alglib 0.1.1

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  1. data/History.txt +7 -0
  2. data/Manifest.txt +253 -0
  3. data/README.txt +33 -0
  4. data/Rakefile +27 -0
  5. data/ext/Rakefile +24 -0
  6. data/ext/alglib.i +24 -0
  7. data/ext/alglib/Makefile +157 -0
  8. data/ext/alglib/airyf.cpp +372 -0
  9. data/ext/alglib/airyf.h +81 -0
  10. data/ext/alglib/alglib.cpp +8558 -0
  11. data/ext/alglib/alglib_util.cpp +19 -0
  12. data/ext/alglib/alglib_util.h +14 -0
  13. data/ext/alglib/ap.cpp +877 -0
  14. data/ext/alglib/ap.english.html +364 -0
  15. data/ext/alglib/ap.h +666 -0
  16. data/ext/alglib/ap.russian.html +442 -0
  17. data/ext/alglib/apvt.h +754 -0
  18. data/ext/alglib/bdss.cpp +1500 -0
  19. data/ext/alglib/bdss.h +251 -0
  20. data/ext/alglib/bdsvd.cpp +1339 -0
  21. data/ext/alglib/bdsvd.h +164 -0
  22. data/ext/alglib/bessel.cpp +1226 -0
  23. data/ext/alglib/bessel.h +331 -0
  24. data/ext/alglib/betaf.cpp +105 -0
  25. data/ext/alglib/betaf.h +74 -0
  26. data/ext/alglib/bidiagonal.cpp +1328 -0
  27. data/ext/alglib/bidiagonal.h +350 -0
  28. data/ext/alglib/binomialdistr.cpp +247 -0
  29. data/ext/alglib/binomialdistr.h +153 -0
  30. data/ext/alglib/blas.cpp +576 -0
  31. data/ext/alglib/blas.h +132 -0
  32. data/ext/alglib/cblas.cpp +226 -0
  33. data/ext/alglib/cblas.h +57 -0
  34. data/ext/alglib/cdet.cpp +138 -0
  35. data/ext/alglib/cdet.h +92 -0
  36. data/ext/alglib/chebyshev.cpp +216 -0
  37. data/ext/alglib/chebyshev.h +76 -0
  38. data/ext/alglib/chisquaredistr.cpp +157 -0
  39. data/ext/alglib/chisquaredistr.h +144 -0
  40. data/ext/alglib/cholesky.cpp +285 -0
  41. data/ext/alglib/cholesky.h +86 -0
  42. data/ext/alglib/cinverse.cpp +298 -0
  43. data/ext/alglib/cinverse.h +111 -0
  44. data/ext/alglib/clu.cpp +337 -0
  45. data/ext/alglib/clu.h +120 -0
  46. data/ext/alglib/correlation.cpp +280 -0
  47. data/ext/alglib/correlation.h +77 -0
  48. data/ext/alglib/correlationtests.cpp +726 -0
  49. data/ext/alglib/correlationtests.h +134 -0
  50. data/ext/alglib/crcond.cpp +826 -0
  51. data/ext/alglib/crcond.h +148 -0
  52. data/ext/alglib/creflections.cpp +310 -0
  53. data/ext/alglib/creflections.h +165 -0
  54. data/ext/alglib/csolve.cpp +312 -0
  55. data/ext/alglib/csolve.h +99 -0
  56. data/ext/alglib/ctrinverse.cpp +387 -0
  57. data/ext/alglib/ctrinverse.h +98 -0
  58. data/ext/alglib/ctrlinsolve.cpp +297 -0
  59. data/ext/alglib/ctrlinsolve.h +81 -0
  60. data/ext/alglib/dawson.cpp +234 -0
  61. data/ext/alglib/dawson.h +74 -0
  62. data/ext/alglib/descriptivestatistics.cpp +436 -0
  63. data/ext/alglib/descriptivestatistics.h +112 -0
  64. data/ext/alglib/det.cpp +140 -0
  65. data/ext/alglib/det.h +94 -0
  66. data/ext/alglib/dforest.cpp +1819 -0
  67. data/ext/alglib/dforest.h +316 -0
  68. data/ext/alglib/elliptic.cpp +497 -0
  69. data/ext/alglib/elliptic.h +217 -0
  70. data/ext/alglib/estnorm.cpp +429 -0
  71. data/ext/alglib/estnorm.h +107 -0
  72. data/ext/alglib/expintegrals.cpp +422 -0
  73. data/ext/alglib/expintegrals.h +108 -0
  74. data/ext/alglib/faq.english.html +258 -0
  75. data/ext/alglib/faq.russian.html +272 -0
  76. data/ext/alglib/fdistr.cpp +202 -0
  77. data/ext/alglib/fdistr.h +163 -0
  78. data/ext/alglib/fresnel.cpp +211 -0
  79. data/ext/alglib/fresnel.h +91 -0
  80. data/ext/alglib/gammaf.cpp +338 -0
  81. data/ext/alglib/gammaf.h +104 -0
  82. data/ext/alglib/gqgengauss.cpp +235 -0
  83. data/ext/alglib/gqgengauss.h +92 -0
  84. data/ext/alglib/gqgenhermite.cpp +268 -0
  85. data/ext/alglib/gqgenhermite.h +63 -0
  86. data/ext/alglib/gqgenjacobi.cpp +297 -0
  87. data/ext/alglib/gqgenjacobi.h +72 -0
  88. data/ext/alglib/gqgenlaguerre.cpp +265 -0
  89. data/ext/alglib/gqgenlaguerre.h +69 -0
  90. data/ext/alglib/gqgenlegendre.cpp +300 -0
  91. data/ext/alglib/gqgenlegendre.h +62 -0
  92. data/ext/alglib/gqgenlobatto.cpp +305 -0
  93. data/ext/alglib/gqgenlobatto.h +97 -0
  94. data/ext/alglib/gqgenradau.cpp +232 -0
  95. data/ext/alglib/gqgenradau.h +95 -0
  96. data/ext/alglib/hbisinv.cpp +480 -0
  97. data/ext/alglib/hbisinv.h +183 -0
  98. data/ext/alglib/hblas.cpp +228 -0
  99. data/ext/alglib/hblas.h +64 -0
  100. data/ext/alglib/hcholesky.cpp +339 -0
  101. data/ext/alglib/hcholesky.h +91 -0
  102. data/ext/alglib/hermite.cpp +114 -0
  103. data/ext/alglib/hermite.h +49 -0
  104. data/ext/alglib/hessenberg.cpp +370 -0
  105. data/ext/alglib/hessenberg.h +152 -0
  106. data/ext/alglib/hevd.cpp +247 -0
  107. data/ext/alglib/hevd.h +107 -0
  108. data/ext/alglib/hsschur.cpp +1316 -0
  109. data/ext/alglib/hsschur.h +108 -0
  110. data/ext/alglib/htridiagonal.cpp +734 -0
  111. data/ext/alglib/htridiagonal.h +180 -0
  112. data/ext/alglib/ialglib.cpp +6 -0
  113. data/ext/alglib/ialglib.h +9 -0
  114. data/ext/alglib/ibetaf.cpp +960 -0
  115. data/ext/alglib/ibetaf.h +125 -0
  116. data/ext/alglib/igammaf.cpp +430 -0
  117. data/ext/alglib/igammaf.h +157 -0
  118. data/ext/alglib/inv.cpp +274 -0
  119. data/ext/alglib/inv.h +115 -0
  120. data/ext/alglib/inverseupdate.cpp +480 -0
  121. data/ext/alglib/inverseupdate.h +185 -0
  122. data/ext/alglib/jacobianelliptic.cpp +164 -0
  123. data/ext/alglib/jacobianelliptic.h +94 -0
  124. data/ext/alglib/jarquebera.cpp +2271 -0
  125. data/ext/alglib/jarquebera.h +80 -0
  126. data/ext/alglib/kmeans.cpp +356 -0
  127. data/ext/alglib/kmeans.h +76 -0
  128. data/ext/alglib/laguerre.cpp +94 -0
  129. data/ext/alglib/laguerre.h +48 -0
  130. data/ext/alglib/lbfgs.cpp +1167 -0
  131. data/ext/alglib/lbfgs.h +218 -0
  132. data/ext/alglib/lda.cpp +434 -0
  133. data/ext/alglib/lda.h +133 -0
  134. data/ext/alglib/ldlt.cpp +1130 -0
  135. data/ext/alglib/ldlt.h +124 -0
  136. data/ext/alglib/leastsquares.cpp +1252 -0
  137. data/ext/alglib/leastsquares.h +290 -0
  138. data/ext/alglib/legendre.cpp +107 -0
  139. data/ext/alglib/legendre.h +49 -0
  140. data/ext/alglib/linreg.cpp +1185 -0
  141. data/ext/alglib/linreg.h +380 -0
  142. data/ext/alglib/logit.cpp +1523 -0
  143. data/ext/alglib/logit.h +333 -0
  144. data/ext/alglib/lq.cpp +399 -0
  145. data/ext/alglib/lq.h +160 -0
  146. data/ext/alglib/lu.cpp +462 -0
  147. data/ext/alglib/lu.h +119 -0
  148. data/ext/alglib/mannwhitneyu.cpp +4490 -0
  149. data/ext/alglib/mannwhitneyu.h +115 -0
  150. data/ext/alglib/minlm.cpp +918 -0
  151. data/ext/alglib/minlm.h +312 -0
  152. data/ext/alglib/mlpbase.cpp +3375 -0
  153. data/ext/alglib/mlpbase.h +589 -0
  154. data/ext/alglib/mlpe.cpp +1369 -0
  155. data/ext/alglib/mlpe.h +552 -0
  156. data/ext/alglib/mlptrain.cpp +1056 -0
  157. data/ext/alglib/mlptrain.h +283 -0
  158. data/ext/alglib/nearunityunit.cpp +91 -0
  159. data/ext/alglib/nearunityunit.h +17 -0
  160. data/ext/alglib/normaldistr.cpp +377 -0
  161. data/ext/alglib/normaldistr.h +175 -0
  162. data/ext/alglib/nsevd.cpp +1869 -0
  163. data/ext/alglib/nsevd.h +140 -0
  164. data/ext/alglib/pca.cpp +168 -0
  165. data/ext/alglib/pca.h +87 -0
  166. data/ext/alglib/poissondistr.cpp +143 -0
  167. data/ext/alglib/poissondistr.h +130 -0
  168. data/ext/alglib/polinterpolation.cpp +685 -0
  169. data/ext/alglib/polinterpolation.h +206 -0
  170. data/ext/alglib/psif.cpp +173 -0
  171. data/ext/alglib/psif.h +88 -0
  172. data/ext/alglib/qr.cpp +414 -0
  173. data/ext/alglib/qr.h +168 -0
  174. data/ext/alglib/ratinterpolation.cpp +134 -0
  175. data/ext/alglib/ratinterpolation.h +72 -0
  176. data/ext/alglib/rcond.cpp +705 -0
  177. data/ext/alglib/rcond.h +140 -0
  178. data/ext/alglib/reflections.cpp +504 -0
  179. data/ext/alglib/reflections.h +165 -0
  180. data/ext/alglib/rotations.cpp +473 -0
  181. data/ext/alglib/rotations.h +128 -0
  182. data/ext/alglib/rsolve.cpp +221 -0
  183. data/ext/alglib/rsolve.h +99 -0
  184. data/ext/alglib/sbisinv.cpp +217 -0
  185. data/ext/alglib/sbisinv.h +171 -0
  186. data/ext/alglib/sblas.cpp +185 -0
  187. data/ext/alglib/sblas.h +64 -0
  188. data/ext/alglib/schur.cpp +156 -0
  189. data/ext/alglib/schur.h +102 -0
  190. data/ext/alglib/sdet.cpp +193 -0
  191. data/ext/alglib/sdet.h +101 -0
  192. data/ext/alglib/sevd.cpp +116 -0
  193. data/ext/alglib/sevd.h +99 -0
  194. data/ext/alglib/sinverse.cpp +672 -0
  195. data/ext/alglib/sinverse.h +138 -0
  196. data/ext/alglib/spddet.cpp +138 -0
  197. data/ext/alglib/spddet.h +96 -0
  198. data/ext/alglib/spdgevd.cpp +842 -0
  199. data/ext/alglib/spdgevd.h +200 -0
  200. data/ext/alglib/spdinverse.cpp +509 -0
  201. data/ext/alglib/spdinverse.h +122 -0
  202. data/ext/alglib/spdrcond.cpp +421 -0
  203. data/ext/alglib/spdrcond.h +118 -0
  204. data/ext/alglib/spdsolve.cpp +275 -0
  205. data/ext/alglib/spdsolve.h +105 -0
  206. data/ext/alglib/spline2d.cpp +1192 -0
  207. data/ext/alglib/spline2d.h +301 -0
  208. data/ext/alglib/spline3.cpp +1264 -0
  209. data/ext/alglib/spline3.h +290 -0
  210. data/ext/alglib/srcond.cpp +595 -0
  211. data/ext/alglib/srcond.h +127 -0
  212. data/ext/alglib/ssolve.cpp +895 -0
  213. data/ext/alglib/ssolve.h +139 -0
  214. data/ext/alglib/stdafx.h +0 -0
  215. data/ext/alglib/stest.cpp +131 -0
  216. data/ext/alglib/stest.h +94 -0
  217. data/ext/alglib/studenttdistr.cpp +222 -0
  218. data/ext/alglib/studenttdistr.h +115 -0
  219. data/ext/alglib/studentttests.cpp +377 -0
  220. data/ext/alglib/studentttests.h +178 -0
  221. data/ext/alglib/svd.cpp +620 -0
  222. data/ext/alglib/svd.h +126 -0
  223. data/ext/alglib/tdbisinv.cpp +2608 -0
  224. data/ext/alglib/tdbisinv.h +228 -0
  225. data/ext/alglib/tdevd.cpp +1229 -0
  226. data/ext/alglib/tdevd.h +115 -0
  227. data/ext/alglib/tridiagonal.cpp +594 -0
  228. data/ext/alglib/tridiagonal.h +171 -0
  229. data/ext/alglib/trigintegrals.cpp +490 -0
  230. data/ext/alglib/trigintegrals.h +131 -0
  231. data/ext/alglib/trinverse.cpp +345 -0
  232. data/ext/alglib/trinverse.h +98 -0
  233. data/ext/alglib/trlinsolve.cpp +926 -0
  234. data/ext/alglib/trlinsolve.h +73 -0
  235. data/ext/alglib/tsort.cpp +405 -0
  236. data/ext/alglib/tsort.h +54 -0
  237. data/ext/alglib/variancetests.cpp +245 -0
  238. data/ext/alglib/variancetests.h +134 -0
  239. data/ext/alglib/wsr.cpp +6285 -0
  240. data/ext/alglib/wsr.h +96 -0
  241. data/ext/ap.i +97 -0
  242. data/ext/correlation.i +24 -0
  243. data/ext/extconf.rb +6 -0
  244. data/ext/logit.i +89 -0
  245. data/lib/alglib.rb +71 -0
  246. data/lib/alglib/correlation.rb +26 -0
  247. data/lib/alglib/linearregression.rb +63 -0
  248. data/lib/alglib/logit.rb +42 -0
  249. data/test/test_alglib.rb +52 -0
  250. data/test/test_correlation.rb +44 -0
  251. data/test/test_correlationtest.rb +45 -0
  252. data/test/test_linreg.rb +35 -0
  253. data/test/test_logit.rb +43 -0
  254. data/test/test_pca.rb +27 -0
  255. metadata +326 -0
@@ -0,0 +1,115 @@
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+ /*************************************************************************
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+ Copyright (c) 1992-2007 The University of Tennessee. All rights reserved.
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+
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+ Contributors:
5
+ * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
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+ pseudocode.
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+
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+ See subroutines comments for additional copyrights.
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+
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+ Redistribution and use in source and binary forms, with or without
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+ modification, are permitted provided that the following conditions are
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+ met:
13
+
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+ - Redistributions of source code must retain the above copyright
15
+ notice, this list of conditions and the following disclaimer.
16
+
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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
20
+ provided with the distribution.
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+
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+ - 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.
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+
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
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+ THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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+ (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
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+ OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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+ *************************************************************************/
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+
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+ #ifndef _tdevd_h
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+ #define _tdevd_h
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+
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+ #include "ap.h"
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+ #include "ialglib.h"
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+
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+ #include "blas.h"
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+ #include "rotations.h"
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+
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+
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+ /*************************************************************************
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+ Finding the eigenvalues and eigenvectors of a tridiagonal symmetric matrix
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+
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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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+
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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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+
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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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+
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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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+
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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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+
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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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+
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+
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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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+
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+ Contributors:
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+ * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
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+ pseudocode.
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+
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+ See subroutines comments for additional copyrights.
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
+ *************************************************************************/
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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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+
47
+ Input parameters:
48
+ A - matrix to be transformed
49
+ array with elements [0..N-1, 0..N-1].
50
+ 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)
58
+ 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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+
69
+ Q = H(n-2) . . . H(2) H(0).
70
+
71
+ Each H(i) has the form
72
+
73
+ H(i) = I - tau * v * v'
74
+
75
+ where tau is a real scalar, and v is a real vector with
76
+ v(i+1:n-1) = 0, v(i) = 1, v(0:i-1) is stored on exit in
77
+ A(0:i-1,i+1), and tau in TAU(i).
78
+
79
+ If IsUpper=False, the matrix Q is represented as a product of elementary
80
+ reflectors
81
+
82
+ Q = H(0) H(2) . . . H(n-2).
83
+
84
+ Each H(i) has the form
85
+
86
+ H(i) = I - tau * v * v'
87
+
88
+ where tau is a real scalar, and v is a real vector with
89
+ v(0:i) = 0, v(i+1) = 1, v(i+2:n-1) is stored on exit in A(i+2:n-1,i),
90
+ and tau in TAU(i).
91
+
92
+ The contents of A on exit are illustrated by the following examples
93
+ with n = 5:
94
+
95
+ if UPLO = 'U': if UPLO = 'L':
96
+
97
+ ( d e v1 v2 v3 ) ( d )
98
+ ( d e v2 v3 ) ( e d )
99
+ ( d e v3 ) ( v0 e d )
100
+ ( d e ) ( v0 v1 e d )
101
+ ( d ) ( v0 v1 v2 e d )
102
+
103
+ where d and e denote diagonal and off-diagonal elements of T, and vi
104
+ denotes an element of the vector defining H(i).
105
+
106
+ -- LAPACK routine (version 3.0) --
107
+ Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
108
+ Courant Institute, Argonne National Lab, and Rice University
109
+ October 31, 1992
110
+ *************************************************************************/
111
+ void smatrixtd(ap::real_2d_array& a,
112
+ int n,
113
+ bool isupper,
114
+ ap::real_1d_array& tau,
115
+ ap::real_1d_array& d,
116
+ ap::real_1d_array& e)
117
+ {
118
+ int i;
119
+ double alpha;
120
+ double taui;
121
+ double v;
122
+ ap::real_1d_array t;
123
+ ap::real_1d_array t2;
124
+ ap::real_1d_array t3;
125
+
126
+ if( n<=0 )
127
+ {
128
+ return;
129
+ }
130
+ t.setbounds(1, n);
131
+ t2.setbounds(1, n);
132
+ t3.setbounds(1, n);
133
+ if( n>1 )
134
+ {
135
+ tau.setbounds(0, n-2);
136
+ }
137
+ d.setbounds(0, n-1);
138
+ if( n>1 )
139
+ {
140
+ e.setbounds(0, n-2);
141
+ }
142
+ if( isupper )
143
+ {
144
+
145
+ //
146
+ // Reduce the upper triangle of A
147
+ //
148
+ for(i = n-2; i >= 0; i--)
149
+ {
150
+
151
+ //
152
+ // Generate elementary reflector H() = E - tau * v * v'
153
+ //
154
+ if( i>=1 )
155
+ {
156
+ ap::vmove(t.getvector(2, i+1), a.getcolumn(i+1, 0, i-1));
157
+ }
158
+ t(1) = a(i,i+1);
159
+ generatereflection(t, i+1, taui);
160
+ if( i>=1 )
161
+ {
162
+ ap::vmove(a.getcolumn(i+1, 0, i-1), t.getvector(2, i+1));
163
+ }
164
+ a(i,i+1) = t(1);
165
+ e(i) = a(i,i+1);
166
+ if( taui!=0 )
167
+ {
168
+
169
+ //
170
+ // Apply H from both sides to A
171
+ //
172
+ a(i,i+1) = 1;
173
+
174
+ //
175
+ // Compute x := tau * A * v storing x in TAU
176
+ //
177
+ ap::vmove(t.getvector(1, i+1), a.getcolumn(i+1, 0, i));
178
+ symmetricmatrixvectormultiply(a, isupper, 0, i, t, taui, t3);
179
+ ap::vmove(&tau(0), &t3(1), ap::vlen(0,i));
180
+
181
+ //
182
+ // 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));
194
+ 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
203
+ {
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
+