source: trunk/sources/HeuristicLab.LinearRegression/3.2/alglib/lq.cs @ 2154

/*************************************************************************
Copyright (c) 2005-2007, Sergey Bochkanov (ALGLIB project).

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- Redistributions in binary form must reproduce the above copyright
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  in this license in the documentation and/or other materials
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  contributors may be used to endorse or promote products derived from
  this software without specific prior written permission.

THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
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*************************************************************************/

using System;

class lq
{
    /*************************************************************************
    LQ decomposition of a rectangular matrix of size MxN

    Input parameters:
        A   -   matrix A whose indexes range within [0..M-1, 0..N-1].
        M   -   number of rows in matrix A.
        N   -   number of columns in matrix A.

    Output parameters:
        A   -   matrices L and Q in compact form (see below)
        Tau -   array of scalar factors which are used to form
                matrix Q. Array whose index ranges within [0..Min(M,N)-1].

    Matrix A is represented as A = LQ, where Q is an orthogonal matrix of size
    MxM, L - lower triangular (or lower trapezoid) matrix of size M x N.

    The elements of matrix L are located on and below  the  main  diagonal  of
    matrix A. The elements which are located in Tau array and above  the  main
    diagonal of matrix A are used to form matrix Q as follows:

    Matrix Q is represented as a product of elementary reflections

    Q = H(k-1)*H(k-2)*...*H(1)*H(0),

    where k = min(m,n), and each H(i) is of the form

    H(i) = 1 - tau * v * (v^T)

    where tau is a scalar stored in Tau[I]; v - real vector, so that v(0:i-1)=0,
    v(i) = 1, v(i+1:n-1) stored in A(i,i+1:n-1).

      -- ALGLIB --
         Copyright 2005-2007 by Bochkanov Sergey
    *************************************************************************/
    public static void rmatrixlq(ref double[,] a,
        int m,
        int n,
        ref double[] tau)
    {
        double[] work = new double[0];
        double[] t = new double[0];
        int i = 0;
        int k = 0;
        int minmn = 0;
        int maxmn = 0;
        double tmp = 0;
        int i_ = 0;
        int i1_ = 0;

        minmn = Math.Min(m, n);
        maxmn = Math.Max(m, n);
        work = new double[m+1];
        t = new double[n+1];
        tau = new double[minmn-1+1];
        k = Math.Min(m, n);
        for(i=0; i<=k-1; i++)
        {
            
            //
            // Generate elementary reflector H(i) to annihilate A(i,i+1:n-1)
            //
            i1_ = (i) - (1);
            for(i_=1; i_<=n-i;i_++)
            {
                t[i_] = a[i,i_+i1_];
            }
            reflections.generatereflection(ref t, n-i, ref tmp);
            tau[i] = tmp;
            i1_ = (1) - (i);
            for(i_=i; i_<=n-1;i_++)
            {
                a[i,i_] = t[i_+i1_];
            }
            t[1] = 1;
            if( i<n )
            {
                
                //
                // Apply H(i) to A(i+1:m,i:n) from the right
                //
                reflections.applyreflectionfromtheright(ref a, tau[i], ref t, i+1, m-1, i, n-1, ref work);
            }
        }
    }


    /*************************************************************************
    Partial unpacking of matrix Q from the LQ decomposition of a matrix A

    Input parameters:
        A       -   matrices L and Q in compact form.
                    Output of RMatrixLQ subroutine.
        M       -   number of rows in given matrix A. M>=0.
        N       -   number of columns in given matrix A. N>=0.
        Tau     -   scalar factors which are used to form Q.
                    Output of the RMatrixLQ subroutine.
        QRows   -   required number of rows in matrix Q. N>=QRows>=0.

    Output parameters:
        Q       -   first QRows rows of matrix Q. Array whose indexes range
                    within [0..QRows-1, 0..N-1]. If QRows=0, the array remains
                    unchanged.

      -- ALGLIB --
         Copyright 2005 by Bochkanov Sergey
    *************************************************************************/
    public static void rmatrixlqunpackq(ref double[,] a,
        int m,
        int n,
        ref double[] tau,
        int qrows,
        ref double[,] q)
    {
        int i = 0;
        int j = 0;
        int k = 0;
        int minmn = 0;
        double[] v = new double[0];
        double[] work = new double[0];
        int i_ = 0;
        int i1_ = 0;

        System.Diagnostics.Debug.Assert(qrows<=n, "RMatrixLQUnpackQ: QRows>N!");
        if( m<=0 | n<=0 | qrows<=0 )
        {
            return;
        }
        
        //
        // init
        //
        minmn = Math.Min(m, n);
        k = Math.Min(minmn, qrows);
        q = new double[qrows-1+1, n-1+1];
        v = new double[n+1];
        work = new double[qrows+1];
        for(i=0; i<=qrows-1; i++)
        {
            for(j=0; j<=n-1; j++)
            {
                if( i==j )
                {
                    q[i,j] = 1;
                }
                else
                {
                    q[i,j] = 0;
                }
            }
        }
        
        //
        // unpack Q
        //
        for(i=k-1; i>=0; i--)
        {
            
            //
            // Apply H(i)
            //
            i1_ = (i) - (1);
            for(i_=1; i_<=n-i;i_++)
            {
                v[i_] = a[i,i_+i1_];
            }
            v[1] = 1;
            reflections.applyreflectionfromtheright(ref q, tau[i], ref v, 0, qrows-1, i, n-1, ref work);
        }
    }


    /*************************************************************************
    Unpacking of matrix L from the LQ decomposition of a matrix A

    Input parameters:
        A       -   matrices Q and L in compact form.
                    Output of RMatrixLQ subroutine.
        M       -   number of rows in given matrix A. M>=0.
        N       -   number of columns in given matrix A. N>=0.

    Output parameters:
        L       -   matrix L, array[0..M-1, 0..N-1].

      -- ALGLIB --
         Copyright 2005 by Bochkanov Sergey
    *************************************************************************/
    public static void rmatrixlqunpackl(ref double[,] a,
        int m,
        int n,
        ref double[,] l)
    {
        int i = 0;
        int k = 0;
        int i_ = 0;

        if( m<=0 | n<=0 )
        {
            return;
        }
        l = new double[m-1+1, n-1+1];
        for(i=0; i<=n-1; i++)
        {
            l[0,i] = 0;
        }
        for(i=1; i<=m-1; i++)
        {
            for(i_=0; i_<=n-1;i_++)
            {
                l[i,i_] = l[0,i_];
            }
        }
        for(i=0; i<=m-1; i++)
        {
            k = Math.Min(i, n-1);
            for(i_=0; i_<=k;i_++)
            {
                l[i,i_] = a[i,i_];
            }
        }
    }


    /*************************************************************************
    Obsolete 1-based subroutine
    See RMatrixLQ for 0-based replacement.
    *************************************************************************/
    public static void lqdecomposition(ref double[,] a,
        int m,
        int n,
        ref double[] tau)
    {
        double[] work = new double[0];
        double[] t = new double[0];
        int i = 0;
        int k = 0;
        int nmip1 = 0;
        int minmn = 0;
        int maxmn = 0;
        double tmp = 0;
        int i_ = 0;
        int i1_ = 0;

        minmn = Math.Min(m, n);
        maxmn = Math.Max(m, n);
        work = new double[m+1];
        t = new double[n+1];
        tau = new double[minmn+1];
        
        //
        // Test the input arguments
        //
        k = Math.Min(m, n);
        for(i=1; i<=k; i++)
        {
            
            //
            // Generate elementary reflector H(i) to annihilate A(i,i+1:n)
            //
            nmip1 = n-i+1;
            i1_ = (i) - (1);
            for(i_=1; i_<=nmip1;i_++)
            {
                t[i_] = a[i,i_+i1_];
            }
            reflections.generatereflection(ref t, nmip1, ref tmp);
            tau[i] = tmp;
            i1_ = (1) - (i);
            for(i_=i; i_<=n;i_++)
            {
                a[i,i_] = t[i_+i1_];
            }
            t[1] = 1;
            if( i<n )
            {
                
                //
                // Apply H(i) to A(i+1:m,i:n) from the right
                //
                reflections.applyreflectionfromtheright(ref a, tau[i], ref t, i+1, m, i, n, ref work);
            }
        }
    }


    /*************************************************************************
    Obsolete 1-based subroutine
    See RMatrixLQUnpackQ for 0-based replacement.
    *************************************************************************/
    public static void unpackqfromlq(ref double[,] a,
        int m,
        int n,
        ref double[] tau,
        int qrows,
        ref double[,] q)
    {
        int i = 0;
        int j = 0;
        int k = 0;
        int minmn = 0;
        double[] v = new double[0];
        double[] work = new double[0];
        int vm = 0;
        int i_ = 0;
        int i1_ = 0;

        System.Diagnostics.Debug.Assert(qrows<=n, "UnpackQFromLQ: QRows>N!");
        if( m==0 | n==0 | qrows==0 )
        {
            return;
        }
        
        //
        // init
        //
        minmn = Math.Min(m, n);
        k = Math.Min(minmn, qrows);
        q = new double[qrows+1, n+1];
        v = new double[n+1];
        work = new double[qrows+1];
        for(i=1; i<=qrows; i++)
        {
            for(j=1; j<=n; j++)
            {
                if( i==j )
                {
                    q[i,j] = 1;
                }
                else
                {
                    q[i,j] = 0;
                }
            }
        }
        
        //
        // unpack Q
        //
        for(i=k; i>=1; i--)
        {
            
            //
            // Apply H(i)
            //
            vm = n-i+1;
            i1_ = (i) - (1);
            for(i_=1; i_<=vm;i_++)
            {
                v[i_] = a[i,i_+i1_];
            }
            v[1] = 1;
            reflections.applyreflectionfromtheright(ref q, tau[i], ref v, 1, qrows, i, n, ref work);
        }
    }


    /*************************************************************************
    Obsolete 1-based subroutine
    *************************************************************************/
    public static void lqdecompositionunpacked(double[,] a,
        int m,
        int n,
        ref double[,] l,
        ref double[,] q)
    {
        int i = 0;
        int j = 0;
        double[] tau = new double[0];

        a = (double[,])a.Clone();

        if( n<=0 )
        {
            return;
        }
        q = new double[n+1, n+1];
        l = new double[m+1, n+1];
        
        //
        // LQDecomposition
        //
        lqdecomposition(ref a, m, n, ref tau);
        
        //
        // L
        //
        for(i=1; i<=m; i++)
        {
            for(j=1; j<=n; j++)
            {
                if( j>i )
                {
                    l[i,j] = 0;
                }
                else
                {
                    l[i,j] = a[i,j];
                }
            }
        }
        
        //
        // Q
        //
        unpackqfromlq(ref a, m, n, ref tau, n, ref q);
    }
}