1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
|
/*
* Copyright © 2004-2011 Ondra Kamenik
* Copyright © 2019 Dynare Team
*
* This file is part of Dynare.
*
* Dynare is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* Dynare is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
*/
#include "SymSchurDecomp.hh"
#include "SylvException.hh"
#include <dynlapack.h>
#include <algorithm>
#include <cmath>
#include <memory>
SymSchurDecomp::SymSchurDecomp(const ConstGeneralMatrix &mata)
: lambda(mata.nrows()), q(mata.nrows())
{
// check mata is square
if (mata.nrows() != mata.ncols())
throw SYLV_MES_EXCEPTION("Matrix is not square in SymSchurDecomp constructor");
// prepare for dsyevr
lapack_int n = mata.nrows();
GeneralMatrix tmpa(mata);
double *a = tmpa.base();
lapack_int lda = tmpa.getLD();
double dum;
double *vl = &dum;
double *vu = &dum;
lapack_int idum;
lapack_int *il = &idum;
lapack_int *iu = &idum;
double abstol = 0.0;
lapack_int m = n;
double *w = lambda.base();
double *z = q.base();
lapack_int ldz = q.getLD();
auto isuppz = std::make_unique<lapack_int[]>(2*std::max(1, static_cast<int>(m)));
double tmpwork;
lapack_int lwork = -1;
lapack_int tmpiwork;
lapack_int liwork = -1;
lapack_int info;
// query for lwork and liwork
dsyevr("V", "A", "U", &n, a, &lda, vl, vu, il, iu, &abstol,
&m, w, z, &ldz, isuppz.get(), &tmpwork, &lwork, &tmpiwork, &liwork, &info);
lwork = static_cast<lapack_int>(tmpwork);
liwork = tmpiwork;
// allocate work arrays
auto work = std::make_unique<double[]>(lwork);
auto iwork = std::make_unique<lapack_int[]>(liwork);
// do the calculation
dsyevr("V", "A", "U", &n, a, &lda, vl, vu, il, iu, &abstol,
&m, w, z, &ldz, isuppz.get(), work.get(), &lwork, iwork.get(), &liwork, &info);
if (info < 0)
throw SYLV_MES_EXCEPTION("Internal error in SymSchurDecomp constructor");
if (info > 0)
throw SYLV_MES_EXCEPTION("Internal LAPACK error in DSYEVR");
}
void
SymSchurDecomp::getFactor(GeneralMatrix &f) const
{
if (f.nrows() != q.nrows())
throw SYLV_MES_EXCEPTION("Wrong dimension of factor matrix in SymSchurDecomp::getFactor");
if (f.nrows() != f.ncols())
throw SYLV_MES_EXCEPTION("Factor matrix is not square in SymSchurDecomp::getFactor");
if (!isPositiveSemidefinite())
throw SYLV_MES_EXCEPTION("Symmetric decomposition not positive semidefinite in SymSchurDecomp::getFactor");
f = q;
for (int i = 0; i < f.ncols(); i++)
{
Vector fi{f.getCol(i)};
fi.mult(std::sqrt(lambda[i]));
}
}
/* LAPACK says that eigenvalues are ordered in ascending order, but we
do not rely on it */
bool
SymSchurDecomp::isPositiveSemidefinite() const
{
for (int i = 0; i < lambda.length(); i++)
if (lambda[i] < 0)
return false;
return true;
}
void
SymSchurDecomp::correctDefinitness(double tol)
{
for (int i = 0; i < lambda.length(); i++)
if (lambda[i] < 0 && lambda[i] > -tol)
lambda[i] = 0.0;
}
|
