2019-01-08 17:12:05 +01:00
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/* $Header: /var/lib/cvs/dynare_cpp/sylv/cc/GeneralSylvester.cpp,v 1.1.1.1 2004/06/04 13:00:20 kamenik Exp $ */
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/* Tag $Name: $ */
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#include "GeneralSylvester.hh"
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#include "SchurDecomp.hh"
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#include "SylvException.hh"
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#include "TriangularSylvester.hh"
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#include "IterativeSylvester.hh"
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2019-02-19 14:50:00 +01:00
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#include "int_power.hh"
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2019-01-08 17:12:05 +01:00
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#include <ctime>
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GeneralSylvester::GeneralSylvester(int ord, int n, int m, int zero_cols,
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Dynare++ / sylvester equation solver: refactor Vector and ConstVector classes
- these classes now encapsulate a std::shared_ptr<{const, }double>, so that
they do not perform memory management, and several {Const,}Vector instances
can transparently share the same underlying data
- make converting constructor from ConstVector to Vector explicit, since that
entails memory allocation (but the reverse conversion is almost costless, so
keep it implicit); do the same for GeneralMatrix/ConstGeneralMatrix,
TwoDMatrix/ConstTwoDMatrix
- remove the constructors that were extracting a row/column from a matrix, and
replace them by getRow() and getCol() methods on {Const,}GeneralMatrix
- rename and change the API of the complex version Vector::add(), so that it is
explicit that it deals with complex numbers
- add constructors that take a MATLAB mxArray
2019-01-22 16:07:44 +01:00
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const ConstVector &da, const ConstVector &db,
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const ConstVector &dc, const ConstVector &dd,
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2019-01-08 17:12:05 +01:00
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const SylvParams &ps)
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: pars(ps),
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2019-01-25 15:29:14 +01:00
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order(ord), a(Vector{da}, n),
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2019-01-24 15:22:36 +01:00
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b(Vector{db}, n, n-zero_cols), c(Vector{dc}, m), d(Vector{dd}, n, power(m, order)),
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2019-01-08 17:12:05 +01:00
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solved(false)
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{
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init();
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}
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GeneralSylvester::GeneralSylvester(int ord, int n, int m, int zero_cols,
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Dynare++ / sylvester equation solver: refactor Vector and ConstVector classes
- these classes now encapsulate a std::shared_ptr<{const, }double>, so that
they do not perform memory management, and several {Const,}Vector instances
can transparently share the same underlying data
- make converting constructor from ConstVector to Vector explicit, since that
entails memory allocation (but the reverse conversion is almost costless, so
keep it implicit); do the same for GeneralMatrix/ConstGeneralMatrix,
TwoDMatrix/ConstTwoDMatrix
- remove the constructors that were extracting a row/column from a matrix, and
replace them by getRow() and getCol() methods on {Const,}GeneralMatrix
- rename and change the API of the complex version Vector::add(), so that it is
explicit that it deals with complex numbers
- add constructors that take a MATLAB mxArray
2019-01-22 16:07:44 +01:00
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const ConstVector &da, const ConstVector &db,
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const ConstVector &dc, Vector &dd,
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2019-01-08 17:12:05 +01:00
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const SylvParams &ps)
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: pars(ps),
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2019-01-25 15:29:14 +01:00
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order(ord), a(Vector{da}, n),
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2019-01-24 15:22:36 +01:00
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b(Vector{db}, n, n-zero_cols), c(Vector{dc}, m), d(dd, n, power(m, order)),
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2019-01-08 17:12:05 +01:00
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solved(false)
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{
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init();
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}
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GeneralSylvester::GeneralSylvester(int ord, int n, int m, int zero_cols,
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Dynare++ / sylvester equation solver: refactor Vector and ConstVector classes
- these classes now encapsulate a std::shared_ptr<{const, }double>, so that
they do not perform memory management, and several {Const,}Vector instances
can transparently share the same underlying data
- make converting constructor from ConstVector to Vector explicit, since that
entails memory allocation (but the reverse conversion is almost costless, so
keep it implicit); do the same for GeneralMatrix/ConstGeneralMatrix,
TwoDMatrix/ConstTwoDMatrix
- remove the constructors that were extracting a row/column from a matrix, and
replace them by getRow() and getCol() methods on {Const,}GeneralMatrix
- rename and change the API of the complex version Vector::add(), so that it is
explicit that it deals with complex numbers
- add constructors that take a MATLAB mxArray
2019-01-22 16:07:44 +01:00
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const ConstVector &da, const ConstVector &db,
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const ConstVector &dc, const ConstVector &dd,
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bool alloc_for_check)
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: pars(alloc_for_check),
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2019-01-25 15:29:14 +01:00
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order(ord), a(Vector{da}, n),
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2019-01-24 15:22:36 +01:00
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b(Vector{db}, n, n-zero_cols), c(Vector{dc}, m), d(Vector{dd}, n, power(m, order)),
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2019-01-08 17:12:05 +01:00
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solved(false)
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{
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init();
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}
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GeneralSylvester::GeneralSylvester(int ord, int n, int m, int zero_cols,
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Dynare++ / sylvester equation solver: refactor Vector and ConstVector classes
- these classes now encapsulate a std::shared_ptr<{const, }double>, so that
they do not perform memory management, and several {Const,}Vector instances
can transparently share the same underlying data
- make converting constructor from ConstVector to Vector explicit, since that
entails memory allocation (but the reverse conversion is almost costless, so
keep it implicit); do the same for GeneralMatrix/ConstGeneralMatrix,
TwoDMatrix/ConstTwoDMatrix
- remove the constructors that were extracting a row/column from a matrix, and
replace them by getRow() and getCol() methods on {Const,}GeneralMatrix
- rename and change the API of the complex version Vector::add(), so that it is
explicit that it deals with complex numbers
- add constructors that take a MATLAB mxArray
2019-01-22 16:07:44 +01:00
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const ConstVector &da, const ConstVector &db,
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const ConstVector &dc, Vector &dd,
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2019-01-08 17:12:05 +01:00
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bool alloc_for_check)
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: pars(alloc_for_check),
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2019-01-25 15:29:14 +01:00
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order(ord), a(Vector{da}, n),
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2019-01-24 15:22:36 +01:00
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b(Vector{db}, n, n-zero_cols), c(Vector{dc}, m), d(dd, n, power(m, order)),
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2019-01-08 17:12:05 +01:00
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solved(false)
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{
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init();
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}
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void
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GeneralSylvester::init()
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{
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GeneralMatrix ainvb(b);
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double rcond1;
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double rcondinf;
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a.multInvLeft2(ainvb, d, rcond1, rcondinf);
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pars.rcondA1 = rcond1;
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pars.rcondAI = rcondinf;
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2019-01-15 18:55:09 +01:00
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bdecomp = std::make_unique<SchurDecompZero>(ainvb);
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Dynare++ / sylvester equation solver: refactor Vector and ConstVector classes
- these classes now encapsulate a std::shared_ptr<{const, }double>, so that
they do not perform memory management, and several {Const,}Vector instances
can transparently share the same underlying data
- make converting constructor from ConstVector to Vector explicit, since that
entails memory allocation (but the reverse conversion is almost costless, so
keep it implicit); do the same for GeneralMatrix/ConstGeneralMatrix,
TwoDMatrix/ConstTwoDMatrix
- remove the constructors that were extracting a row/column from a matrix, and
replace them by getRow() and getCol() methods on {Const,}GeneralMatrix
- rename and change the API of the complex version Vector::add(), so that it is
explicit that it deals with complex numbers
- add constructors that take a MATLAB mxArray
2019-01-22 16:07:44 +01:00
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cdecomp = std::make_unique<SimilarityDecomp>(c.getData(), c.numRows(), *(pars.bs_norm));
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2019-01-08 17:12:05 +01:00
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cdecomp->check(pars, c);
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cdecomp->infoToPars(pars);
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2019-01-25 15:27:20 +01:00
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if (*(pars.method) == SylvParams::solve_method::recurse)
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2019-01-15 18:55:09 +01:00
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sylv = std::make_unique<TriangularSylvester>(*bdecomp, *cdecomp);
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2019-01-08 17:12:05 +01:00
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else
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sylv = std::make_unique<IterativeSylvester>(*bdecomp, *cdecomp);
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2019-01-08 17:12:05 +01:00
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}
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void
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GeneralSylvester::solve()
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{
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if (solved)
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throw SYLV_MES_EXCEPTION("Attempt to run solve() more than once.");
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clock_t start = clock();
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// multiply d
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d.multLeftITrans(bdecomp->getQ());
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d.multRightKron(cdecomp->getQ(), order);
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// convert to KronVector
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KronVector dkron(d.getData(), getM(), getN(), order);
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// solve
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sylv->solve(pars, dkron);
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// multiply d back
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d.multLeftI(bdecomp->getQ());
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d.multRightKron(cdecomp->getInvQ(), order);
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clock_t end = clock();
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pars.cpu_time = ((double) (end-start))/CLOCKS_PER_SEC;
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solved = true;
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}
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void
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Dynare++ / sylvester equation solver: refactor Vector and ConstVector classes
- these classes now encapsulate a std::shared_ptr<{const, }double>, so that
they do not perform memory management, and several {Const,}Vector instances
can transparently share the same underlying data
- make converting constructor from ConstVector to Vector explicit, since that
entails memory allocation (but the reverse conversion is almost costless, so
keep it implicit); do the same for GeneralMatrix/ConstGeneralMatrix,
TwoDMatrix/ConstTwoDMatrix
- remove the constructors that were extracting a row/column from a matrix, and
replace them by getRow() and getCol() methods on {Const,}GeneralMatrix
- rename and change the API of the complex version Vector::add(), so that it is
explicit that it deals with complex numbers
- add constructors that take a MATLAB mxArray
2019-01-22 16:07:44 +01:00
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GeneralSylvester::check(const ConstVector &ds)
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2019-01-08 17:12:05 +01:00
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{
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if (!solved)
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throw SYLV_MES_EXCEPTION("Cannot run check on system, which is not solved yet.");
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// calculate xcheck = AX+BXC^i-D
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SylvMatrix dcheck(d.numRows(), d.numCols());
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dcheck.multLeft(b.numRows()-b.numCols(), b, d);
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dcheck.multRightKron(c, order);
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dcheck.multAndAdd(a, d);
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Dynare++ / sylvester equation solver: refactor Vector and ConstVector classes
- these classes now encapsulate a std::shared_ptr<{const, }double>, so that
they do not perform memory management, and several {Const,}Vector instances
can transparently share the same underlying data
- make converting constructor from ConstVector to Vector explicit, since that
entails memory allocation (but the reverse conversion is almost costless, so
keep it implicit); do the same for GeneralMatrix/ConstGeneralMatrix,
TwoDMatrix/ConstTwoDMatrix
- remove the constructors that were extracting a row/column from a matrix, and
replace them by getRow() and getCol() methods on {Const,}GeneralMatrix
- rename and change the API of the complex version Vector::add(), so that it is
explicit that it deals with complex numbers
- add constructors that take a MATLAB mxArray
2019-01-22 16:07:44 +01:00
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dcheck.getData().add(-1.0, ds);
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2019-01-08 17:12:05 +01:00
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// calculate relative norms
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pars.mat_err1 = dcheck.getNorm1()/d.getNorm1();
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pars.mat_errI = dcheck.getNormInf()/d.getNormInf();
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pars.mat_errF = dcheck.getData().getNorm()/d.getData().getNorm();
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pars.vec_err1 = dcheck.getData().getNorm1()/d.getData().getNorm1();
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pars.vec_errI = dcheck.getData().getMax()/d.getData().getMax();
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}
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