 1;
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+
|
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+
//
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// Compute x := tau * A * v storing x in TAU
|
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+
//
|
177
|
+
ap::vmove(t.getvector(1, i+1), a.getcolumn(i+1, 0, i));
|
178
|
+
symmetricmatrixvectormultiply(a, isupper, 0, i, t, taui, t3);
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+
ap::vmove(&tau(0), &t3(1), ap::vlen(0,i));
|
180
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+
|
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|
+
//
|
182
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+
// Compute w := x - 1/2 * tau * (x'*v) * v
|
183
|
+
//
|
184
|
+
v = ap::vdotproduct(tau.getvector(0, i), a.getcolumn(i+1, 0, i));
|
185
|
+
alpha = -0.5*taui*v;
|
186
|
+
ap::vadd(tau.getvector(0, i), a.getcolumn(i+1, 0, i), alpha);
|
187
|
+
|
188
|
+
//
|
189
|
+
// Apply the transformation as a rank-2 update:
|
190
|
+
// A := A - v * w' - w * v'
|
191
|
+
//
|
192
|
+
ap::vmove(t.getvector(1, i+1), a.getcolumn(i+1, 0, i));
|
193
|
+
ap::vmove(&t3(1), &tau(0), ap::vlen(1,i+1));
|
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|
+
symmetricrank2update(a, isupper, 0, i, t, t3, t2, double(-1));
|
195
|
+
a(i,i+1) = e(i);
|
196
|
+
}
|
197
|
+
d(i+1) = a(i+1,i+1);
|
198
|
+
tau(i) = taui;
|
199
|
+
}
|
200
|
+
d(0) = a(0,0);
|
201
|
+
}
|
202
|
+
else
|
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+
{
|
204
|
+
|
205
|
+
//
|
206
|
+
// Reduce the lower triangle of A
|
207
|
+
//
|
208
|
+
for(i = 0; i <= n-2; i++)
|
209
|
+
{
|
210
|
+
|
211
|
+
//
|
212
|
+
// Generate elementary reflector H = E - tau * v * v'
|
213
|
+
//
|
214
|
+
ap::vmove(t.getvector(1, n-i-1), a.getcolumn(i, i+1, n-1));
|
215
|
+
generatereflection(t, n-i-1, taui);
|
216
|
+
ap::vmove(a.getcolumn(i, i+1, n-1), t.getvector(1, n-i-1));
|
217
|
+
e(i) = a(i+1,i);
|
218
|
+
if( taui!=0 )
|
219
|
+
{
|
220
|
+
|
221
|
+
//
|
222
|
+
// Apply H from both sides to A
|
223
|
+
//
|
224
|
+
a(i+1,i) = 1;
|
225
|
+
|
226
|
+
//
|
227
|
+
// Compute x := tau * A * v storing y in TAU
|
228
|
+
//
|
229
|
+
ap::vmove(t.getvector(1, n-i-1), a.getcolumn(i, i+1, n-1));
|
230
|
+
symmetricmatrixvectormultiply(a, isupper, i+1, n-1, t, taui, t2);
|
231
|
+
ap::vmove(&tau(i), &t2(1), ap::vlen(i,n-2));
|
232
|
+
|
233
|
+
//
|
234
|
+
// Compute w := x - 1/2 * tau * (x'*v) * v
|
235
|
+
//
|
236
|
+
v = ap::vdotproduct(tau.getvector(i, n-2), a.getcolumn(i, i+1, n-1));
|
237
|
+
alpha = -0.5*taui*v;
|
238
|
+
ap::vadd(tau.getvector(i, n-2), a.getcolumn(i, i+1, n-1), alpha);
|
239
|
+
|
240
|
+
//
|
241
|
+
// Apply the transformation as a rank-2 update:
|
242
|
+
// A := A - v * w' - w * v'
|
243
|
+
//
|
244
|
+
//
|
245
|
+
ap::vmove(t.getvector(1, n-i-1), a.getcolumn(i, i+1, n-1));
|
246
|
+
ap::vmove(&t2(1), &tau(i), ap::vlen(1,n-i-1));
|
247
|
+
symmetricrank2update(a, isupper, i+1, n-1, t, t2, t3, double(-1));
|
248
|
+
a(i+1,i) = e(i);
|
249
|
+
}
|
250
|
+
d(i) = a(i,i);
|
251
|
+
tau(i) = taui;
|
252
|
+
}
|
253
|
+
d(n-1) = a(n-1,n-1);
|
254
|
+
}
|
255
|
+
}
|
256
|
+
|
257
|
+
|
258
|
+
/*************************************************************************
|
259
|
+
Unpacking matrix Q which reduces symmetric matrix to a tridiagonal
|
260
|
+
form.
|
261
|
+
|
262
|
+
Input parameters:
|
263
|
+
A - the result of a SMatrixTD subroutine
|
264
|
+
N - size of matrix A.
|
265
|
+
IsUpper - storage format (a parameter of SMatrixTD subroutine)
|
266
|
+
Tau - the result of a SMatrixTD subroutine
|
267
|
+
|
268
|
+
Output parameters:
|
269
|
+
Q - transformation matrix.
|
270
|
+
array with elements [0..N-1, 0..N-1].
|
271
|
+
|
272
|
+
-- ALGLIB --
|
273
|
+
Copyright 2005-2008 by Bochkanov Sergey
|
274
|
+
*************************************************************************/
|
275
|
+
void smatrixtdunpackq(const ap::real_2d_array& a,
|
276
|
+
const int& n,
|
277
|
+
const bool& isupper,
|
278
|
+
const ap::real_1d_array& tau,
|
279
|
+
ap::real_2d_array& q)
|
280
|
+
{
|
281
|
+
int i;
|
282
|
+
int j;
|
283
|
+
ap::real_1d_array v;
|
284
|
+
ap::real_1d_array work;
|
285
|
+
|
286
|
+
if( n==0 )
|
287
|
+
{
|
288
|
+
return;
|
289
|
+
}
|
290
|
+
|
291
|
+
//
|
292
|
+
// init
|
293
|
+
//
|
294
|
+
q.setbounds(0, n-1, 0, n-1);
|
295
|
+
v.setbounds(1, n);
|
296
|
+
work.setbounds(0, n-1);
|
297
|
+
for(i = 0; i <= n-1; i++)
|
298
|
+
{
|
299
|
+
for(j = 0; j <= n-1; j++)
|
300
|
+
{
|
301
|
+
if( i==j )
|
302
|
+
{
|
303
|
+
q(i,j) = 1;
|
304
|
+
}
|
305
|
+
else
|
306
|
+
{
|
307
|
+
q(i,j) = 0;
|
308
|
+
}
|
309
|
+
}
|
310
|
+
}
|
311
|
+
|
312
|
+
//
|
313
|
+
// unpack Q
|
314
|
+
//
|
315
|
+
if( isupper )
|
316
|
+
{
|
317
|
+
for(i = 0; i <= n-2; i++)
|
318
|
+
{
|
319
|
+
|
320
|
+
//
|
321
|
+
// Apply H(i)
|
322
|
+
//
|
323
|
+
ap::vmove(v.getvector(1, i+1), a.getcolumn(i+1, 0, i));
|
324
|
+
v(i+1) = 1;
|
325
|
+
applyreflectionfromtheleft(q, tau(i), v, 0, i, 0, n-1, work);
|
326
|
+
}
|
327
|
+
}
|
328
|
+
else
|
329
|
+
{
|
330
|
+
for(i = n-2; i >= 0; i--)
|
331
|
+
{
|
332
|
+
|
333
|
+
//
|
334
|
+
// Apply H(i)
|
335
|
+
//
|
336
|
+
ap::vmove(v.getvector(1, n-i-1), a.getcolumn(i, i+1, n-1));
|
337
|
+
v(1) = 1;
|
338
|
+
applyreflectionfromtheleft(q, tau(i), v, i+1, n-1, 0, n-1, work);
|
339
|
+
}
|
340
|
+
}
|
341
|
+
}
|
342
|
+
|
343
|
+
|
344
|
+
/*************************************************************************
|
345
|
+
Obsolete 1-based subroutine
|
346
|
+
*************************************************************************/
|
347
|
+
void totridiagonal(ap::real_2d_array& a,
|
348
|
+
int n,
|
349
|
+
bool isupper,
|
350
|
+
ap::real_1d_array& tau,
|
351
|
+
ap::real_1d_array& d,
|
352
|
+
ap::real_1d_array& e)
|
353
|
+
{
|
354
|
+
int i;
|
355
|
+
int ip1;
|
356
|
+
int im1;
|
357
|
+
int nmi;
|
358
|
+
int nm1;
|
359
|
+
double alpha;
|
360
|
+
double taui;
|
361
|
+
double v;
|
362
|
+
ap::real_1d_array t;
|
363
|
+
ap::real_1d_array t2;
|
364
|
+
ap::real_1d_array t3;
|
365
|
+
|
366
|
+
if( n<=0 )
|
367
|
+
{
|
368
|
+
return;
|
369
|
+
}
|
370
|
+
t.setbounds(1, n);
|
371
|
+
t2.setbounds(1, n);
|
372
|
+
t3.setbounds(1, n);
|
373
|
+
tau.setbounds(1, ap::maxint(1, n-1));
|
374
|
+
d.setbounds(1, n);
|
375
|
+
e.setbounds(1, ap::maxint(1, n-1));
|
376
|
+
if( isupper )
|
377
|
+
{
|
378
|
+
|
379
|
+
//
|
380
|
+
// Reduce the upper triangle of A
|
381
|
+
//
|
382
|
+
for(i = n-1; i >= 1; i--)
|
383
|
+
{
|
384
|
+
|
385
|
+
//
|
386
|
+
// Generate elementary reflector H(i) = I - tau * v * v'
|
387
|
+
// to annihilate A(1:i-1,i+1)
|
388
|
+
//
|
389
|
+
// DLARFG( I, A( I, I+1 ), A( 1, I+1 ), 1, TAUI );
|
390
|
+
//
|
391
|
+
ip1 = i+1;
|
392
|
+
im1 = i-1;
|
393
|
+
if( i>=2 )
|
394
|
+
{
|
395
|
+
ap::vmove(t.getvector(2, i), a.getcolumn(ip1, 1, im1));
|
396
|
+
}
|
397
|
+
t(1) = a(i,ip1);
|
398
|
+
generatereflection(t, i, taui);
|
399
|
+
if( i>=2 )
|
400
|
+
{
|
401
|
+
ap::vmove(a.getcolumn(ip1, 1, im1), t.getvector(2, i));
|
402
|
+
}
|
403
|
+
a(i,ip1) = t(1);
|
404
|
+
e(i) = a(i,i+1);
|
405
|
+
if( taui!=0 )
|
406
|
+
{
|
407
|
+
|
408
|
+
//
|
409
|
+
// Apply H(i) from both sides to A(1:i,1:i)
|
410
|
+
//
|
411
|
+
a(i,i+1) = 1;
|
412
|
+
|
413
|
+
//
|
414
|
+
// Compute x := tau * A * v storing x in TAU(1:i)
|
415
|
+
//
|
416
|
+
// DSYMV( UPLO, I, TAUI, A, LDA, A( 1, I+1 ), 1, ZERO, TAU, 1 );
|
417
|
+
//
|
418
|
+
ip1 = i+1;
|
419
|
+
ap::vmove(t.getvector(1, i), a.getcolumn(ip1, 1, i));
|
420
|
+
symmetricmatrixvectormultiply(a, isupper, 1, i, t, taui, tau);
|
421
|
+
|
422
|
+
//
|
423
|
+
// Compute w := x - 1/2 * tau * (x'*v) * v
|
424
|
+
//
|
425
|
+
ip1 = i+1;
|
426
|
+
v = ap::vdotproduct(tau.getvector(1, i), a.getcolumn(ip1, 1, i));
|
427
|
+
alpha = -0.5*taui*v;
|
428
|
+
ap::vadd(tau.getvector(1, i), a.getcolumn(ip1, 1, i), alpha);
|
429
|
+
|
430
|
+
//
|
431
|
+
// Apply the transformation as a rank-2 update:
|
432
|
+
// A := A - v * w' - w * v'
|
433
|
+
//
|
434
|
+
// DSYR2( UPLO, I, -ONE, A( 1, I+1 ), 1, TAU, 1, A, LDA );
|
435
|
+
//
|
436
|
+
ap::vmove(t.getvector(1, i), a.getcolumn(ip1, 1, i));
|
437
|
+
symmetricrank2update(a, isupper, 1, i, t, tau, t2, double(-1));
|
438
|
+
a(i,i+1) = e(i);
|
439
|
+
}
|
440
|
+
d(i+1) = a(i+1,i+1);
|
441
|
+
tau(i) = taui;
|
442
|
+
}
|
443
|
+
d(1) = a(1,1);
|
444
|
+
}
|
445
|
+
else
|
446
|
+
{
|
447
|
+
|
448
|
+
//
|
449
|
+
// Reduce the lower triangle of A
|
450
|
+
//
|
451
|
+
for(i = 1; i <= n-1; i++)
|
452
|
+
{
|
453
|
+
|
454
|
+
//
|
455
|
+
// Generate elementary reflector H(i) = I - tau * v * v'
|
456
|
+
// to annihilate A(i+2:n,i)
|
457
|
+
//
|
458
|
+
//DLARFG( N-I, A( I+1, I ), A( MIN( I+2, N ), I ), 1, TAUI );
|
459
|
+
//
|
460
|
+
nmi = n-i;
|
461
|
+
ip1 = i+1;
|
462
|
+
ap::vmove(t.getvector(1, nmi), a.getcolumn(i, ip1, n));
|
463
|
+
generatereflection(t, nmi, taui);
|
464
|
+
ap::vmove(a.getcolumn(i, ip1, n), t.getvector(1, nmi));
|
465
|
+
e(i) = a(i+1,i);
|
466
|
+
if( taui!=0 )
|
467
|
+
{
|
468
|
+
|
469
|
+
//
|
470
|
+
// Apply H(i) from both sides to A(i+1:n,i+1:n)
|
471
|
+
//
|
472
|
+
a(i+1,i) = 1;
|
473
|
+
|
474
|
+
//
|
475
|
+
// Compute x := tau * A * v storing y in TAU(i:n-1)
|
476
|
+
//
|
477
|
+
//DSYMV( UPLO, N-I, TAUI, A( I+1, I+1 ), LDA, A( I+1, I ), 1, ZERO, TAU( I ), 1 );
|
478
|
+
//
|
479
|
+
ip1 = i+1;
|
480
|
+
nmi = n-i;
|
481
|
+
nm1 = n-1;
|
482
|
+
ap::vmove(t.getvector(1, nmi), a.getcolumn(i, ip1, n));
|
483
|
+
symmetricmatrixvectormultiply(a, isupper, i+1, n, t, taui, t2);
|
484
|
+
ap::vmove(&tau(i), &t2(1), ap::vlen(i,nm1));
|
485
|
+
|
486
|
+
//
|
487
|
+
// Compute w := x - 1/2 * tau * (x'*v) * v
|
488
|
+
//
|
489
|
+
nm1 = n-1;
|
490
|
+
ip1 = i+1;
|
491
|
+
v = ap::vdotproduct(tau.getvector(i, nm1), a.getcolumn(i, ip1, n));
|
492
|
+
alpha = -0.5*taui*v;
|
493
|
+
ap::vadd(tau.getvector(i, nm1), a.getcolumn(i, ip1, n), alpha);
|
494
|
+
|
495
|
+
//
|
496
|
+
// Apply the transformation as a rank-2 update:
|
497
|
+
// A := A - v * w' - w * v'
|
498
|
+
//
|
499
|
+
//DSYR2( UPLO, N-I, -ONE, A( I+1, I ), 1, TAU( I ), 1, A( I+1, I+1 ), LDA );
|
500
|
+
//
|
501
|
+
nm1 = n-1;
|
502
|
+
nmi = n-i;
|
503
|
+
ip1 = i+1;
|
504
|
+
ap::vmove(t.getvector(1, nmi), a.getcolumn(i, ip1, n));
|
505
|
+
ap::vmove(&t2(1), &tau(i), ap::vlen(1,nmi));
|
506
|
+
symmetricrank2update(a, isupper, i+1, n, t, t2, t3, double(-1));
|
507
|
+
a(i+1,i) = e(i);
|
508
|
+
}
|
509
|
+
d(i) = a(i,i);
|
510
|
+
tau(i) = taui;
|
511
|
+
}
|
512
|
+
d(n) = a(n,n);
|
513
|
+
}
|
514
|
+
}
|
515
|
+
|
516
|
+
|
517
|
+
/*************************************************************************
|
518
|
+
Obsolete 1-based subroutine
|
519
|
+
*************************************************************************/
|
520
|
+
void unpackqfromtridiagonal(const ap::real_2d_array& a,
|
521
|
+
const int& n,
|
522
|
+
const bool& isupper,
|
523
|
+
const ap::real_1d_array& tau,
|
524
|
+
ap::real_2d_array& q)
|
525
|
+
{
|
526
|
+
int i;
|
527
|
+
int j;
|
528
|
+
int ip1;
|
529
|
+
int nmi;
|
530
|
+
ap::real_1d_array v;
|
531
|
+
ap::real_1d_array work;
|
532
|
+
|
533
|
+
if( n==0 )
|
534
|
+
{
|
535
|
+
return;
|
536
|
+
}
|
537
|
+
|
538
|
+
//
|
539
|
+
// init
|
540
|
+
//
|
541
|
+
q.setbounds(1, n, 1, n);
|
542
|
+
v.setbounds(1, n);
|
543
|
+
work.setbounds(1, n);
|
544
|
+
for(i = 1; i <= n; i++)
|
545
|
+
{
|
546
|
+
for(j = 1; j <= n; j++)
|
547
|
+
{
|
548
|
+
if( i==j )
|
549
|
+
{
|
550
|
+
q(i,j) = 1;
|
551
|
+
}
|
552
|
+
else
|
553
|
+
{
|
554
|
+
q(i,j) = 0;
|
555
|
+
}
|
556
|
+
}
|
557
|
+
}
|
558
|
+
|
559
|
+
//
|
560
|
+
// unpack Q
|
561
|
+
//
|
562
|
+
if( isupper )
|
563
|
+
{
|
564
|
+
for(i = 1; i <= n-1; i++)
|
565
|
+
{
|
566
|
+
|
567
|
+
//
|
568
|
+
// Apply H(i)
|
569
|
+
//
|
570
|
+
ip1 = i+1;
|
571
|
+
ap::vmove(v.getvector(1, i), a.getcolumn(ip1, 1, i));
|
572
|
+
v(i) = 1;
|
573
|
+
applyreflectionfromtheleft(q, tau(i), v, 1, i, 1, n, work);
|
574
|
+
}
|
575
|
+
}
|
576
|
+
else
|
577
|
+
{
|
578
|
+
for(i = n-1; i >= 1; i--)
|
579
|
+
{
|
580
|
+
|
581
|
+
//
|
582
|
+
// Apply H(i)
|
583
|
+
//
|
584
|
+
ip1 = i+1;
|
585
|
+
nmi = n-i;
|
586
|
+
ap::vmove(v.getvector(1, nmi), a.getcolumn(i, ip1, n));
|
587
|
+
v(1) = 1;
|
588
|
+
applyreflectionfromtheleft(q, tau(i), v, i+1, n, 1, n, work);
|
589
|
+
}
|
590
|
+
}
|
591
|
+
}
|
592
|
+
|
593
|
+
|
594
|
+
|