1 | /*************************************************************************
|
---|
2 | Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).
|
---|
3 |
|
---|
4 | >>> SOURCE LICENSE >>>
|
---|
5 | This program is free software; you can redistribute it and/or modify
|
---|
6 | it under the terms of the GNU General Public License as published by
|
---|
7 | the Free Software Foundation (www.fsf.org); either version 2 of the
|
---|
8 | License, or (at your option) any later version.
|
---|
9 |
|
---|
10 | This program is distributed in the hope that it will be useful,
|
---|
11 | but WITHOUT ANY WARRANTY; without even the implied warranty of
|
---|
12 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
---|
13 | GNU General Public License for more details.
|
---|
14 |
|
---|
15 | A copy of the GNU General Public License is available at
|
---|
16 | http://www.fsf.org/licensing/licenses
|
---|
17 |
|
---|
18 | >>> END OF LICENSE >>>
|
---|
19 | *************************************************************************/
|
---|
20 |
|
---|
21 | using System;
|
---|
22 |
|
---|
23 | namespace alglib
|
---|
24 | {
|
---|
25 | public class spdgevd
|
---|
26 | {
|
---|
27 | /*************************************************************************
|
---|
28 | Algorithm for solving the following generalized symmetric positive-definite
|
---|
29 | eigenproblem:
|
---|
30 | A*x = lambda*B*x (1) or
|
---|
31 | A*B*x = lambda*x (2) or
|
---|
32 | B*A*x = lambda*x (3).
|
---|
33 | where A is a symmetric matrix, B - symmetric positive-definite matrix.
|
---|
34 | The problem is solved by reducing it to an ordinary symmetric eigenvalue
|
---|
35 | problem.
|
---|
36 |
|
---|
37 | Input parameters:
|
---|
38 | A - symmetric matrix which is given by its upper or lower
|
---|
39 | triangular part.
|
---|
40 | Array whose indexes range within [0..N-1, 0..N-1].
|
---|
41 | N - size of matrices A and B.
|
---|
42 | IsUpperA - storage format of matrix A.
|
---|
43 | B - symmetric positive-definite matrix which is given by
|
---|
44 | its upper or lower triangular part.
|
---|
45 | Array whose indexes range within [0..N-1, 0..N-1].
|
---|
46 | IsUpperB - storage format of matrix B.
|
---|
47 | ZNeeded - if ZNeeded is equal to:
|
---|
48 | * 0, the eigenvectors are not returned;
|
---|
49 | * 1, the eigenvectors are returned.
|
---|
50 | ProblemType - if ProblemType is equal to:
|
---|
51 | * 1, the following problem is solved: A*x = lambda*B*x;
|
---|
52 | * 2, the following problem is solved: A*B*x = lambda*x;
|
---|
53 | * 3, the following problem is solved: B*A*x = lambda*x.
|
---|
54 |
|
---|
55 | Output parameters:
|
---|
56 | D - eigenvalues in ascending order.
|
---|
57 | Array whose index ranges within [0..N-1].
|
---|
58 | Z - if ZNeeded is equal to:
|
---|
59 | * 0, Z hasnt changed;
|
---|
60 | * 1, Z contains eigenvectors.
|
---|
61 | Array whose indexes range within [0..N-1, 0..N-1].
|
---|
62 | The eigenvectors are stored in matrix columns. It should
|
---|
63 | be noted that the eigenvectors in such problems do not
|
---|
64 | form an orthogonal system.
|
---|
65 |
|
---|
66 | Result:
|
---|
67 | True, if the problem was solved successfully.
|
---|
68 | False, if the error occurred during the Cholesky decomposition of matrix
|
---|
69 | B (the matrix isnt positive-definite) or during the work of the iterative
|
---|
70 | algorithm for solving the symmetric eigenproblem.
|
---|
71 |
|
---|
72 | See also the GeneralizedSymmetricDefiniteEVDReduce subroutine.
|
---|
73 |
|
---|
74 | -- ALGLIB --
|
---|
75 | Copyright 1.28.2006 by Bochkanov Sergey
|
---|
76 | *************************************************************************/
|
---|
77 | public static bool smatrixgevd(double[,] a,
|
---|
78 | int n,
|
---|
79 | bool isuppera,
|
---|
80 | ref double[,] b,
|
---|
81 | bool isupperb,
|
---|
82 | int zneeded,
|
---|
83 | int problemtype,
|
---|
84 | ref double[] d,
|
---|
85 | ref double[,] z)
|
---|
86 | {
|
---|
87 | bool result = new bool();
|
---|
88 | double[,] r = new double[0,0];
|
---|
89 | double[,] t = new double[0,0];
|
---|
90 | bool isupperr = new bool();
|
---|
91 | int j1 = 0;
|
---|
92 | int j2 = 0;
|
---|
93 | int j1inc = 0;
|
---|
94 | int j2inc = 0;
|
---|
95 | int i = 0;
|
---|
96 | int j = 0;
|
---|
97 | double v = 0;
|
---|
98 | int i_ = 0;
|
---|
99 |
|
---|
100 | a = (double[,])a.Clone();
|
---|
101 |
|
---|
102 |
|
---|
103 | //
|
---|
104 | // Reduce and solve
|
---|
105 | //
|
---|
106 | result = smatrixgevdreduce(ref a, n, isuppera, ref b, isupperb, problemtype, ref r, ref isupperr);
|
---|
107 | if( !result )
|
---|
108 | {
|
---|
109 | return result;
|
---|
110 | }
|
---|
111 | result = sevd.smatrixevd(a, n, zneeded, isuppera, ref d, ref t);
|
---|
112 | if( !result )
|
---|
113 | {
|
---|
114 | return result;
|
---|
115 | }
|
---|
116 |
|
---|
117 | //
|
---|
118 | // Transform eigenvectors if needed
|
---|
119 | //
|
---|
120 | if( zneeded!=0 )
|
---|
121 | {
|
---|
122 |
|
---|
123 | //
|
---|
124 | // fill Z with zeros
|
---|
125 | //
|
---|
126 | z = new double[n-1+1, n-1+1];
|
---|
127 | for(j=0; j<=n-1; j++)
|
---|
128 | {
|
---|
129 | z[0,j] = 0.0;
|
---|
130 | }
|
---|
131 | for(i=1; i<=n-1; i++)
|
---|
132 | {
|
---|
133 | for(i_=0; i_<=n-1;i_++)
|
---|
134 | {
|
---|
135 | z[i,i_] = z[0,i_];
|
---|
136 | }
|
---|
137 | }
|
---|
138 |
|
---|
139 | //
|
---|
140 | // Setup R properties
|
---|
141 | //
|
---|
142 | if( isupperr )
|
---|
143 | {
|
---|
144 | j1 = 0;
|
---|
145 | j2 = n-1;
|
---|
146 | j1inc = +1;
|
---|
147 | j2inc = 0;
|
---|
148 | }
|
---|
149 | else
|
---|
150 | {
|
---|
151 | j1 = 0;
|
---|
152 | j2 = 0;
|
---|
153 | j1inc = 0;
|
---|
154 | j2inc = +1;
|
---|
155 | }
|
---|
156 |
|
---|
157 | //
|
---|
158 | // Calculate R*Z
|
---|
159 | //
|
---|
160 | for(i=0; i<=n-1; i++)
|
---|
161 | {
|
---|
162 | for(j=j1; j<=j2; j++)
|
---|
163 | {
|
---|
164 | v = r[i,j];
|
---|
165 | for(i_=0; i_<=n-1;i_++)
|
---|
166 | {
|
---|
167 | z[i,i_] = z[i,i_] + v*t[j,i_];
|
---|
168 | }
|
---|
169 | }
|
---|
170 | j1 = j1+j1inc;
|
---|
171 | j2 = j2+j2inc;
|
---|
172 | }
|
---|
173 | }
|
---|
174 | return result;
|
---|
175 | }
|
---|
176 |
|
---|
177 |
|
---|
178 | /*************************************************************************
|
---|
179 | Algorithm for reduction of the following generalized symmetric positive-
|
---|
180 | definite eigenvalue problem:
|
---|
181 | A*x = lambda*B*x (1) or
|
---|
182 | A*B*x = lambda*x (2) or
|
---|
183 | B*A*x = lambda*x (3)
|
---|
184 | to the symmetric eigenvalues problem C*y = lambda*y (eigenvalues of this and
|
---|
185 | the given problems are the same, and the eigenvectors of the given problem
|
---|
186 | could be obtained by multiplying the obtained eigenvectors by the
|
---|
187 | transformation matrix x = R*y).
|
---|
188 |
|
---|
189 | Here A is a symmetric matrix, B - symmetric positive-definite matrix.
|
---|
190 |
|
---|
191 | Input parameters:
|
---|
192 | A - symmetric matrix which is given by its upper or lower
|
---|
193 | triangular part.
|
---|
194 | Array whose indexes range within [0..N-1, 0..N-1].
|
---|
195 | N - size of matrices A and B.
|
---|
196 | IsUpperA - storage format of matrix A.
|
---|
197 | B - symmetric positive-definite matrix which is given by
|
---|
198 | its upper or lower triangular part.
|
---|
199 | Array whose indexes range within [0..N-1, 0..N-1].
|
---|
200 | IsUpperB - storage format of matrix B.
|
---|
201 | ProblemType - if ProblemType is equal to:
|
---|
202 | * 1, the following problem is solved: A*x = lambda*B*x;
|
---|
203 | * 2, the following problem is solved: A*B*x = lambda*x;
|
---|
204 | * 3, the following problem is solved: B*A*x = lambda*x.
|
---|
205 |
|
---|
206 | Output parameters:
|
---|
207 | A - symmetric matrix which is given by its upper or lower
|
---|
208 | triangle depending on IsUpperA. Contains matrix C.
|
---|
209 | Array whose indexes range within [0..N-1, 0..N-1].
|
---|
210 | R - upper triangular or low triangular transformation matrix
|
---|
211 | which is used to obtain the eigenvectors of a given problem
|
---|
212 | as the product of eigenvectors of C (from the right) and
|
---|
213 | matrix R (from the left). If the matrix is upper
|
---|
214 | triangular, the elements below the main diagonal
|
---|
215 | are equal to 0 (and vice versa). Thus, we can perform
|
---|
216 | the multiplication without taking into account the
|
---|
217 | internal structure (which is an easier though less
|
---|
218 | effective way).
|
---|
219 | Array whose indexes range within [0..N-1, 0..N-1].
|
---|
220 | IsUpperR - type of matrix R (upper or lower triangular).
|
---|
221 |
|
---|
222 | Result:
|
---|
223 | True, if the problem was reduced successfully.
|
---|
224 | False, if the error occurred during the Cholesky decomposition of
|
---|
225 | matrix B (the matrix is not positive-definite).
|
---|
226 |
|
---|
227 | -- ALGLIB --
|
---|
228 | Copyright 1.28.2006 by Bochkanov Sergey
|
---|
229 | *************************************************************************/
|
---|
230 | public static bool smatrixgevdreduce(ref double[,] a,
|
---|
231 | int n,
|
---|
232 | bool isuppera,
|
---|
233 | ref double[,] b,
|
---|
234 | bool isupperb,
|
---|
235 | int problemtype,
|
---|
236 | ref double[,] r,
|
---|
237 | ref bool isupperr)
|
---|
238 | {
|
---|
239 | bool result = new bool();
|
---|
240 | double[,] t = new double[0,0];
|
---|
241 | double[] w1 = new double[0];
|
---|
242 | double[] w2 = new double[0];
|
---|
243 | double[] w3 = new double[0];
|
---|
244 | int i = 0;
|
---|
245 | int j = 0;
|
---|
246 | double v = 0;
|
---|
247 | int i_ = 0;
|
---|
248 | int i1_ = 0;
|
---|
249 |
|
---|
250 | System.Diagnostics.Debug.Assert(n>0, "SMatrixGEVDReduce: N<=0!");
|
---|
251 | System.Diagnostics.Debug.Assert(problemtype==1 | problemtype==2 | problemtype==3, "SMatrixGEVDReduce: incorrect ProblemType!");
|
---|
252 | result = true;
|
---|
253 |
|
---|
254 | //
|
---|
255 | // Problem 1: A*x = lambda*B*x
|
---|
256 | //
|
---|
257 | // Reducing to:
|
---|
258 | // C*y = lambda*y
|
---|
259 | // C = L^(-1) * A * L^(-T)
|
---|
260 | // x = L^(-T) * y
|
---|
261 | //
|
---|
262 | if( problemtype==1 )
|
---|
263 | {
|
---|
264 |
|
---|
265 | //
|
---|
266 | // Factorize B in T: B = LL'
|
---|
267 | //
|
---|
268 | t = new double[n-1+1, n-1+1];
|
---|
269 | if( isupperb )
|
---|
270 | {
|
---|
271 | for(i=0; i<=n-1; i++)
|
---|
272 | {
|
---|
273 | for(i_=i; i_<=n-1;i_++)
|
---|
274 | {
|
---|
275 | t[i_,i] = b[i,i_];
|
---|
276 | }
|
---|
277 | }
|
---|
278 | }
|
---|
279 | else
|
---|
280 | {
|
---|
281 | for(i=0; i<=n-1; i++)
|
---|
282 | {
|
---|
283 | for(i_=0; i_<=i;i_++)
|
---|
284 | {
|
---|
285 | t[i,i_] = b[i,i_];
|
---|
286 | }
|
---|
287 | }
|
---|
288 | }
|
---|
289 | if( !cholesky.spdmatrixcholesky(ref t, n, false) )
|
---|
290 | {
|
---|
291 | result = false;
|
---|
292 | return result;
|
---|
293 | }
|
---|
294 |
|
---|
295 | //
|
---|
296 | // Invert L in T
|
---|
297 | //
|
---|
298 | if( !trinverse.rmatrixtrinverse(ref t, n, false, false) )
|
---|
299 | {
|
---|
300 | result = false;
|
---|
301 | return result;
|
---|
302 | }
|
---|
303 |
|
---|
304 | //
|
---|
305 | // Build L^(-1) * A * L^(-T) in R
|
---|
306 | //
|
---|
307 | w1 = new double[n+1];
|
---|
308 | w2 = new double[n+1];
|
---|
309 | r = new double[n-1+1, n-1+1];
|
---|
310 | for(j=1; j<=n; j++)
|
---|
311 | {
|
---|
312 |
|
---|
313 | //
|
---|
314 | // Form w2 = A * l'(j) (here l'(j) is j-th column of L^(-T))
|
---|
315 | //
|
---|
316 | i1_ = (0) - (1);
|
---|
317 | for(i_=1; i_<=j;i_++)
|
---|
318 | {
|
---|
319 | w1[i_] = t[j-1,i_+i1_];
|
---|
320 | }
|
---|
321 | sblas.symmetricmatrixvectormultiply(ref a, isuppera, 0, j-1, ref w1, 1.0, ref w2);
|
---|
322 | if( isuppera )
|
---|
323 | {
|
---|
324 | blas.matrixvectormultiply(ref a, 0, j-1, j, n-1, true, ref w1, 1, j, 1.0, ref w2, j+1, n, 0.0);
|
---|
325 | }
|
---|
326 | else
|
---|
327 | {
|
---|
328 | blas.matrixvectormultiply(ref a, j, n-1, 0, j-1, false, ref w1, 1, j, 1.0, ref w2, j+1, n, 0.0);
|
---|
329 | }
|
---|
330 |
|
---|
331 | //
|
---|
332 | // Form l(i)*w2 (here l(i) is i-th row of L^(-1))
|
---|
333 | //
|
---|
334 | for(i=1; i<=n; i++)
|
---|
335 | {
|
---|
336 | i1_ = (1)-(0);
|
---|
337 | v = 0.0;
|
---|
338 | for(i_=0; i_<=i-1;i_++)
|
---|
339 | {
|
---|
340 | v += t[i-1,i_]*w2[i_+i1_];
|
---|
341 | }
|
---|
342 | r[i-1,j-1] = v;
|
---|
343 | }
|
---|
344 | }
|
---|
345 |
|
---|
346 | //
|
---|
347 | // Copy R to A
|
---|
348 | //
|
---|
349 | for(i=0; i<=n-1; i++)
|
---|
350 | {
|
---|
351 | for(i_=0; i_<=n-1;i_++)
|
---|
352 | {
|
---|
353 | a[i,i_] = r[i,i_];
|
---|
354 | }
|
---|
355 | }
|
---|
356 |
|
---|
357 | //
|
---|
358 | // Copy L^(-1) from T to R and transpose
|
---|
359 | //
|
---|
360 | isupperr = true;
|
---|
361 | for(i=0; i<=n-1; i++)
|
---|
362 | {
|
---|
363 | for(j=0; j<=i-1; j++)
|
---|
364 | {
|
---|
365 | r[i,j] = 0;
|
---|
366 | }
|
---|
367 | }
|
---|
368 | for(i=0; i<=n-1; i++)
|
---|
369 | {
|
---|
370 | for(i_=i; i_<=n-1;i_++)
|
---|
371 | {
|
---|
372 | r[i,i_] = t[i_,i];
|
---|
373 | }
|
---|
374 | }
|
---|
375 | return result;
|
---|
376 | }
|
---|
377 |
|
---|
378 | //
|
---|
379 | // Problem 2: A*B*x = lambda*x
|
---|
380 | // or
|
---|
381 | // problem 3: B*A*x = lambda*x
|
---|
382 | //
|
---|
383 | // Reducing to:
|
---|
384 | // C*y = lambda*y
|
---|
385 | // C = U * A * U'
|
---|
386 | // B = U'* U
|
---|
387 | //
|
---|
388 | if( problemtype==2 | problemtype==3 )
|
---|
389 | {
|
---|
390 |
|
---|
391 | //
|
---|
392 | // Factorize B in T: B = U'*U
|
---|
393 | //
|
---|
394 | t = new double[n-1+1, n-1+1];
|
---|
395 | if( isupperb )
|
---|
396 | {
|
---|
397 | for(i=0; i<=n-1; i++)
|
---|
398 | {
|
---|
399 | for(i_=i; i_<=n-1;i_++)
|
---|
400 | {
|
---|
401 | t[i,i_] = b[i,i_];
|
---|
402 | }
|
---|
403 | }
|
---|
404 | }
|
---|
405 | else
|
---|
406 | {
|
---|
407 | for(i=0; i<=n-1; i++)
|
---|
408 | {
|
---|
409 | for(i_=i; i_<=n-1;i_++)
|
---|
410 | {
|
---|
411 | t[i,i_] = b[i_,i];
|
---|
412 | }
|
---|
413 | }
|
---|
414 | }
|
---|
415 | if( !cholesky.spdmatrixcholesky(ref t, n, true) )
|
---|
416 | {
|
---|
417 | result = false;
|
---|
418 | return result;
|
---|
419 | }
|
---|
420 |
|
---|
421 | //
|
---|
422 | // Build U * A * U' in R
|
---|
423 | //
|
---|
424 | w1 = new double[n+1];
|
---|
425 | w2 = new double[n+1];
|
---|
426 | w3 = new double[n+1];
|
---|
427 | r = new double[n-1+1, n-1+1];
|
---|
428 | for(j=1; j<=n; j++)
|
---|
429 | {
|
---|
430 |
|
---|
431 | //
|
---|
432 | // Form w2 = A * u'(j) (here u'(j) is j-th column of U')
|
---|
433 | //
|
---|
434 | i1_ = (j-1) - (1);
|
---|
435 | for(i_=1; i_<=n-j+1;i_++)
|
---|
436 | {
|
---|
437 | w1[i_] = t[j-1,i_+i1_];
|
---|
438 | }
|
---|
439 | sblas.symmetricmatrixvectormultiply(ref a, isuppera, j-1, n-1, ref w1, 1.0, ref w3);
|
---|
440 | i1_ = (1) - (j);
|
---|
441 | for(i_=j; i_<=n;i_++)
|
---|
442 | {
|
---|
443 | w2[i_] = w3[i_+i1_];
|
---|
444 | }
|
---|
445 | i1_ = (j-1) - (j);
|
---|
446 | for(i_=j; i_<=n;i_++)
|
---|
447 | {
|
---|
448 | w1[i_] = t[j-1,i_+i1_];
|
---|
449 | }
|
---|
450 | if( isuppera )
|
---|
451 | {
|
---|
452 | blas.matrixvectormultiply(ref a, 0, j-2, j-1, n-1, false, ref w1, j, n, 1.0, ref w2, 1, j-1, 0.0);
|
---|
453 | }
|
---|
454 | else
|
---|
455 | {
|
---|
456 | blas.matrixvectormultiply(ref a, j-1, n-1, 0, j-2, true, ref w1, j, n, 1.0, ref w2, 1, j-1, 0.0);
|
---|
457 | }
|
---|
458 |
|
---|
459 | //
|
---|
460 | // Form u(i)*w2 (here u(i) is i-th row of U)
|
---|
461 | //
|
---|
462 | for(i=1; i<=n; i++)
|
---|
463 | {
|
---|
464 | i1_ = (i)-(i-1);
|
---|
465 | v = 0.0;
|
---|
466 | for(i_=i-1; i_<=n-1;i_++)
|
---|
467 | {
|
---|
468 | v += t[i-1,i_]*w2[i_+i1_];
|
---|
469 | }
|
---|
470 | r[i-1,j-1] = v;
|
---|
471 | }
|
---|
472 | }
|
---|
473 |
|
---|
474 | //
|
---|
475 | // Copy R to A
|
---|
476 | //
|
---|
477 | for(i=0; i<=n-1; i++)
|
---|
478 | {
|
---|
479 | for(i_=0; i_<=n-1;i_++)
|
---|
480 | {
|
---|
481 | a[i,i_] = r[i,i_];
|
---|
482 | }
|
---|
483 | }
|
---|
484 | if( problemtype==2 )
|
---|
485 | {
|
---|
486 |
|
---|
487 | //
|
---|
488 | // Invert U in T
|
---|
489 | //
|
---|
490 | if( !trinverse.rmatrixtrinverse(ref t, n, true, false) )
|
---|
491 | {
|
---|
492 | result = false;
|
---|
493 | return result;
|
---|
494 | }
|
---|
495 |
|
---|
496 | //
|
---|
497 | // Copy U^-1 from T to R
|
---|
498 | //
|
---|
499 | isupperr = true;
|
---|
500 | for(i=0; i<=n-1; i++)
|
---|
501 | {
|
---|
502 | for(j=0; j<=i-1; j++)
|
---|
503 | {
|
---|
504 | r[i,j] = 0;
|
---|
505 | }
|
---|
506 | }
|
---|
507 | for(i=0; i<=n-1; i++)
|
---|
508 | {
|
---|
509 | for(i_=i; i_<=n-1;i_++)
|
---|
510 | {
|
---|
511 | r[i,i_] = t[i,i_];
|
---|
512 | }
|
---|
513 | }
|
---|
514 | }
|
---|
515 | else
|
---|
516 | {
|
---|
517 |
|
---|
518 | //
|
---|
519 | // Copy U from T to R and transpose
|
---|
520 | //
|
---|
521 | isupperr = false;
|
---|
522 | for(i=0; i<=n-1; i++)
|
---|
523 | {
|
---|
524 | for(j=i+1; j<=n-1; j++)
|
---|
525 | {
|
---|
526 | r[i,j] = 0;
|
---|
527 | }
|
---|
528 | }
|
---|
529 | for(i=0; i<=n-1; i++)
|
---|
530 | {
|
---|
531 | for(i_=i; i_<=n-1;i_++)
|
---|
532 | {
|
---|
533 | r[i_,i] = t[i,i_];
|
---|
534 | }
|
---|
535 | }
|
---|
536 | }
|
---|
537 | }
|
---|
538 | return result;
|
---|
539 | }
|
---|
540 |
|
---|
541 |
|
---|
542 | public static bool generalizedsymmetricdefiniteevd(double[,] a,
|
---|
543 | int n,
|
---|
544 | bool isuppera,
|
---|
545 | ref double[,] b,
|
---|
546 | bool isupperb,
|
---|
547 | int zneeded,
|
---|
548 | int problemtype,
|
---|
549 | ref double[] d,
|
---|
550 | ref double[,] z)
|
---|
551 | {
|
---|
552 | bool result = new bool();
|
---|
553 | double[,] r = new double[0,0];
|
---|
554 | double[,] t = new double[0,0];
|
---|
555 | bool isupperr = new bool();
|
---|
556 | int j1 = 0;
|
---|
557 | int j2 = 0;
|
---|
558 | int j1inc = 0;
|
---|
559 | int j2inc = 0;
|
---|
560 | int i = 0;
|
---|
561 | int j = 0;
|
---|
562 | double v = 0;
|
---|
563 | int i_ = 0;
|
---|
564 |
|
---|
565 | a = (double[,])a.Clone();
|
---|
566 |
|
---|
567 |
|
---|
568 | //
|
---|
569 | // Reduce and solve
|
---|
570 | //
|
---|
571 | result = generalizedsymmetricdefiniteevdreduce(ref a, n, isuppera, ref b, isupperb, problemtype, ref r, ref isupperr);
|
---|
572 | if( !result )
|
---|
573 | {
|
---|
574 | return result;
|
---|
575 | }
|
---|
576 | result = sevd.symmetricevd(a, n, zneeded, isuppera, ref d, ref t);
|
---|
577 | if( !result )
|
---|
578 | {
|
---|
579 | return result;
|
---|
580 | }
|
---|
581 |
|
---|
582 | //
|
---|
583 | // Transform eigenvectors if needed
|
---|
584 | //
|
---|
585 | if( zneeded!=0 )
|
---|
586 | {
|
---|
587 |
|
---|
588 | //
|
---|
589 | // fill Z with zeros
|
---|
590 | //
|
---|
591 | z = new double[n+1, n+1];
|
---|
592 | for(j=1; j<=n; j++)
|
---|
593 | {
|
---|
594 | z[1,j] = 0.0;
|
---|
595 | }
|
---|
596 | for(i=2; i<=n; i++)
|
---|
597 | {
|
---|
598 | for(i_=1; i_<=n;i_++)
|
---|
599 | {
|
---|
600 | z[i,i_] = z[1,i_];
|
---|
601 | }
|
---|
602 | }
|
---|
603 |
|
---|
604 | //
|
---|
605 | // Setup R properties
|
---|
606 | //
|
---|
607 | if( isupperr )
|
---|
608 | {
|
---|
609 | j1 = 1;
|
---|
610 | j2 = n;
|
---|
611 | j1inc = +1;
|
---|
612 | j2inc = 0;
|
---|
613 | }
|
---|
614 | else
|
---|
615 | {
|
---|
616 | j1 = 1;
|
---|
617 | j2 = 1;
|
---|
618 | j1inc = 0;
|
---|
619 | j2inc = +1;
|
---|
620 | }
|
---|
621 |
|
---|
622 | //
|
---|
623 | // Calculate R*Z
|
---|
624 | //
|
---|
625 | for(i=1; i<=n; i++)
|
---|
626 | {
|
---|
627 | for(j=j1; j<=j2; j++)
|
---|
628 | {
|
---|
629 | v = r[i,j];
|
---|
630 | for(i_=1; i_<=n;i_++)
|
---|
631 | {
|
---|
632 | z[i,i_] = z[i,i_] + v*t[j,i_];
|
---|
633 | }
|
---|
634 | }
|
---|
635 | j1 = j1+j1inc;
|
---|
636 | j2 = j2+j2inc;
|
---|
637 | }
|
---|
638 | }
|
---|
639 | return result;
|
---|
640 | }
|
---|
641 |
|
---|
642 |
|
---|
643 | public static bool generalizedsymmetricdefiniteevdreduce(ref double[,] a,
|
---|
644 | int n,
|
---|
645 | bool isuppera,
|
---|
646 | ref double[,] b,
|
---|
647 | bool isupperb,
|
---|
648 | int problemtype,
|
---|
649 | ref double[,] r,
|
---|
650 | ref bool isupperr)
|
---|
651 | {
|
---|
652 | bool result = new bool();
|
---|
653 | double[,] t = new double[0,0];
|
---|
654 | double[] w1 = new double[0];
|
---|
655 | double[] w2 = new double[0];
|
---|
656 | double[] w3 = new double[0];
|
---|
657 | int i = 0;
|
---|
658 | int j = 0;
|
---|
659 | double v = 0;
|
---|
660 | int i_ = 0;
|
---|
661 | int i1_ = 0;
|
---|
662 |
|
---|
663 | System.Diagnostics.Debug.Assert(n>0, "GeneralizedSymmetricDefiniteEVDReduce: N<=0!");
|
---|
664 | System.Diagnostics.Debug.Assert(problemtype==1 | problemtype==2 | problemtype==3, "GeneralizedSymmetricDefiniteEVDReduce: incorrect ProblemType!");
|
---|
665 | result = true;
|
---|
666 |
|
---|
667 | //
|
---|
668 | // Problem 1: A*x = lambda*B*x
|
---|
669 | //
|
---|
670 | // Reducing to:
|
---|
671 | // C*y = lambda*y
|
---|
672 | // C = L^(-1) * A * L^(-T)
|
---|
673 | // x = L^(-T) * y
|
---|
674 | //
|
---|
675 | if( problemtype==1 )
|
---|
676 | {
|
---|
677 |
|
---|
678 | //
|
---|
679 | // Factorize B in T: B = LL'
|
---|
680 | //
|
---|
681 | t = new double[n+1, n+1];
|
---|
682 | if( isupperb )
|
---|
683 | {
|
---|
684 | for(i=1; i<=n; i++)
|
---|
685 | {
|
---|
686 | for(i_=i; i_<=n;i_++)
|
---|
687 | {
|
---|
688 | t[i_,i] = b[i,i_];
|
---|
689 | }
|
---|
690 | }
|
---|
691 | }
|
---|
692 | else
|
---|
693 | {
|
---|
694 | for(i=1; i<=n; i++)
|
---|
695 | {
|
---|
696 | for(i_=1; i_<=i;i_++)
|
---|
697 | {
|
---|
698 | t[i,i_] = b[i,i_];
|
---|
699 | }
|
---|
700 | }
|
---|
701 | }
|
---|
702 | if( !cholesky.choleskydecomposition(ref t, n, false) )
|
---|
703 | {
|
---|
704 | result = false;
|
---|
705 | return result;
|
---|
706 | }
|
---|
707 |
|
---|
708 | //
|
---|
709 | // Invert L in T
|
---|
710 | //
|
---|
711 | if( !trinverse.invtriangular(ref t, n, false, false) )
|
---|
712 | {
|
---|
713 | result = false;
|
---|
714 | return result;
|
---|
715 | }
|
---|
716 |
|
---|
717 | //
|
---|
718 | // Build L^(-1) * A * L^(-T) in R
|
---|
719 | //
|
---|
720 | w1 = new double[n+1];
|
---|
721 | w2 = new double[n+1];
|
---|
722 | r = new double[n+1, n+1];
|
---|
723 | for(j=1; j<=n; j++)
|
---|
724 | {
|
---|
725 |
|
---|
726 | //
|
---|
727 | // Form w2 = A * l'(j) (here l'(j) is j-th column of L^(-T))
|
---|
728 | //
|
---|
729 | for(i_=1; i_<=j;i_++)
|
---|
730 | {
|
---|
731 | w1[i_] = t[j,i_];
|
---|
732 | }
|
---|
733 | sblas.symmetricmatrixvectormultiply(ref a, isuppera, 1, j, ref w1, 1.0, ref w2);
|
---|
734 | if( isuppera )
|
---|
735 | {
|
---|
736 | blas.matrixvectormultiply(ref a, 1, j, j+1, n, true, ref w1, 1, j, 1.0, ref w2, j+1, n, 0.0);
|
---|
737 | }
|
---|
738 | else
|
---|
739 | {
|
---|
740 | blas.matrixvectormultiply(ref a, j+1, n, 1, j, false, ref w1, 1, j, 1.0, ref w2, j+1, n, 0.0);
|
---|
741 | }
|
---|
742 |
|
---|
743 | //
|
---|
744 | // Form l(i)*w2 (here l(i) is i-th row of L^(-1))
|
---|
745 | //
|
---|
746 | for(i=1; i<=n; i++)
|
---|
747 | {
|
---|
748 | v = 0.0;
|
---|
749 | for(i_=1; i_<=i;i_++)
|
---|
750 | {
|
---|
751 | v += t[i,i_]*w2[i_];
|
---|
752 | }
|
---|
753 | r[i,j] = v;
|
---|
754 | }
|
---|
755 | }
|
---|
756 |
|
---|
757 | //
|
---|
758 | // Copy R to A
|
---|
759 | //
|
---|
760 | for(i=1; i<=n; i++)
|
---|
761 | {
|
---|
762 | for(i_=1; i_<=n;i_++)
|
---|
763 | {
|
---|
764 | a[i,i_] = r[i,i_];
|
---|
765 | }
|
---|
766 | }
|
---|
767 |
|
---|
768 | //
|
---|
769 | // Copy L^(-1) from T to R and transpose
|
---|
770 | //
|
---|
771 | isupperr = true;
|
---|
772 | for(i=1; i<=n; i++)
|
---|
773 | {
|
---|
774 | for(j=1; j<=i-1; j++)
|
---|
775 | {
|
---|
776 | r[i,j] = 0;
|
---|
777 | }
|
---|
778 | }
|
---|
779 | for(i=1; i<=n; i++)
|
---|
780 | {
|
---|
781 | for(i_=i; i_<=n;i_++)
|
---|
782 | {
|
---|
783 | r[i,i_] = t[i_,i];
|
---|
784 | }
|
---|
785 | }
|
---|
786 | return result;
|
---|
787 | }
|
---|
788 |
|
---|
789 | //
|
---|
790 | // Problem 2: A*B*x = lambda*x
|
---|
791 | // or
|
---|
792 | // problem 3: B*A*x = lambda*x
|
---|
793 | //
|
---|
794 | // Reducing to:
|
---|
795 | // C*y = lambda*y
|
---|
796 | // C = U * A * U'
|
---|
797 | // B = U'* U
|
---|
798 | //
|
---|
799 | if( problemtype==2 | problemtype==3 )
|
---|
800 | {
|
---|
801 |
|
---|
802 | //
|
---|
803 | // Factorize B in T: B = U'*U
|
---|
804 | //
|
---|
805 | t = new double[n+1, n+1];
|
---|
806 | if( isupperb )
|
---|
807 | {
|
---|
808 | for(i=1; i<=n; i++)
|
---|
809 | {
|
---|
810 | for(i_=i; i_<=n;i_++)
|
---|
811 | {
|
---|
812 | t[i,i_] = b[i,i_];
|
---|
813 | }
|
---|
814 | }
|
---|
815 | }
|
---|
816 | else
|
---|
817 | {
|
---|
818 | for(i=1; i<=n; i++)
|
---|
819 | {
|
---|
820 | for(i_=i; i_<=n;i_++)
|
---|
821 | {
|
---|
822 | t[i,i_] = b[i_,i];
|
---|
823 | }
|
---|
824 | }
|
---|
825 | }
|
---|
826 | if( !cholesky.choleskydecomposition(ref t, n, true) )
|
---|
827 | {
|
---|
828 | result = false;
|
---|
829 | return result;
|
---|
830 | }
|
---|
831 |
|
---|
832 | //
|
---|
833 | // Build U * A * U' in R
|
---|
834 | //
|
---|
835 | w1 = new double[n+1];
|
---|
836 | w2 = new double[n+1];
|
---|
837 | w3 = new double[n+1];
|
---|
838 | r = new double[n+1, n+1];
|
---|
839 | for(j=1; j<=n; j++)
|
---|
840 | {
|
---|
841 |
|
---|
842 | //
|
---|
843 | // Form w2 = A * u'(j) (here u'(j) is j-th column of U')
|
---|
844 | //
|
---|
845 | i1_ = (j) - (1);
|
---|
846 | for(i_=1; i_<=n-j+1;i_++)
|
---|
847 | {
|
---|
848 | w1[i_] = t[j,i_+i1_];
|
---|
849 | }
|
---|
850 | sblas.symmetricmatrixvectormultiply(ref a, isuppera, j, n, ref w1, 1.0, ref w3);
|
---|
851 | i1_ = (1) - (j);
|
---|
852 | for(i_=j; i_<=n;i_++)
|
---|
853 | {
|
---|
854 | w2[i_] = w3[i_+i1_];
|
---|
855 | }
|
---|
856 | for(i_=j; i_<=n;i_++)
|
---|
857 | {
|
---|
858 | w1[i_] = t[j,i_];
|
---|
859 | }
|
---|
860 | if( isuppera )
|
---|
861 | {
|
---|
862 | blas.matrixvectormultiply(ref a, 1, j-1, j, n, false, ref w1, j, n, 1.0, ref w2, 1, j-1, 0.0);
|
---|
863 | }
|
---|
864 | else
|
---|
865 | {
|
---|
866 | blas.matrixvectormultiply(ref a, j, n, 1, j-1, true, ref w1, j, n, 1.0, ref w2, 1, j-1, 0.0);
|
---|
867 | }
|
---|
868 |
|
---|
869 | //
|
---|
870 | // Form u(i)*w2 (here u(i) is i-th row of U)
|
---|
871 | //
|
---|
872 | for(i=1; i<=n; i++)
|
---|
873 | {
|
---|
874 | v = 0.0;
|
---|
875 | for(i_=i; i_<=n;i_++)
|
---|
876 | {
|
---|
877 | v += t[i,i_]*w2[i_];
|
---|
878 | }
|
---|
879 | r[i,j] = v;
|
---|
880 | }
|
---|
881 | }
|
---|
882 |
|
---|
883 | //
|
---|
884 | // Copy R to A
|
---|
885 | //
|
---|
886 | for(i=1; i<=n; i++)
|
---|
887 | {
|
---|
888 | for(i_=1; i_<=n;i_++)
|
---|
889 | {
|
---|
890 | a[i,i_] = r[i,i_];
|
---|
891 | }
|
---|
892 | }
|
---|
893 | if( problemtype==2 )
|
---|
894 | {
|
---|
895 |
|
---|
896 | //
|
---|
897 | // Invert U in T
|
---|
898 | //
|
---|
899 | if( !trinverse.invtriangular(ref t, n, true, false) )
|
---|
900 | {
|
---|
901 | result = false;
|
---|
902 | return result;
|
---|
903 | }
|
---|
904 |
|
---|
905 | //
|
---|
906 | // Copy U^-1 from T to R
|
---|
907 | //
|
---|
908 | isupperr = true;
|
---|
909 | for(i=1; i<=n; i++)
|
---|
910 | {
|
---|
911 | for(j=1; j<=i-1; j++)
|
---|
912 | {
|
---|
913 | r[i,j] = 0;
|
---|
914 | }
|
---|
915 | }
|
---|
916 | for(i=1; i<=n; i++)
|
---|
917 | {
|
---|
918 | for(i_=i; i_<=n;i_++)
|
---|
919 | {
|
---|
920 | r[i,i_] = t[i,i_];
|
---|
921 | }
|
---|
922 | }
|
---|
923 | }
|
---|
924 | else
|
---|
925 | {
|
---|
926 |
|
---|
927 | //
|
---|
928 | // Copy U from T to R and transpose
|
---|
929 | //
|
---|
930 | isupperr = false;
|
---|
931 | for(i=1; i<=n; i++)
|
---|
932 | {
|
---|
933 | for(j=i+1; j<=n; j++)
|
---|
934 | {
|
---|
935 | r[i,j] = 0;
|
---|
936 | }
|
---|
937 | }
|
---|
938 | for(i=1; i<=n; i++)
|
---|
939 | {
|
---|
940 | for(i_=i; i_<=n;i_++)
|
---|
941 | {
|
---|
942 | r[i_,i] = t[i,i_];
|
---|
943 | }
|
---|
944 | }
|
---|
945 | }
|
---|
946 | }
|
---|
947 | return result;
|
---|
948 | }
|
---|
949 | }
|
---|
950 | }
|
---|