Convert mjdgges MEX to Fortran 2008
Sébastien Villemot
parent
dd1e4d238b
commit
89dc67eb46
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@ -1,9 +1,11 @@
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mex_PROGRAMS = mjdgges
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nodist_mjdgges_SOURCES = mjdgges.cc
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nodist_mjdgges_SOURCES = mjdgges.F08 matlab_mex.F08 blas_lapack.F08
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BUILT_SOURCES = $(nodist_mjdgges_SOURCES)
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CLEANFILES = $(nodist_mjdgges_SOURCES)
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%.cc: $(top_srcdir)/../../sources/mjdgges/%.cc
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mjdgges.o : matlab_mex.mod lapack.mod
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%.F08: $(top_srcdir)/../../sources/mjdgges/%.F08
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$(LN_S) -f $< $@
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@ -1,4 +1,4 @@
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! Copyright © 2019 Dynare Team
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! Copyright © 2019-2020 Dynare Team
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!
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! This file is part of Dynare.
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!
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@ -20,8 +20,10 @@ module blas
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#if defined(MATLAB_MEX_FILE) && __SIZEOF_POINTER__ == 8
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integer, parameter :: blint = int64
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integer, parameter :: bllog = 8 ! Logical kind, gfortran-specific
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#else
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integer, parameter :: blint = int32
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integer, parameter :: bllog = 4 ! Logical kind, gfortran-specific
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#endif
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interface
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@ -43,10 +45,29 @@ module lapack
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subroutine dgesv(n, nrhs, a, lda, ipiv, b, ldb, info)
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import :: blint, real64
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integer(blint), intent(in) :: n, nrhs, lda, ldb
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real(real64), dimension(*), intent(inout) :: a
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real(real64), dimension(*), intent(inout) :: b
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real(real64), dimension(*), intent(inout) :: a, b
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integer(blint), dimension(*), intent(out) :: ipiv
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integer(blint), intent(out) :: info
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end subroutine dgesv
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end interface
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interface
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subroutine dgges(jobvsl, jobvsr, sort, selctg, n, a, lda, b, ldb, sdim, &
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alphar, alphai, beta, vsl, ldvsl, vsr, ldvsr, work, lwork, bwork, &
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info)
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import :: blint, bllog, real64
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character :: jobvsl, jobvsr, sort
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interface
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logical(bllog) function selctg(alphar, alphai, beta)
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import :: bllog, real64
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real(real64), intent(in) :: alphar, alphai, beta
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end function selctg
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end interface
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integer(blint), intent(in) :: n, lda, ldb, ldvsl, ldvsr, lwork
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real(real64), dimension(*), intent(inout) :: a, b
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real(real64), dimension(*), intent(out) :: alphar, alphai, beta, vsl, vsr, work
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logical(bllog), dimension(*), intent(out) :: bwork
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integer(blint), intent(out) :: sdim, info
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end subroutine dgges
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end interface
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end module lapack
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@ -0,0 +1 @@
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#define MX_HAS_INTERLEAVED_COMPLEX (defined(MATLAB_MEX_FILE) && MATLAB_VERSION >= 0x0904)
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@ -52,7 +52,7 @@
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# define API_VER2 ""
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#endif
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#define MX_HAS_INTERLEAVED_COMPLEX (defined(MATLAB_MEX_FILE) && MATLAB_VERSION >= 0x0904)
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#include "defines.F08"
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!!! C Matrix API
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!!! Listed in same order as https://fr.mathworks.com/help/matlab/cc-mx-matrix-library.html
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@ -0,0 +1,167 @@
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! Copyright © 2006-2020 Dynare Team
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!
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! This file is part of Dynare.
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!
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! Dynare is free software: you can redistribute it and/or modify
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! it under the terms of the GNU General Public License as published by
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! the Free Software Foundation, either version 3 of the License, or
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! (at your option) any later version.
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!
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! Dynare is distributed in the hope that it will be useful,
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! but WITHOUT ANY WARRANTY; without even the implied warranty of
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! MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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! GNU General Public License for more details.
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!
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! You should have received a copy of the GNU General Public License
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! along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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#include "defines.F08"
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module select_fct_mod
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use iso_fortran_env
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implicit none
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real(real64) :: criterium
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contains
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logical(bllog) function select_fct(alpha_r, alpha_i, beta)
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use blas
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real(real64), intent(in) :: alpha_r, alpha_i, beta
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select_fct = alpha_r**2 + alpha_i**2 < criterium**2 * beta**2
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end function select_fct
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end module select_fct_mod
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subroutine mexFunction(nlhs, plhs, nrhs, prhs) bind(c, name='mexFunction')
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use iso_fortran_env
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use iso_c_binding
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use select_fct_mod
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use matlab_mex
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use lapack
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implicit none
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type(c_ptr), dimension(*), intent(in), target :: prhs
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type(c_ptr), dimension(*), intent(out) :: plhs
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integer(c_int), intent(in), value :: nlhs, nrhs
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integer(c_size_t) :: m1, n1, m2, n2
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real(real64) :: zhreshold
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integer(blint) :: n_bl, lwork, info_bl, sdim_bl
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real(real64), dimension(:), allocatable :: alpha_r, alpha_i, beta, work
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logical(bllog), dimension(:), allocatable :: bwork
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real(real64), dimension(:), pointer :: s, t, z, info, sdim, vsl
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#if MX_HAS_INTERLEAVED_COMPLEX
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complex(real64), dimension(:), pointer :: gev
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#else
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real(real64), dimension(:), pointer :: gev_r, gev_i
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#endif
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#if defined(MATLAB_MEX_FILE) && MATLAB_VERSION < 0x0904
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! Workaround for MKL bug, see below
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real(real64), dimension(:), allocatable, target :: vsl_target
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#endif
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if (nrhs < 2 .or. nrhs > 4 .or. nlhs /= 7) then
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call mexErrMsgTxt("MJDGGES: takes 2, 3 or 4 input arguments and exactly 7 output arguments.")
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return
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end if
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m1 = mxGetM(prhs(1))
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n1 = mxGetN(prhs(1))
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m2 = mxGetM(prhs(2))
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n2 = mxGetN(prhs(2))
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if (.not. mxIsDouble(prhs(1)) .or. mxIsComplex(prhs(1)) &
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.or. .not. mxIsDouble(prhs(2)) .or. mxIsComplex(prhs(2)) &
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.or. m1 /= n1 .or. m2 /= n1 .or. m2 /= n2) then
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call mexErrMsgTxt("MJDGGES requires two square real matrices of the same dimension.")
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return
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end if
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! Set criterium for stable eigenvalues
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if (nrhs >= 3 .and. mxGetM(prhs(3)) > 0) then
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associate (crit_arg => mxGetPr(prhs(3)))
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criterium = crit_arg(1)
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end associate
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else
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criterium = 1_real64 + 1e-6_real64
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end if
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! set criterium for 0/0 generalized eigenvalues */
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if (nrhs == 4 .and. mxGetM(prhs(4)) > 0) then
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associate (zhresh_arg => mxGetPr(prhs(4)))
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zhreshold = zhresh_arg(1)
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end associate
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else
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zhreshold = 1e-6_real64
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end if
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plhs(2) = mxCreateDoubleMatrix(n1, n1, mxREAL)
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plhs(3) = mxCreateDoubleMatrix(n1, n1, mxREAL)
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plhs(4) = mxCreateDoubleMatrix(n1, n1, mxREAL)
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plhs(5) = mxCreateDoubleMatrix(1_mwSize, 1_mwSize, mxREAL)
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plhs(6) = mxCreateDoubleMatrix(n1, 1_mwSize, mxCOMPLEX)
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plhs(7) = mxCreateDoubleMatrix(1_mwSize, 1_mwSize, mxREAL)
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s => mxGetPr(plhs(2))
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t => mxGetPr(plhs(3))
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sdim => mxGetPr(plhs(5))
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#if MX_HAS_INTERLEAVED_COMPLEX
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gev => mxGetComplexDoubles(plhs(6))
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#else
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gev_r => mxGetPr(plhs(6))
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gev_i => mxGetPi(plhs(6))
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#endif
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info => mxGetPr(plhs(7))
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z => mxGetPr(plhs(4))
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#if defined(MATLAB_MEX_FILE) && MATLAB_VERSION < 0x0904
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! The left Schur vectors (VSL) are normally not computed, since JOBVSL="N".
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! But old MKL versions (at least the one shipped with MATLAB R2009b/7.9,
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! which is MKL 10.1) are buggy, and passing nullptr for VSL leads to a crash.
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! Hence we need to allocate space for it.
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! The bug seems to be fixed in MATLAB R2010a/7.10 (MKL 10.2), but we use the
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! workaround for all versions < R2018a/9.4, since those share the same
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! ABI and hence the same executables.
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allocate(vsl_target(n1*n1))
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vsl => vsl_target
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#else
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vsl => null()
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#endif
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! Copy input matrices, since we can’t modify them
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associate (a => mxGetPr(prhs(1)), b => mxGetPr(prhs(2)))
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s = a
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t = b
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end associate
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n_bl = int(n1, blint)
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lwork = 16*n_bl + 16
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allocate(alpha_r(n_bl), alpha_i(n_bl), beta(n_bl), bwork(n_bl), work(lwork))
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call dgges("N", "V", "S", select_fct, n_bl, s, n_bl, t, n_bl, sdim_bl, &
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alpha_r, alpha_i, beta, vsl, n_bl, z, n_bl, work, lwork, bwork, info_bl)
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info = info_bl
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sdim = sdim_bl
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#if MX_HAS_INTERLEAVED_COMPLEX
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where (alpha_i == 0_real64 .and. beta == 0_real64)
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gev = alpha_r / beta
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elsewhere
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gev = cmplx(alpha_r, alpha_i, real64) / beta
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end where
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#else
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gev_r = alpha_r / beta
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where (alpha_i == 0_real64 .and. beta == 0_real64)
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gev_i = 0_real64
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elsewhere
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gev_i = alpha_i / beta
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end where
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#endif
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! If the ratio of some eigenvalue is too close to 0/0, return specific
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! error number (only if no other error)
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if (any(abs(alpha_r) <= zhreshold .and. abs(beta) <= zhreshold) .and. info_bl == 0) &
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info = 30
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plhs(1) = mxCreateDoubleScalar(0._real64)
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end subroutine mexFunction
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@ -1,157 +0,0 @@
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/*
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* Copyright © 2006-2019 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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#include <cmath>
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#include <algorithm>
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#include <memory>
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#include <dynmex.h>
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#include <dynlapack.h>
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double criterium;
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lapack_int
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my_criteria(const double *alpha_r, const double *alpha_i, const double *beta)
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{
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return *alpha_r * *alpha_r + *alpha_i * *alpha_i < criterium * criterium * *beta * *beta;
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}
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/* MATLAB interface */
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void
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mexFunction(int nlhs, mxArray *plhs[],
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int nrhs, const mxArray *prhs[])
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{
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/* Check for proper number of arguments */
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if (nrhs < 2 || nrhs > 4 || nlhs == 0 || nlhs > 7)
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DYN_MEX_FUNC_ERR_MSG_TXT("MJDGGES: takes 2, 3 or 4 input arguments and between 1 and 7 output arguments.");
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/* Check that A and B are real matrices of the same dimension.*/
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size_t m1 = mxGetM(prhs[0]);
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size_t n1 = mxGetN(prhs[0]);
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size_t m2 = mxGetM(prhs[1]);
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size_t n2 = mxGetN(prhs[1]);
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if (!mxIsDouble(prhs[0]) || mxIsComplex(prhs[0])
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|| !mxIsDouble(prhs[1]) || mxIsComplex(prhs[1])
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|| m1 != n1 || m2 != n1 || m2 != n2)
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DYN_MEX_FUNC_ERR_MSG_TXT("MJDGGES requires two square real matrices of the same dimension.");
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/* Create a matrix for the return argument */
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plhs[1] = mxCreateDoubleMatrix(n1, n1, mxREAL);
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plhs[2] = mxCreateDoubleMatrix(n1, n1, mxREAL);
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plhs[3] = mxCreateDoubleMatrix(n1, n1, mxREAL);
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plhs[4] = mxCreateDoubleMatrix(1, 1, mxREAL);
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plhs[5] = mxCreateDoubleMatrix(n1, 1, mxCOMPLEX);
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plhs[6] = mxCreateDoubleMatrix(1, 1, mxREAL);
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/* Assign pointers to the various parameters */
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double *s = mxGetPr(plhs[1]);
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double *t = mxGetPr(plhs[2]);
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double *z = mxGetPr(plhs[3]);
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double *sdim = mxGetPr(plhs[4]);
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#if MX_HAS_INTERLEAVED_COMPLEX
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mxComplexDouble *gev = mxGetComplexDoubles(plhs[5]);
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#else
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double *gev_r = mxGetPr(plhs[5]);
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double *gev_i = mxGetPi(plhs[5]);
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#endif
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double *info = mxGetPr(plhs[6]);
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const double *a = mxGetPr(prhs[0]);
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const double *b = mxGetPr(prhs[1]);
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/* set criterium for stable eigenvalues */
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if (nrhs >= 3 && mxGetM(prhs[2]) > 0)
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criterium = *mxGetPr(prhs[2]);
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else
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criterium = 1+1e-6;
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/* set criterium for 0/0 generalized eigenvalues */
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double zhreshold;
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if (nrhs == 4 && mxGetM(prhs[3]) > 0)
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zhreshold = *mxGetPr(prhs[3]);
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else
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zhreshold = 1e-6;
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/* keep a and b intact */
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std::copy_n(a, n1*n1, s);
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std::copy_n(b, n1*n1, t);
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lapack_int i_n = static_cast<lapack_int>(n1);
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auto alpha_r = std::make_unique<double[]>(n1);
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auto alpha_i = std::make_unique<double[]>(n1);
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auto beta = std::make_unique<double[]>(n1);
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lapack_int lwork = 16*i_n+16;
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auto work = std::make_unique<double[]>(lwork);
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auto bwork = std::make_unique<lapack_int[]>(i_n);
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lapack_int i_info, i_sdim;
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#if defined(MATLAB_MEX_FILE) && MATLAB_VERSION < 0x0904
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/* The left Schur vectors (VSL) are normally not computed, since JOBVSL="N".
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But old MKL versions (at least the one shipped with MATLAB R2009b/7.9, which
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is MKL 10.1) are
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buggy, and passing nullptr for VSL leads to a crash. Hence we need to
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allocate space for it.
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The bug seems to be fixed in MATLAB R2010a/7.10 (MKL 10.2), but we use the
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workaround for all versions < R2018a/9.4, since those share the same
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ABI and hence the same executables. */
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auto vsl = std::make_unique<double[]>(n1*n1);
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#endif
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dgges("N", "V", "S", my_criteria, &i_n, s, &i_n, t, &i_n, &i_sdim, alpha_r.get(), alpha_i.get(),
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beta.get(),
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#if defined(MATLAB_MEX_FILE) && MATLAB_VERSION < 0x0904
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vsl.get(),
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#else
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nullptr,
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#endif
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&i_n, z, &i_n, work.get(), &lwork, bwork.get(), &i_info);
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*sdim = static_cast<double>(i_sdim);
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*info = static_cast<double>(i_info);
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for (size_t i = 0; i < n1; i++)
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{
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if (std::abs(alpha_r[i]) > zhreshold || std::abs(beta[i]) > zhreshold)
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#if MX_HAS_INTERLEAVED_COMPLEX
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gev[i].real = alpha_r[i] / beta[i];
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#else
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gev_r[i] = alpha_r[i] / beta[i];
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#endif
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else
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{
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/* the ratio is too close to 0/0;
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returns specific error number only if no other error */
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if (*info == 0)
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*info = -30;
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}
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if (alpha_i[i] == 0.0 && beta[i] == 0.0)
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#if MX_HAS_INTERLEAVED_COMPLEX
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gev[i].imag = 0.0;
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#else
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gev_i[i] = 0.0;
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#endif
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else
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#if MX_HAS_INTERLEAVED_COMPLEX
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gev[i].imag = alpha_i[i] / beta[i];
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#else
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gev_i[i] = alpha_i[i] / beta[i];
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#endif
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}
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plhs[0] = mxCreateDoubleScalar(0);
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}
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