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#include "fff_base.h"
#include "fff_lapack.h"
#include <errno.h>
#define FNAME FFF_FNAME
/*
dgetrf : LU decomp
dpotrf: Cholesky decomp
dgesdd: SVD decomp
dgeqrf: QR decomp
*/
#define CHECK_SQUARE(A) \
if ( (A->size1) != (A->size2) ) \
FFF_ERROR("Not a square matrix", EDOM)
#define LAPACK_UPLO(Uplo) ( (Uplo)==(CblasUpper) ? "U" : "L" )
extern int FNAME(dgetrf)(int* m, int* n, double* a, int* lda, int* ipiv, int* info);
extern int FNAME(dpotrf)(char *uplo, int* n, double* a, int* lda, int* info);
extern int FNAME(dgesdd)(char *jobz, int* m, int* n, double* a, int* lda, double* s, double* u, int* ldu,
double* vt, int* ldvt, double* work, int* lwork, int* iwork, int* info);
extern int FNAME(dgeqrf)(int* m, int* n, double* a, int* lda, double* tau, double* work, int* lwork, int* info);
/* Cholesky decomposition */
/*** Aux needs be square with the same size as A ***/
int fff_lapack_dpotrf( CBLAS_UPLO_t Uplo, fff_matrix* A, fff_matrix* Aux )
{
char* uplo = LAPACK_UPLO(Uplo);
int info;
int n = (int)A->size1; /* Assumed squared */
int lda = (int)Aux->tda;
CHECK_SQUARE(A);
fff_matrix_transpose( Aux, A );
FNAME(dpotrf)(uplo, &n, Aux->data, &lda, &info);
fff_matrix_transpose( A, Aux );
return info;
}
/* LU decomposition */
/*** Aux needs be m x n with m=A->size2 and n=A->size1 ***/
/*** ipiv needs be 1d contiguous in int with size min(m,n) ***/
int fff_lapack_dgetrf( fff_matrix* A, fff_array* ipiv, fff_matrix* Aux )
{
int info;
int m = (int)A->size1;
int n = (int)A->size2;
int lda = (int)Aux->tda;
if ( (ipiv->ndims != 1) ||
(ipiv->datatype != FFF_INT) ||
(ipiv->dimX != FFF_MIN(m,n)) ||
(ipiv->offsetX != 1) )
FFF_ERROR("Invalid array: Ipiv", EDOM);
fff_matrix_transpose( Aux, A );
FNAME(dgetrf)(&m, &n, Aux->data, &lda, (int*)ipiv->data, &info);
fff_matrix_transpose( A, Aux );
return info;
}
/* QR decomposition */
/*** Aux needs be m x n with m=A->size2 and n=A->size1 ***/
/*** tau needs be contiguous with size min(m,n) ***/
/*** work needs be contiguous with size >= n ***/
int fff_lapack_dgeqrf( fff_matrix* A, fff_vector* tau, fff_vector* work, fff_matrix* Aux )
{
int info;
int m = (int)A->size1;
int n = (int)A->size2;
int lda = (int)Aux->tda;
int lwork = (int)work->size;
if ( (tau->size != FFF_MIN(m,n)) ||
(tau->stride != 1) )
FFF_ERROR("Invalid vector: tau", EDOM);
/* Resets lwork to -1 if the input work vector is too small (in
which case work only needs be of size >= 1) */
if ( lwork < n )
lwork = -1;
else
if ( work->stride != 1 )
FFF_ERROR("Invalid vector: work", EDOM);
fff_matrix_transpose( Aux, A );
FNAME(dgeqrf)(&m, &n, Aux->data, &lda, tau->data, work->data, &lwork, &info);
fff_matrix_transpose( A, Aux );
return info;
}
/* SVD decomposition */
/*** Aux needs be square with size max(m=A->size2, n=A->size1) ***/
/*** s needs be contiguous with size min(m,n) ***/
/*** U needs be m x m ***/
/*** Vt needs be n x n ***/
/*** work needs be contiguous, with size lwork such that
dmin = min(M,N)
dmax = max(M,N)
lwork >= 3*dmin**2 + max(dmax,4*dmin**2+4*dmin)
***/
/*** iwork needs be 1d contiguous in int with size 8*min(m,n) ***/
int fff_lapack_dgesdd( fff_matrix* A, fff_vector* s, fff_matrix* U, fff_matrix* Vt,
fff_vector* work, fff_array* iwork, fff_matrix* Aux )
{
int info;
int m = (int)A->size1;
int n = (int)A->size2;
int dmin = FFF_MIN(m,n);
int dmax = FFF_MAX(m,n);
int a1 = FFF_SQR(dmin);
int a2 = 4*(a1+dmin);
int lwork_min = 3*a1 + FFF_MAX(dmax, a2);
int lda = (int)Aux->tda;
int ldu = (int)U->tda;
int ldvt = (int)Vt->tda;
int lwork = work->size;
fff_matrix Aux_mm, Aux_nn;
CHECK_SQUARE(U);
CHECK_SQUARE(Vt);
CHECK_SQUARE(Aux);
if ( U->size1 != m)
FFF_ERROR("Invalid size for U", EDOM);
if ( Vt->size1 != n)
FFF_ERROR("Invalid size for Vt", EDOM);
if ( Aux->size1 != dmax)
FFF_ERROR("Invalid size for Aux", EDOM);
if ( (s->size != dmin) ||
(s->stride != 1) )
FFF_ERROR("Invalid vector: s", EDOM);
if ( (iwork->ndims != 1) ||
(iwork->datatype != FFF_INT) ||
(iwork->dimX != 8*dmin) ||
(iwork->offsetX != 1 ) )
FFF_ERROR("Invalid array: Iwork", EDOM);
/* Resets lwork to -1 if the input work vector is too small (in
which case work only needs be of size >= 1) */
if ( lwork < lwork_min )
lwork = -1;
else
if ( work->stride != 1 )
FFF_ERROR("Invalid vector: work", EDOM);
/*
Perform the svd on A**t:
A**t = U* S* Vt*
=> A = V* S* Ut*
=> U = V*, V = U*, s = s*
so we just need to swap m <-> n, and U <-> Vt in the input line
*/
FNAME(dgesdd)("A", &n, &m, A->data, &lda,
s->data, Vt->data, &ldvt, U->data, &ldu,
work->data, &lwork, (int*)iwork->data, &info);
/* At this point, both U and V are in Fortran order, so we need to
transpose */
Aux_mm = fff_matrix_block( Aux, 0, m, 0, m );
fff_matrix_transpose(&Aux_mm, U);
fff_matrix_memcpy(U, &Aux_mm);
Aux_nn = fff_matrix_block( Aux, 0, n, 0, n );
fff_matrix_transpose(&Aux_nn, Vt);
fff_matrix_memcpy(Vt, &Aux_nn);
return info;
}
/* simply do the pre-allocations to simplify the use of SVD*/
static int _fff_lapack_SVD(fff_matrix* A, fff_vector* s, fff_matrix* U, fff_matrix* Vt)
{
int n = A->size1;
int m = A->size2;
int dmin = FFF_MIN(m,n);
int dmax = FFF_MAX(m,n);
int lwork = 2* (3*dmin*dmin + FFF_MAX(dmax,4*dmin*dmin + 4*dmin));
int liwork = 8* dmin;
fff_vector *work = fff_vector_new(lwork);
fff_array *iwork = fff_array_new1d(FFF_INT,liwork);
fff_matrix *Aux = fff_matrix_new(dmax,dmax);
int info = fff_lapack_dgesdd(A,s,U,Vt,work,iwork,Aux );
fff_vector_delete(work);
fff_array_delete(iwork);
fff_matrix_delete(Aux);
return info;
}
/* Compute the determinant of a symmetric matrix */
/* caveat : A is modified */
extern double fff_lapack_det_sym(fff_matrix* A)
{
int i,n = A->size1;
fff_matrix* U = fff_matrix_new(n,n);
fff_matrix* Vt = fff_matrix_new(n,n);
fff_vector* s = fff_vector_new(n);
double det;
_fff_lapack_SVD(A,s,U,Vt);
for (i=0, det=1; i<n ; i++)
det *= fff_vector_get(s,i);
fff_matrix_delete(U);
fff_matrix_delete(Vt);
fff_vector_delete(s);
return det;
}
/* Compute the inverse of a symmetric matrix */
/* caveat : A is modified */
extern int fff_lapack_inv_sym(fff_matrix* iA, fff_matrix *A)
{
int i,n = A->size1;
fff_matrix* U = fff_matrix_new(n,n);
fff_matrix* Vt = fff_matrix_new(n,n);
fff_vector* s = fff_vector_new(n);
fff_matrix* iS = fff_matrix_new(n,n);
fff_matrix* aux = fff_matrix_new(n,n);
int info = _fff_lapack_SVD(A,s,U,Vt);
fff_matrix_set_all(iS,0);
for (i=0 ; i<n ; i++)
fff_matrix_set(iS,i,i,1.0/fff_vector_get(s,i));
/* these two lines were mean to make it work with AR's bug */
fff_blas_dgemm (CblasNoTrans, CblasNoTrans,1,U,iS, 0, aux);
fff_blas_dgemm (CblasNoTrans, CblasTrans,1,aux,Vt,0, iA);
fff_matrix_delete(U);
fff_matrix_delete(Vt);
fff_matrix_delete(iS);
fff_matrix_delete(aux);
fff_vector_delete(s);
return info;
}
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