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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349
|
// Copyright ©2013 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 mat
import (
"math"
"gonum.org/v1/gonum/blas"
"gonum.org/v1/gonum/blas/blas64"
"gonum.org/v1/gonum/lapack"
"gonum.org/v1/gonum/lapack/lapack64"
)
const badQR = "mat: invalid QR factorization"
// QR is a type for creating and using the QR factorization of a matrix.
type QR struct {
qr *Dense
q *Dense
tau []float64
cond float64
}
// Dims returns the dimensions of the matrix.
func (qr *QR) Dims() (r, c int) {
if qr.qr == nil {
return 0, 0
}
return qr.qr.Dims()
}
// At returns the element at row i, column j. At will panic if the receiver
// does not contain a successful factorization.
func (qr *QR) At(i, j int) float64 {
if !qr.isValid() {
panic(badQR)
}
m, n := qr.Dims()
if uint(i) >= uint(m) {
panic(ErrRowAccess)
}
if uint(j) >= uint(n) {
panic(ErrColAccess)
}
if qr.q == nil || qr.q.IsEmpty() {
// Calculate Qi, Q i-th row
qi := getFloat64s(m, true)
qr.qRowTo(i, qi)
// Compute QR(i,j)
var val float64
for k := 0; k <= j; k++ {
val += qi[k] * qr.qr.at(k, j)
}
putFloat64s(qi)
return val
}
var val float64
for k := 0; k <= j; k++ {
val += qr.q.at(i, k) * qr.qr.at(k, j)
}
return val
}
// qRowTo extracts the i-th row of the orthonormal matrix Q from a QR
// decomposition.
func (qr *QR) qRowTo(i int, dst []float64) {
c := blas64.General{
Rows: 1,
Cols: len(dst),
Stride: len(dst),
Data: dst,
}
c.Data[i] = 1 // C is the i-th unit vector
// Construct Qi from the elementary reflectors: Qi = C * (H(1) H(2) ... H(nTau))
work := []float64{0}
lapack64.Ormqr(blas.Right, blas.NoTrans, qr.qr.mat, qr.tau, c, work, -1)
work = getFloat64s(int(work[0]), false)
lapack64.Ormqr(blas.Right, blas.NoTrans, qr.qr.mat, qr.tau, c, work, len(work))
putFloat64s(work)
}
// T performs an implicit transpose by returning the receiver inside a
// Transpose.
func (qr *QR) T() Matrix {
return Transpose{qr}
}
func (qr *QR) updateCond(norm lapack.MatrixNorm) {
// Since A = Q*R, and Q is orthogonal, we get for the condition number κ
// κ(A) := |A| |A^-1| = |Q*R| |(Q*R)^-1| = |R| |R^-1 * Qᵀ|
// = |R| |R^-1| = κ(R),
// where we used that fact that Q^-1 = Qᵀ. However, this assumes that
// the matrix norm is invariant under orthogonal transformations which
// is not the case for CondNorm. Hopefully the error is negligible: κ
// is only a qualitative measure anyway.
n := qr.qr.mat.Cols
work := getFloat64s(3*n, false)
iwork := getInts(n, false)
r := qr.qr.asTriDense(n, blas.NonUnit, blas.Upper)
v := lapack64.Trcon(norm, r.mat, work, iwork)
putFloat64s(work)
putInts(iwork)
qr.cond = 1 / v
}
// Factorize computes the QR factorization of an m×n matrix a where m >= n. The QR
// factorization always exists even if A is singular.
//
// The QR decomposition is a factorization of the matrix A such that A = Q * R.
// The matrix Q is an orthonormal m×m matrix, and R is an m×n upper triangular matrix.
// Q and R can be extracted using the QTo and RTo methods.
func (qr *QR) Factorize(a Matrix) {
qr.factorize(a, CondNorm)
}
func (qr *QR) factorize(a Matrix, norm lapack.MatrixNorm) {
m, n := a.Dims()
if m < n {
panic(ErrShape)
}
if qr.qr == nil {
qr.qr = &Dense{}
}
qr.qr.CloneFrom(a)
work := []float64{0}
qr.tau = make([]float64, n)
lapack64.Geqrf(qr.qr.mat, qr.tau, work, -1)
work = getFloat64s(int(work[0]), false)
lapack64.Geqrf(qr.qr.mat, qr.tau, work, len(work))
putFloat64s(work)
qr.updateCond(norm)
if qr.q != nil {
qr.q.Reset()
}
}
func (qr *QR) updateQ() {
m, _ := qr.Dims()
if qr.q == nil {
qr.q = NewDense(m, m, nil)
} else {
qr.q.reuseAsNonZeroed(m, m)
}
// Construct Q from the elementary reflectors.
qr.q.Copy(qr.qr)
work := []float64{0}
lapack64.Orgqr(qr.q.mat, qr.tau, work, -1)
work = getFloat64s(int(work[0]), false)
lapack64.Orgqr(qr.q.mat, qr.tau, work, len(work))
putFloat64s(work)
}
// isValid returns whether the receiver contains a factorization.
func (qr *QR) isValid() bool {
return qr.qr != nil && !qr.qr.IsEmpty()
}
// Cond returns the condition number for the factorized matrix.
// Cond will panic if the receiver does not contain a factorization.
func (qr *QR) Cond() float64 {
if !qr.isValid() {
panic(badQR)
}
return qr.cond
}
// TODO(btracey): Add in the "Reduced" forms for extracting the n×n orthogonal
// and upper triangular matrices.
// RTo extracts the m×n upper trapezoidal matrix from a QR decomposition.
//
// If dst is empty, RTo will resize dst to be r×c. When dst is non-empty,
// RTo will panic if dst is not r×c. RTo will also panic if the receiver
// does not contain a successful factorization.
func (qr *QR) RTo(dst *Dense) {
if !qr.isValid() {
panic(badQR)
}
r, c := qr.qr.Dims()
if dst.IsEmpty() {
dst.ReuseAs(r, c)
} else {
r2, c2 := dst.Dims()
if r != r2 || c != c2 {
panic(ErrShape)
}
}
// Disguise the QR as an upper triangular
t := &TriDense{
mat: blas64.Triangular{
N: c,
Stride: qr.qr.mat.Stride,
Data: qr.qr.mat.Data,
Uplo: blas.Upper,
Diag: blas.NonUnit,
},
cap: qr.qr.capCols,
}
dst.Copy(t)
// Zero below the triangular.
for i := r; i < c; i++ {
zero(dst.mat.Data[i*dst.mat.Stride : i*dst.mat.Stride+c])
}
}
// QTo extracts the r×r orthonormal matrix Q from a QR decomposition.
//
// If dst is empty, QTo will resize dst to be r×r. When dst is non-empty,
// QTo will panic if dst is not r×r. QTo will also panic if the receiver
// does not contain a successful factorization.
func (qr *QR) QTo(dst *Dense) {
if !qr.isValid() {
panic(badQR)
}
r, _ := qr.qr.Dims()
if dst.IsEmpty() {
dst.ReuseAs(r, r)
} else {
r2, c2 := dst.Dims()
if r != r2 || r != c2 {
panic(ErrShape)
}
}
if qr.q == nil || qr.q.IsEmpty() {
qr.updateQ()
}
dst.Copy(qr.q)
}
// SolveTo finds a minimum-norm solution to a system of linear equations defined
// by the matrices A and b, where A is an m×n matrix represented in its QR factorized
// form. If A is singular or near-singular a Condition error is returned.
// See the documentation for Condition for more information.
//
// The minimization problem solved depends on the input parameters.
//
// If trans == false, find X such that ||A*X - B||_2 is minimized.
// If trans == true, find the minimum norm solution of Aᵀ * X = B.
//
// The solution matrix, X, is stored in place into dst.
// SolveTo will panic if the receiver does not contain a factorization.
func (qr *QR) SolveTo(dst *Dense, trans bool, b Matrix) error {
if !qr.isValid() {
panic(badQR)
}
r, c := qr.qr.Dims()
br, bc := b.Dims()
// The QR solve algorithm stores the result in-place into the right hand side.
// The storage for the answer must be large enough to hold both b and x.
// However, this method's receiver must be the size of x. Copy b, and then
// copy the result into m at the end.
if trans {
if c != br {
panic(ErrShape)
}
dst.reuseAsNonZeroed(r, bc)
} else {
if r != br {
panic(ErrShape)
}
dst.reuseAsNonZeroed(c, bc)
}
// Do not need to worry about overlap between m and b because x has its own
// independent storage.
w := getDenseWorkspace(max(r, c), bc, false)
w.Copy(b)
t := qr.qr.asTriDense(qr.qr.mat.Cols, blas.NonUnit, blas.Upper).mat
if trans {
ok := lapack64.Trtrs(blas.Trans, t, w.mat)
if !ok {
return Condition(math.Inf(1))
}
for i := c; i < r; i++ {
zero(w.mat.Data[i*w.mat.Stride : i*w.mat.Stride+bc])
}
work := []float64{0}
lapack64.Ormqr(blas.Left, blas.NoTrans, qr.qr.mat, qr.tau, w.mat, work, -1)
work = getFloat64s(int(work[0]), false)
lapack64.Ormqr(blas.Left, blas.NoTrans, qr.qr.mat, qr.tau, w.mat, work, len(work))
putFloat64s(work)
} else {
work := []float64{0}
lapack64.Ormqr(blas.Left, blas.Trans, qr.qr.mat, qr.tau, w.mat, work, -1)
work = getFloat64s(int(work[0]), false)
lapack64.Ormqr(blas.Left, blas.Trans, qr.qr.mat, qr.tau, w.mat, work, len(work))
putFloat64s(work)
ok := lapack64.Trtrs(blas.NoTrans, t, w.mat)
if !ok {
return Condition(math.Inf(1))
}
}
// X was set above to be the correct size for the result.
dst.Copy(w)
putDenseWorkspace(w)
if qr.cond > ConditionTolerance {
return Condition(qr.cond)
}
return nil
}
// SolveVecTo finds a minimum-norm solution to a system of linear equations,
//
// Ax = b.
//
// See QR.SolveTo for the full documentation.
// SolveVecTo will panic if the receiver does not contain a factorization.
func (qr *QR) SolveVecTo(dst *VecDense, trans bool, b Vector) error {
if !qr.isValid() {
panic(badQR)
}
r, c := qr.qr.Dims()
if _, bc := b.Dims(); bc != 1 {
panic(ErrShape)
}
// The Solve implementation is non-trivial, so rather than duplicate the code,
// instead recast the VecDenses as Dense and call the matrix code.
bm := Matrix(b)
if rv, ok := b.(RawVectorer); ok {
bmat := rv.RawVector()
if dst != b {
dst.checkOverlap(bmat)
}
b := VecDense{mat: bmat}
bm = b.asDense()
}
if trans {
dst.reuseAsNonZeroed(r)
} else {
dst.reuseAsNonZeroed(c)
}
return qr.SolveTo(dst.asDense(), trans, bm)
}
|