557 lines
14 KiB
C++
557 lines
14 KiB
C++
/* $Header: /var/lib/cvs/dynare_cpp/sylv/cc/GeneralMatrix.cpp,v 1.4 2004/11/24 20:41:59 kamenik Exp $ */
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/* Tag $Name: $ */
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#include "SylvException.h"
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#include "GeneralMatrix.h"
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#include <dynblas.h>
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#include <dynlapack.h>
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#include <cstdio>
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#include <cstring>
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#include <cstdlib>
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#include <cmath>
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#include <limits>
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int GeneralMatrix::md_length = 32;
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GeneralMatrix::GeneralMatrix(const GeneralMatrix& m)
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: data(m.rows*m.cols), rows(m.rows), cols(m.cols), ld(m.rows)
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{
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copy(m);
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}
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GeneralMatrix::GeneralMatrix(const ConstGeneralMatrix& m)
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: data(m.rows*m.cols), rows(m.rows), cols(m.cols), ld(m.rows)
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{
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copy(m);
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}
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GeneralMatrix::GeneralMatrix(const GeneralMatrix& m, const char* dummy)
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: data(m.rows*m.cols), rows(m.cols), cols(m.rows), ld(m.cols)
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{
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for (int i = 0; i < m.rows; i++)
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for (int j = 0; j < m.cols; j++)
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get(j,i) = m.get(i,j);
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}
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GeneralMatrix::GeneralMatrix(const ConstGeneralMatrix& m, const char* dummy)
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: data(m.rows*m.cols), rows(m.cols), cols(m.rows), ld(m.cols)
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{
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for (int i = 0; i < m.rows; i++)
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for (int j = 0; j < m.cols; j++)
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get(j,i) = m.get(i,j);
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}
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GeneralMatrix::GeneralMatrix(const GeneralMatrix& m, int i, int j, int nrows, int ncols)
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: data(nrows*ncols), rows(nrows), cols(ncols), ld(nrows)
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{
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copy(m, i, j);
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}
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GeneralMatrix::GeneralMatrix(GeneralMatrix& m, int i, int j, int nrows, int ncols)
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: data(m.base()+m.ld*j+i, m.ld*(ncols-1)+nrows), rows(nrows), cols(ncols), ld(m.ld)
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{}
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GeneralMatrix::GeneralMatrix(const GeneralMatrix& a, const GeneralMatrix& b)
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: data(a.rows*b.cols), rows(a.rows), cols(b.cols), ld(a.rows)
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{
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gemm("N", a, "N", b, 1.0, 0.0);
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}
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GeneralMatrix::GeneralMatrix(const GeneralMatrix& a, const GeneralMatrix& b, const char* dum)
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: data(a.rows*b.rows), rows(a.rows), cols(b.rows), ld(a.rows)
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{
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gemm("N", a, "T", b, 1.0, 0.0);
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}
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GeneralMatrix::GeneralMatrix(const GeneralMatrix& a, const char* dum, const GeneralMatrix& b)
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: data(a.cols*b.cols), rows(a.cols), cols(b.cols), ld(a.cols)
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{
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gemm("T", a, "N", b, 1.0, 0.0);
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}
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GeneralMatrix::GeneralMatrix(const GeneralMatrix& a, const char* dum1,
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const GeneralMatrix& b, const char* dum2)
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: data(a.cols*b.rows), rows(a.cols), cols(b.rows), ld(a.cols)
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{
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gemm("T", a, "T", b, 1.0, 0.0);
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}
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GeneralMatrix::~GeneralMatrix()
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{
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}
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void GeneralMatrix::place(const ConstGeneralMatrix& m, int i, int j)
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{
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if (i + m.numRows() > numRows() ||
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j + m.numCols() > numCols())
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throw SYLV_MES_EXCEPTION("Bad submatrix placement, matrix dimensions exceeded.");
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GeneralMatrix tmpsub(*this, i, j, m.numRows(), m.numCols());
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tmpsub.copy(m);
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}
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void GeneralMatrix::mult(const ConstGeneralMatrix& a, const ConstGeneralMatrix& b)
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{
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gemm("N", a, "N", b, 1.0, 0.0);
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}
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void GeneralMatrix::multAndAdd(const ConstGeneralMatrix& a, const ConstGeneralMatrix& b,
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double mult)
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{
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gemm("N", a, "N", b, mult, 1.0);
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}
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void GeneralMatrix::multAndAdd(const ConstGeneralMatrix& a, const ConstGeneralMatrix& b,
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const char* dum, double mult)
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{
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gemm("N", a, "T", b, mult, 1.0);
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}
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void GeneralMatrix::multAndAdd(const ConstGeneralMatrix& a, const char* dum,
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const ConstGeneralMatrix& b, double mult)
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{
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gemm("T", a, "N", b, mult, 1.0);
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}
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void GeneralMatrix::multAndAdd(const ConstGeneralMatrix& a, const char* dum1,
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const ConstGeneralMatrix& b, const char* dum2, double mult)
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{
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gemm("T", a, "T", b, mult, 1.0);
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}
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void GeneralMatrix::addOuter(const ConstVector& a, double mult)
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{
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if (numRows() != numCols())
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throw SYLV_MES_EXCEPTION("Matrix is not square in GeneralMatrix::addOuter.");
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if (numRows() != a.length())
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throw SYLV_MES_EXCEPTION("Wrong length of a vector in GeneralMatrix::addOuter.");
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// since BLAS dsyr (symmetric rank 1 update) assumes symmetricity, we do this manually
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for (int i = 0; i < numRows(); i++)
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for (int j = i; j < numRows(); j++) {
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double s = mult*a[i]*a[j];
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get(i,j) = get(i,j) + s;
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if (i != j)
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get(j,i) = get(j,i) + s;
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}
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}
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void GeneralMatrix::multRight(const ConstGeneralMatrix& m)
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{
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gemm_partial_right("N", m, 1.0, 0.0);
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}
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void GeneralMatrix::multLeft(const ConstGeneralMatrix& m)
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{
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gemm_partial_left("N", m, 1.0, 0.0);
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}
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void GeneralMatrix::multRightTrans(const ConstGeneralMatrix& m)
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{
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gemm_partial_right("T", m, 1.0, 0.0);
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}
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void GeneralMatrix::multLeftTrans(const ConstGeneralMatrix& m)
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{
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gemm_partial_left("T", m, 1.0, 0.0);
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}
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// here we must be careful for ld
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void GeneralMatrix::zeros()
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{
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if (ld == rows)
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data.zeros();
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else {
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for (int i = 0; i < rows; i++)
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for (int j = 0; j < cols; j++)
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get(i,j) = 0;
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}
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}
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void GeneralMatrix::unit()
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{
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for (int i = 0; i < rows; i++)
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for (int j = 0; j < cols; j++)
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if (i == j)
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get(i,j) = 1.0;
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else
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get(i,j) = 0.0;
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}
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void GeneralMatrix::nans()
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{
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for (int i = 0; i < rows; i++)
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for (int j = 0; j < cols; j++)
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get(i,j) = std::numeric_limits<double>::quiet_NaN();
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}
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void GeneralMatrix::infs()
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{
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for (int i = 0; i < rows; i++)
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for (int j = 0; j < cols; j++)
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get(i,j) = std::numeric_limits<double>::infinity();
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}
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// here we must be careful for ld
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void GeneralMatrix::mult(double a)
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{
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if (ld == rows)
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data.mult(a);
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else {
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for (int i = 0; i < rows; i++)
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for (int j = 0; j < cols; j++)
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get(i,j) *= a;
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}
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}
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// here we must be careful for ld
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void GeneralMatrix::add(double a, const ConstGeneralMatrix& m)
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{
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if (m.numRows() != rows || m.numCols() != cols)
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throw SYLV_MES_EXCEPTION("Matrix has different size in GeneralMatrix::add.");
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if (ld == rows && m.ld == m.rows)
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data.add(a, m.data);
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else {
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for (int i = 0; i < rows; i++)
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for (int j = 0; j < cols; j++)
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get(i,j) += a*m.get(i,j);
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}
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}
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void GeneralMatrix::add(double a, const ConstGeneralMatrix& m, const char* dum)
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{
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if (m.numRows() != cols || m.numCols() != rows)
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throw SYLV_MES_EXCEPTION("Matrix has different size in GeneralMatrix::add.");
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for (int i = 0; i < rows; i++)
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for (int j = 0; j < cols; j++)
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get(i,j) += a*m.get(j,i);
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}
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void GeneralMatrix::copy(const ConstGeneralMatrix& m, int ioff, int joff)
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{
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for (int i = 0; i < rows; i++)
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for (int j = 0; j < cols; j++)
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get(i,j) = m.get(i+ioff,j+joff);
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}
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void GeneralMatrix::gemm(const char* transa, const ConstGeneralMatrix& a,
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const char* transb, const ConstGeneralMatrix& b,
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double alpha, double beta)
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{
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int opa_rows = a.numRows();
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int opa_cols = a.numCols();
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if (!strcmp(transa, "T")) {
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opa_rows = a.numCols();
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opa_cols = a.numRows();
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}
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int opb_rows = b.numRows();
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int opb_cols = b.numCols();
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if (!strcmp(transb, "T")) {
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opb_rows = b.numCols();
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opb_cols = b.numRows();
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}
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if (opa_rows != numRows() ||
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opb_cols != numCols() ||
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opa_cols != opb_rows) {
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throw SYLV_MES_EXCEPTION("Wrong dimensions for matrix multiplication.");
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}
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blas_int m = opa_rows;
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blas_int n = opb_cols;
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blas_int k = opa_cols;
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blas_int lda = a.ld;
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blas_int ldb = b.ld;
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blas_int ldc = ld;
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if (lda > 0 && ldb > 0 && ldc > 0) {
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dgemm(transa, transb, &m, &n, &k, &alpha, a.data.base(), &lda,
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b.data.base(), &ldb, &beta, data.base(), &ldc);
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} else if (numRows()*numCols() > 0) {
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if (beta == 0.0)
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zeros();
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else
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mult(beta);
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}
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}
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void GeneralMatrix::gemm_partial_left(const char* trans, const ConstGeneralMatrix& m,
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double alpha, double beta)
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{
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int icol;
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for (icol = 0; icol + md_length < cols; icol += md_length) {
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GeneralMatrix incopy((const GeneralMatrix&)*this, 0, icol, rows, md_length);
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GeneralMatrix inplace((GeneralMatrix&)*this, 0, icol, rows, md_length);
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inplace.gemm(trans, m, "N", ConstGeneralMatrix(incopy), alpha, beta);
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}
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if (cols > icol) {
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GeneralMatrix incopy((const GeneralMatrix&)*this, 0, icol, rows, cols - icol);
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GeneralMatrix inplace((GeneralMatrix&)*this, 0, icol, rows, cols - icol);
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inplace.gemm(trans, m, "N", ConstGeneralMatrix(incopy), alpha, beta);
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}
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}
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void GeneralMatrix::gemm_partial_right(const char* trans, const ConstGeneralMatrix& m,
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double alpha, double beta)
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{
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int irow;
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for (irow = 0; irow + md_length < rows; irow += md_length) {
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GeneralMatrix incopy((const GeneralMatrix&)*this, irow, 0, md_length, cols);
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GeneralMatrix inplace((GeneralMatrix&)*this, irow, 0, md_length, cols);
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inplace.gemm("N", ConstGeneralMatrix(incopy), trans, m, alpha, beta);
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}
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if (rows > irow) {
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GeneralMatrix incopy((const GeneralMatrix&)*this, irow, 0, rows - irow, cols);
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GeneralMatrix inplace((GeneralMatrix&)*this, irow, 0, rows - irow, cols);
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inplace.gemm("N", ConstGeneralMatrix(incopy), trans, m, alpha, beta);
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}
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}
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ConstGeneralMatrix::ConstGeneralMatrix(const GeneralMatrix& m, int i, int j, int nrows, int ncols)
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: data(m.getData(), j*m.getLD()+i, (ncols-1)*m.getLD()+nrows), rows(nrows), cols(ncols), ld(m.getLD())
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{
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// can check that the submatirx is fully in the matrix
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}
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ConstGeneralMatrix::ConstGeneralMatrix(const ConstGeneralMatrix& m, int i, int j, int nrows, int ncols)
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: data(m.getData(), j*m.getLD()+i, (ncols-1)*m.getLD()+nrows), rows(nrows), cols(ncols), ld(m.getLD())
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{
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// can check that the submatirx is fully in the matrix
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}
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ConstGeneralMatrix::ConstGeneralMatrix(const GeneralMatrix& m)
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: data(m.data), rows(m.rows), cols(m.cols), ld(m.ld) {}
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double ConstGeneralMatrix::getNormInf() const
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{
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double norm = 0.0;
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for (int i = 0; i < numRows(); i++) {
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ConstVector rowi(data.base()+i, ld, cols);
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double normi = rowi.getNorm1();
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if (norm < normi)
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norm = normi;
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}
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return norm;
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}
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double ConstGeneralMatrix::getNorm1() const
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{
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double norm = 0.0;
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for (int j = 0; j < numCols(); j++) {
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ConstVector colj(data.base()+ld*j, 1, rows);
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double normj = colj.getNorm1();
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if (norm < normj)
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norm = normj;
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}
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return norm;
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}
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void ConstGeneralMatrix::multVec(double a, Vector& x, double b, const ConstVector& d) const
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{
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if (x.length() != rows || cols != d.length()) {
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throw SYLV_MES_EXCEPTION("Wrong dimensions for vector multiply.");
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}
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if (rows > 0) {
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blas_int mm = rows;
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blas_int nn = cols;
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double alpha = b;
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blas_int lda = ld;
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blas_int incx = d.skip();
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double beta = a;
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blas_int incy = x.skip();
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dgemv("N", &mm, &nn, &alpha, data.base(), &lda, d.base(), &incx,
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&beta, x.base(), &incy);
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}
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}
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void ConstGeneralMatrix::multVecTrans(double a, Vector& x, double b,
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const ConstVector& d) const
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{
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if (x.length() != cols || rows != d.length()) {
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throw SYLV_MES_EXCEPTION("Wrong dimensions for vector multiply.");
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}
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if (rows > 0) {
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blas_int mm = rows;
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blas_int nn = cols;
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double alpha = b;
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blas_int lda = rows;
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blas_int incx = d.skip();
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double beta = a;
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blas_int incy = x.skip();
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dgemv("T", &mm, &nn, &alpha, data.base(), &lda, d.base(), &incx,
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&beta, x.base(), &incy);
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}
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}
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/* m = inv(this)*m */
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void ConstGeneralMatrix::multInvLeft(const char* trans, int mrows, int mcols, int mld, double* d) const
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{
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if (rows != cols) {
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throw SYLV_MES_EXCEPTION("The matrix is not square for inversion.");
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}
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if (cols != mrows) {
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throw SYLV_MES_EXCEPTION("Wrong dimensions for matrix inverse mutliply.");
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}
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if (rows > 0) {
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GeneralMatrix inv(*this);
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lapack_int* ipiv = new lapack_int[rows];
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lapack_int info;
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lapack_int rows2 = rows, mcols2 = mcols, mld2 = mld;
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dgetrf(&rows2, &rows2, inv.getData().base(), &rows2, ipiv, &info);
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dgetrs(trans, &rows2, &mcols2, inv.base(), &rows2, ipiv, d,
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&mld2, &info);
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delete [] ipiv;
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}
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}
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/* m = inv(this)*m */
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void ConstGeneralMatrix::multInvLeft(GeneralMatrix& m) const
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{
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multInvLeft("N", m.numRows(), m.numCols(), m.getLD(), m.getData().base());
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}
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/* m = inv(this')*m */
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void ConstGeneralMatrix::multInvLeftTrans(GeneralMatrix& m) const
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{
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multInvLeft("T", m.numRows(), m.numCols(), m.getLD(), m.getData().base());
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}
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/* d = inv(this)*d */
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void ConstGeneralMatrix::multInvLeft(Vector& d) const
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{
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if (d.skip() != 1) {
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throw SYLV_MES_EXCEPTION("Skip!=1 not implemented in ConstGeneralMatrix::multInvLeft(Vector&)");
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}
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multInvLeft("N", d.length(), 1, d.length(), d.base());
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}
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/* d = inv(this')*d */
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void ConstGeneralMatrix::multInvLeftTrans(Vector& d) const
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{
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if (d.skip() != 1) {
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throw SYLV_MES_EXCEPTION("Skip!=1 not implemented in ConstGeneralMatrix::multInvLeft(Vector&)");
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}
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multInvLeft("T", d.length(), 1, d.length(), d.base());
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}
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bool ConstGeneralMatrix::isFinite() const
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{
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for (int i = 0; i < numRows(); i++)
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for (int j = 0; j < numCols(); j++)
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if (! std::isfinite(get(i,j)))
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return false;
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return true;
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}
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bool ConstGeneralMatrix::isZero() const
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{
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for (int i = 0; i < numRows(); i++)
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for (int j = 0; j < numCols(); j++)
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if (get(i,j) != 0.0)
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return false;
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return true;
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}
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void ConstGeneralMatrix::print() const
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{
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printf("rows=%d, cols=%d\n",rows, cols);
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for (int i = 0; i < rows; i++) {
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printf("row %d:\n",i);
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for (int j = 0; j < cols; j++) {
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printf("%6.3g ",get(i,j));
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}
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printf("\n");
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}
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}
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void SVDDecomp::construct(const GeneralMatrix& A)
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{
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// quick exit if empty matrix
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if (minmn == 0) {
|
|
U.unit();
|
|
VT.unit();
|
|
conv = true;
|
|
return;
|
|
}
|
|
|
|
// make copy of the matrix
|
|
GeneralMatrix AA(A);
|
|
|
|
lapack_int m = AA.numRows();
|
|
lapack_int n = AA.numCols();
|
|
double* a = AA.base();
|
|
lapack_int lda = AA.getLD();
|
|
double* s = sigma.base();
|
|
double* u = U.base();
|
|
lapack_int ldu = U.getLD();
|
|
double* vt = VT.base();
|
|
lapack_int ldvt = VT.getLD();
|
|
double tmpwork;
|
|
lapack_int lwork = -1;
|
|
lapack_int info;
|
|
|
|
lapack_int* iwork = new lapack_int[8*minmn];
|
|
// query for optimal lwork
|
|
dgesdd("A", &m, &n, a, &lda, s, u, &ldu, vt, &ldvt, &tmpwork,
|
|
&lwork, iwork, &info);
|
|
lwork = (lapack_int)tmpwork;
|
|
Vector work(lwork);
|
|
// do the decomposition
|
|
dgesdd("A", &m, &n, a, &lda, s, u, &ldu, vt, &ldvt, work.base(),
|
|
&lwork, iwork, &info);
|
|
delete [] iwork;
|
|
if (info < 0)
|
|
throw SYLV_MES_EXCEPTION("Internal error in SVDDecomp constructor");
|
|
if (info == 0)
|
|
conv = true;
|
|
}
|
|
|
|
void SVDDecomp::solve(const GeneralMatrix& B, GeneralMatrix& X) const
|
|
{
|
|
if (B.numRows() != U.numRows())
|
|
throw SYLV_MES_EXCEPTION("Incompatible number of rows ");
|
|
|
|
// reciprocal condition number for determination of zeros in the
|
|
// end of sigma
|
|
double rcond = 1e-13;
|
|
|
|
// solve U: B = U^T*B
|
|
GeneralMatrix UTB(U, "trans", B);
|
|
// determine nz=number of zeros in the end of sigma
|
|
int nz = 0;
|
|
while (nz < minmn && sigma[minmn-1-nz] < rcond*sigma[0])
|
|
nz++;
|
|
// take relevant B for sigma inversion
|
|
int m = U.numRows();
|
|
int n = VT.numCols();
|
|
GeneralMatrix Bprime(UTB, m-minmn, 0, minmn-nz, B.numCols());
|
|
// solve sigma
|
|
for (int i = 0; i < minmn-nz; i++)
|
|
Vector(i, Bprime).mult(1.0/sigma[i]);
|
|
// solve VT
|
|
X.zeros();
|
|
//- copy Bprime to right place of X
|
|
for (int i = 0; i < minmn-nz; i++)
|
|
Vector(n-minmn+i, X) = ConstVector(i, Bprime);
|
|
//- multiply with VT
|
|
X.multLeftTrans(VT);
|
|
}
|