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// Copyright ©2021 The Gonum Authors. All rights reserved.
// Use of this source code is governed by a BSD-style
// license that can be found in the LICENSE file.
package gonum
import (
"math"
"gonum.org/v1/gonum/blas"
"gonum.org/v1/gonum/blas/blas64"
)
// Dpstf2 computes the Cholesky factorization with complete pivoting of an n×n
// symmetric positive semidefinite matrix A.
//
// The factorization has the form
//
// Pᵀ * A * P = Uᵀ * U , if uplo = blas.Upper,
// Pᵀ * A * P = L * Lᵀ, if uplo = blas.Lower,
//
// where U is an upper triangular matrix, L is lower triangular, and P is a
// permutation matrix.
//
// tol is a user-defined tolerance. The algorithm terminates if the pivot is
// less than or equal to tol. If tol is negative, then n*eps*max(A[k,k]) will be
// used instead.
//
// On return, A contains the factor U or L from the Cholesky factorization and
// piv contains P stored such that P[piv[k],k] = 1.
//
// Dpstf2 returns the computed rank of A and whether the factorization can be
// used to solve a system. Dpstf2 does not attempt to check that A is positive
// semi-definite, so if ok is false, the matrix A is either rank deficient or is
// not positive semidefinite.
//
// The length of piv must be n and the length of work must be at least 2*n,
// otherwise Dpstf2 will panic.
//
// Dpstf2 is an internal routine. It is exported for testing purposes.
func (Implementation) Dpstf2(uplo blas.Uplo, n int, a []float64, lda int, piv []int, tol float64, work []float64) (rank int, ok bool) {
switch {
case uplo != blas.Upper && uplo != blas.Lower:
panic(badUplo)
case n < 0:
panic(nLT0)
case lda < max(1, n):
panic(badLdA)
}
// Quick return if possible.
if n == 0 {
return 0, true
}
switch {
case len(a) < (n-1)*lda+n:
panic(shortA)
case len(piv) != n:
panic(badLenPiv)
case len(work) < 2*n:
panic(shortWork)
}
// Initialize piv.
for i := range piv[:n] {
piv[i] = i
}
// Compute the first pivot.
pvt := 0
ajj := a[0]
for i := 1; i < n; i++ {
aii := a[i*lda+i]
if aii > ajj {
pvt = i
ajj = aii
}
}
if ajj <= 0 || math.IsNaN(ajj) {
return 0, false
}
// Compute stopping value if not supplied.
dstop := tol
if dstop < 0 {
dstop = float64(n) * dlamchE * ajj
}
// Set first half of work to zero, holds dot products.
dots := work[:n]
for i := range dots {
dots[i] = 0
}
work2 := work[n : 2*n]
bi := blas64.Implementation()
if uplo == blas.Upper {
// Compute the Cholesky factorization Pᵀ * A * P = Uᵀ * U.
for j := 0; j < n; j++ {
// Update dot products and compute possible pivots which are stored
// in the second half of work.
for i := j; i < n; i++ {
if j > 0 {
tmp := a[(j-1)*lda+i]
dots[i] += tmp * tmp
}
work2[i] = a[i*lda+i] - dots[i]
}
if j > 0 {
// Find the pivot.
pvt = j
ajj = work2[pvt]
for k := j + 1; k < n; k++ {
wk := work2[k]
if wk > ajj {
pvt = k
ajj = wk
}
}
// Test for exit.
if ajj <= dstop || math.IsNaN(ajj) {
a[j*lda+j] = ajj
return j, false
}
}
if j != pvt {
// Swap pivot rows and columns.
a[pvt*lda+pvt] = a[j*lda+j]
bi.Dswap(j, a[j:], lda, a[pvt:], lda)
if pvt < n-1 {
bi.Dswap(n-pvt-1, a[j*lda+(pvt+1):], 1, a[pvt*lda+(pvt+1):], 1)
}
bi.Dswap(pvt-j-1, a[j*lda+(j+1):], 1, a[(j+1)*lda+pvt:], lda)
// Swap dot products and piv.
dots[j], dots[pvt] = dots[pvt], dots[j]
piv[j], piv[pvt] = piv[pvt], piv[j]
}
ajj = math.Sqrt(ajj)
a[j*lda+j] = ajj
// Compute elements j+1:n of row j.
if j < n-1 {
bi.Dgemv(blas.Trans, j, n-j-1,
-1, a[j+1:], lda, a[j:], lda,
1, a[j*lda+j+1:], 1)
bi.Dscal(n-j-1, 1/ajj, a[j*lda+j+1:], 1)
}
}
} else {
// Compute the Cholesky factorization Pᵀ * A * P = L * Lᵀ.
for j := 0; j < n; j++ {
// Update dot products and compute possible pivots which are stored
// in the second half of work.
for i := j; i < n; i++ {
if j > 0 {
tmp := a[i*lda+(j-1)]
dots[i] += tmp * tmp
}
work2[i] = a[i*lda+i] - dots[i]
}
if j > 0 {
// Find the pivot.
pvt = j
ajj = work2[pvt]
for k := j + 1; k < n; k++ {
wk := work2[k]
if wk > ajj {
pvt = k
ajj = wk
}
}
// Test for exit.
if ajj <= dstop || math.IsNaN(ajj) {
a[j*lda+j] = ajj
return j, false
}
}
if j != pvt {
// Swap pivot rows and columns.
a[pvt*lda+pvt] = a[j*lda+j]
bi.Dswap(j, a[j*lda:], 1, a[pvt*lda:], 1)
if pvt < n-1 {
bi.Dswap(n-pvt-1, a[(pvt+1)*lda+j:], lda, a[(pvt+1)*lda+pvt:], lda)
}
bi.Dswap(pvt-j-1, a[(j+1)*lda+j:], lda, a[pvt*lda+(j+1):], 1)
// Swap dot products and piv.
dots[j], dots[pvt] = dots[pvt], dots[j]
piv[j], piv[pvt] = piv[pvt], piv[j]
}
ajj = math.Sqrt(ajj)
a[j*lda+j] = ajj
// Compute elements j+1:n of column j.
if j < n-1 {
bi.Dgemv(blas.NoTrans, n-j-1, j,
-1, a[(j+1)*lda:], lda, a[j*lda:], 1,
1, a[(j+1)*lda+j:], lda)
bi.Dscal(n-j-1, 1/ajj, a[(j+1)*lda+j:], lda)
}
}
}
return n, true
}
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