dynare/mex/sources/mjdgges/mjdgges.c

/*
 * Copyright (C) 2006-2017 Dynare Team
 *
 * This file is part of Dynare.
 *
 * Dynare is free software: you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 *
 * Dynare is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU General Public License for more details.
 *
 * You should have received a copy of the GNU General Public License
 * along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
 */

#include <string.h>
#include <math.h>

#include <dynmex.h>
#include <dynlapack.h>

double criterium;

lapack_int
my_criteria(const double *alphar, const double *alphai, const double *beta)
{
  return ((*alphar **alphar + *alphai **alphai) < criterium **beta **beta);
}

void
mjdgges(double *a, double *b, double *z, unsigned int n, double *sdim, double *alphar, double *alphai, double *beta, double *info)
{
  lapack_int i_n, i_info, i_sdim, lwork;
  double *work;
  double *junk;
  lapack_int *bwork;

  i_n = (lapack_int) n;
  lwork = 16*i_n+16;
  work = mxCalloc(lwork, sizeof(double));
  bwork = mxCalloc(i_n, sizeof(lapack_int));
  /* made necessary by bug in Lapack */
  junk = mxCalloc(i_n*i_n, sizeof(double));

  dgges("N", "V", "S", my_criteria, &i_n, a, &i_n, b, &i_n, &i_sdim, alphar, alphai, beta, junk, &i_n, z, &i_n, work, &lwork, bwork, &i_info);

  *sdim = i_sdim;
  *info = i_info;
}

/* MATLAB interface */
void
mexFunction(int nlhs, mxArray *plhs[],
            int nrhs, const mxArray *prhs[])

{
  unsigned int m1, n1, m2, n2;
  double *s, *t, *z, *sdim, *info, *a, *b;

  /* Check for proper number of arguments */

  if (nrhs < 2 || nrhs > 4 || nlhs == 0 || nlhs > 7)
    DYN_MEX_FUNC_ERR_MSG_TXT("MJDGGES: takes 2, 3 or 4 input arguments and between 1 and 7 output arguments.");

  /* Check that A and B are real matrices of the same dimension.*/

  m1 = mxGetM(prhs[0]);
  n1 = mxGetN(prhs[0]);
  m2 = mxGetM(prhs[1]);
  n2 = mxGetN(prhs[1]);
  if (!mxIsDouble(prhs[0]) || mxIsComplex(prhs[0])
      || !mxIsDouble(prhs[1]) || mxIsComplex(prhs[1])
      || (m1 != n1) || (m2 != n1) || (m2 != n2))
    DYN_MEX_FUNC_ERR_MSG_TXT("MJDGGES requires two square real matrices of the same dimension.");

  /* Create a matrix for the return argument */
  plhs[1] = mxCreateDoubleMatrix(n1, n1, mxREAL);
  plhs[2] = mxCreateDoubleMatrix(n1, n1, mxREAL);
  plhs[3] = mxCreateDoubleMatrix(n1, n1, mxREAL);
  plhs[4] = mxCreateDoubleMatrix(1, 1, mxREAL);
  plhs[5] = mxCreateDoubleMatrix(n1, 1, mxCOMPLEX);
  plhs[6] = mxCreateDoubleMatrix(1, 1, mxREAL);

  /* Assign pointers to the various parameters */
  s = mxGetPr(plhs[1]);
  t = mxGetPr(plhs[2]);
  z = mxGetPr(plhs[3]);
  sdim = mxGetPr(plhs[4]);
#if defined(MATLAB_MEX_FILE) && MATLAB_VERSION >= 0x0904
  mxComplexDouble *gev = mxGetComplexDoubles(plhs[5]);
#else
  double *gev_r = mxGetPr(plhs[5]);
  double *gev_i = mxGetPi(plhs[5]);
#endif
  info = mxGetPr(plhs[6]);

  a = mxGetPr(prhs[0]);
  b = mxGetPr(prhs[1]);

  /* set criterium for stable eigenvalues */
  if (nrhs >= 3 && mxGetM(prhs[2]) > 0)
    {
      criterium = *mxGetPr(prhs[2]);
    }
  else
    {
      criterium = 1+1e-6;
    }

  /* set criterium for 0/0 generalized eigenvalues */
  double zhreshold;
  if (nrhs == 4 && mxGetM(prhs[3]) > 0)
    {
      zhreshold = *mxGetPr(prhs[3]);
    }
  else
    {
      zhreshold = 1e-6;
    }

  /* keep a and b intact */
  memcpy(s, a, sizeof(double)*n1*n1);
  memcpy(t, b, sizeof(double)*n1*n1);

  double *alpha_r = mxCalloc(n1, sizeof(double));
  double *alpha_i = mxCalloc(n1, sizeof(double));
  double *beta = mxCalloc(n1, sizeof(double));

  mjdgges(s, t, z, n1, sdim, alpha_r, alpha_i, beta, info);

  for (int i = 0; i < n1; i++)
    {
      if ((fabs(alpha_r[i]) > zhreshold) || (fabs(beta[i]) > zhreshold))
#if defined(MATLAB_MEX_FILE) && MATLAB_VERSION >= 0x0904
        gev[i].real = alpha_r[i] / beta[i];
#else
        gev_r[i] = alpha_r[i] / beta[i];
#endif
      else
        {
          /* the ratio is too close to 0/0;
             returns specific error number only if no other error */
          if (*info == 0)
            *info = -30;
        }
      if (alpha_i[i] == 0.0 && beta[i] == 0.0)
#if defined(MATLAB_MEX_FILE) && MATLAB_VERSION >= 0x0904
        gev[i].imag = 0.0;
#else
        gev_i[i] = 0.0;
#endif
      else
#if defined(MATLAB_MEX_FILE) && MATLAB_VERSION >= 0x0904
        gev[i].imag = alpha_i[i] / beta[i];
#else
        gev_i[i] = alpha_i[i] / beta[i];
#endif
    }

  plhs[0] = mxCreateDoubleScalar(0);
}

/*
  07/30/03 MJ added user set criterium for stable eigenvalues
  corrected error messages in mexfunction()
*/