73 lines
2.5 KiB
C++
73 lines
2.5 KiB
C++
/*
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* Copyright (C) 2010-2011 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 <algorithm> // For std::min()
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#include <dynlapack.h>
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#include "Vector.hh"
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#include "Matrix.hh"
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#include "BlasBindings.hh"
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class QRDecomposition
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{
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private:
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const size_t rows, cols, mind;
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//! Number of columns of the matrix to be left-multiplied by Q
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const size_t cols2;
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lapack_int lwork, lwork2;
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double *work, *work2, *tau;
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public:
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/*!
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\todo Replace heuristic choice for workspace size by a query to determine the optimal size
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\param[in] rows_arg Number of rows of the matrix to decompose
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\param[in] cols_arg Number of columns of the matrix to decompose
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\param[in] cols2_arg Number of columns of the matrix to be multiplied by Q
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*/
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QRDecomposition(size_t rows_arg, size_t cols_arg, size_t cols2_arg);
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virtual ~QRDecomposition();
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//! Performs the QR decomposition of a matrix, and left-multiplies another matrix by Q
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/*!
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\param[in,out] A On input, the matrix to be decomposed. On output, equals to the output of dgeqrf
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\param[in] trans Specifies whether Q should be transposed before the multiplication, either "T" or "N"
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\param[in,out] C The matrix to be left-multiplied by Q, modified in place
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*/
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template<class Mat1, class Mat2>
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void computeAndLeftMultByQ(Mat1 &A, const char *trans, Mat2 &C);
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};
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template<class Mat1, class Mat2>
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void
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QRDecomposition::computeAndLeftMultByQ(Mat1 &A, const char *trans, Mat2 &C)
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{
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assert(A.getRows() == rows && A.getCols() == cols);
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assert(C.getRows() == rows && C.getCols() == cols2);
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lapack_int m = rows, n = cols, lda = A.getLd();
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lapack_int info;
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dgeqrf(&m, &n, A.getData(), &lda, tau, work, &lwork, &info);
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assert(info == 0);
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n = cols2;
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lapack_int k = mind, ldc = C.getLd();
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dormqr("L", trans, &m, &n, &k, A.getData(), &lda, tau, C.getData(), &ldc,
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work2, &lwork2, &info);
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assert(info == 0);
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}
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