115 lines
3.4 KiB
C++
115 lines
3.4 KiB
C++
/*
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* Copyright © 2004-2011 Ondra Kamenik
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* Copyright © 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 "SymSchurDecomp.hh"
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#include "SylvException.hh"
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#include <dynlapack.h>
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#include <algorithm>
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#include <cmath>
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#include <memory>
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SymSchurDecomp::SymSchurDecomp(const ConstGeneralMatrix &mata)
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: lambda(mata.nrows()), q(mata.nrows())
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{
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// check mata is square
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if (mata.nrows() != mata.ncols())
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throw SYLV_MES_EXCEPTION("Matrix is not square in SymSchurDecomp constructor");
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// prepare for dsyevr
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lapack_int n = mata.nrows();
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GeneralMatrix tmpa(mata);
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double *a = tmpa.base();
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lapack_int lda = tmpa.getLD();
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double dum;
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double *vl = &dum;
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double *vu = &dum;
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lapack_int idum;
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lapack_int *il = &idum;
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lapack_int *iu = &idum;
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double abstol = 0.0;
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lapack_int m = n;
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double *w = lambda.base();
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double *z = q.base();
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lapack_int ldz = q.getLD();
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auto isuppz = std::make_unique<lapack_int[]>(2*std::max(1, static_cast<int>(m)));
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double tmpwork;
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lapack_int lwork = -1;
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lapack_int tmpiwork;
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lapack_int liwork = -1;
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lapack_int info;
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// query for lwork and liwork
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dsyevr("V", "A", "U", &n, a, &lda, vl, vu, il, iu, &abstol,
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&m, w, z, &ldz, isuppz.get(), &tmpwork, &lwork, &tmpiwork, &liwork, &info);
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lwork = static_cast<lapack_int>(tmpwork);
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liwork = tmpiwork;
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// allocate work arrays
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auto work = std::make_unique<double[]>(lwork);
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auto iwork = std::make_unique<lapack_int[]>(liwork);
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// do the calculation
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dsyevr("V", "A", "U", &n, a, &lda, vl, vu, il, iu, &abstol,
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&m, w, z, &ldz, isuppz.get(), work.get(), &lwork, iwork.get(), &liwork, &info);
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if (info < 0)
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throw SYLV_MES_EXCEPTION("Internal error in SymSchurDecomp constructor");
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if (info > 0)
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throw SYLV_MES_EXCEPTION("Internal LAPACK error in DSYEVR");
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}
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void
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SymSchurDecomp::getFactor(GeneralMatrix &f) const
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{
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if (f.nrows() != q.nrows())
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throw SYLV_MES_EXCEPTION("Wrong dimension of factor matrix in SymSchurDecomp::getFactor");
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if (f.nrows() != f.ncols())
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throw SYLV_MES_EXCEPTION("Factor matrix is not square in SymSchurDecomp::getFactor");
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if (!isPositiveSemidefinite())
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throw SYLV_MES_EXCEPTION("Symmetric decomposition not positive semidefinite in SymSchurDecomp::getFactor");
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f = q;
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for (int i = 0; i < f.ncols(); i++)
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{
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Vector fi{f.getCol(i)};
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fi.mult(std::sqrt(lambda[i]));
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}
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}
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/* LAPACK says that eigenvalues are ordered in ascending order, but we
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do not rely on it */
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bool
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SymSchurDecomp::isPositiveSemidefinite() const
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{
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for (int i = 0; i < lambda.length(); i++)
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if (lambda[i] < 0)
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return false;
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return true;
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}
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void
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SymSchurDecomp::correctDefinitness(double tol)
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{
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for (int i = 0; i < lambda.length(); i++)
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if (lambda[i] < 0 && lambda[i] > -tol)
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lambda[i] = 0.0;
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}
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