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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program 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 license for more details.
*/
/*! \file qrdecomposition.cpp
\brief QR decomposition
*/
#include <ql/math/optimization/lmdif.hpp>
#include <ql/math/matrixutilities/qrdecomposition.hpp>
namespace QuantLib {
Disposable<std::vector<Size> > qrDecomposition(const Matrix& M,
Matrix& q, Matrix& r,
bool pivot) {
Matrix mT = transpose(M);
const Size m = M.rows();
const Size n = M.columns();
boost::scoped_array<int> lipvt(new int[n]);
boost::scoped_array<Real> rdiag(new Real[n]);
boost::scoped_array<Real> wa(new Real[n]);
MINPACK::qrfac(m, n, mT.begin(), 0, (pivot)?1:0,
lipvt.get(), n, rdiag.get(), rdiag.get(), wa.get());
if (r.columns() != n || r.rows() !=n)
r = Matrix(n, n);
for (Size i=0; i < n; ++i) {
std::fill(r.row_begin(i), r.row_begin(i)+i, 0.0);
r[i][i] = rdiag[i];
if (i < m) {
std::copy(mT.column_begin(i)+i+1, mT.column_end(i),
r.row_begin(i)+i+1);
}
else {
std::fill(r.row_begin(i)+i+1, r.row_end(i), 0.0);
}
}
if (q.rows() != m || q.columns() != n)
q = Matrix(m, n);
if (m > n) {
std::fill(q.begin(), q.end(), 0.0);
Integer u = std::min(n,m);
for (Integer i=0; i < u; ++i)
q[i][i] = 1.0;
Array v(m);
for (Integer i=u-1; i >=0; --i) {
if (std::fabs(mT[i][i]) > QL_EPSILON) {
const Real tau = 1.0/mT[i][i];
std::fill(v.begin(), v.begin()+i, 0.0);
std::copy(mT.row_begin(i)+i, mT.row_end(i), v.begin()+i);
Array w(n, 0.0);
for (Size l=0; l < n; ++l)
w[l] += std::inner_product(
v.begin()+i, v.end(), q.column_begin(l)+i, 0.0);
for (Size k=i; k < m; ++k) {
const Real a = tau*v[k];
for (Size l=0; l < n; ++l)
q[k][l] -= a*w[l];
}
}
}
}
else {
Array w(m);
for (Size k=0; k < m; ++k) {
std::fill(w.begin(), w.end(), 0.0);
w[k] = 1.0;
for (Size j=0; j < std::min(n, m); ++j) {
const Real t3 = mT[j][j];
if (t3 != 0.0) {
const Real t
= std::inner_product(mT.row_begin(j)+j, mT.row_end(j),
w.begin()+j, 0.0)/t3;
for (Size i=j; i<m; ++i) {
w[i]-=mT[j][i]*t;
}
}
q[k][j] = w[j];
}
std::fill(q.row_begin(k) + std::min(n, m), q.row_end(k), 0.0);
}
}
std::vector<Size> ipvt(n);
if (pivot) {
std::copy(lipvt.get(), lipvt.get()+n, ipvt.begin());
}
else {
for (Size i=0; i < n; ++i)
ipvt[i] = i;
}
return ipvt;
}
Disposable<Array> qrSolve(const Matrix& a, const Array& b,
bool pivot, const Array& d) {
const Size m = a.rows();
const Size n = a.columns();
QL_REQUIRE(b.size() == m, "dimensions of A and b don't match");
QL_REQUIRE(d.size() == n || d.empty(),
"dimensions of A and d don't match");
Matrix q(m, n), r(n, n);
std::vector<Size> lipvt = qrDecomposition(a, q, r, pivot);
boost::scoped_array<int> ipvt(new int[n]);
std::copy(lipvt.begin(), lipvt.end(), ipvt.get());
Matrix rT = transpose(r);
boost::scoped_array<Real> sdiag(new Real[n]);
boost::scoped_array<Real> wa(new Real[n]);
Array ld(n, 0.0);
if (!d.empty()) {
std::copy(d.begin(), d.end(), ld.begin());
}
Array x(n);
Array qtb = transpose(q)*b;
MINPACK::qrsolv(n, rT.begin(), n, ipvt.get(),
ld.begin(), qtb.begin(),
x.begin(), sdiag.get(), wa.get());
return x;
}
}
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