116 lines
3.4 KiB
C++
116 lines
3.4 KiB
C++
/*
|
|
* Copyright © 2004-2011 Ondra Kamenik
|
|
* Copyright © 2019-2023 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 <https://www.gnu.org/licenses/>.
|
|
*/
|
|
|
|
#include "SymSchurDecomp.hh"
|
|
#include "SylvException.hh"
|
|
|
|
#include <dynlapack.h>
|
|
|
|
#include <algorithm>
|
|
#include <cmath>
|
|
#include <vector>
|
|
|
|
SymSchurDecomp::SymSchurDecomp(const ConstGeneralMatrix& mata) :
|
|
lambda(mata.nrows()), q(mata.nrows())
|
|
{
|
|
// check mata is square
|
|
if (mata.nrows() != mata.ncols())
|
|
throw SYLV_MES_EXCEPTION("Matrix is not square in SymSchurDecomp constructor");
|
|
|
|
// prepare for dsyevr
|
|
lapack_int n = mata.nrows();
|
|
GeneralMatrix tmpa(mata);
|
|
double* a = tmpa.base();
|
|
lapack_int lda = tmpa.getLD();
|
|
double dum;
|
|
double* vl = &dum;
|
|
double* vu = &dum;
|
|
lapack_int idum;
|
|
lapack_int* il = &idum;
|
|
lapack_int* iu = &idum;
|
|
double abstol = 0.0;
|
|
lapack_int m = n;
|
|
double* w = lambda.base();
|
|
double* z = q.base();
|
|
lapack_int ldz = q.getLD();
|
|
std::vector<lapack_int> isuppz(2 * std::max(1, static_cast<int>(m)));
|
|
double tmpwork;
|
|
lapack_int lwork = -1;
|
|
lapack_int tmpiwork;
|
|
lapack_int liwork = -1;
|
|
lapack_int info;
|
|
|
|
// query for lwork and liwork
|
|
dsyevr("V", "A", "U", &n, a, &lda, vl, vu, il, iu, &abstol, &m, w, z, &ldz, isuppz.data(),
|
|
&tmpwork, &lwork, &tmpiwork, &liwork, &info);
|
|
lwork = static_cast<lapack_int>(tmpwork);
|
|
liwork = tmpiwork;
|
|
// allocate work arrays
|
|
std::vector<double> work(lwork);
|
|
std::vector<lapack_int> iwork(liwork);
|
|
|
|
// do the calculation
|
|
dsyevr("V", "A", "U", &n, a, &lda, vl, vu, il, iu, &abstol, &m, w, z, &ldz, isuppz.data(),
|
|
work.data(), &lwork, iwork.data(), &liwork, &info);
|
|
|
|
if (info < 0)
|
|
throw SYLV_MES_EXCEPTION("Internal error in SymSchurDecomp constructor");
|
|
if (info > 0)
|
|
throw SYLV_MES_EXCEPTION("Internal LAPACK error in DSYEVR");
|
|
}
|
|
|
|
void
|
|
SymSchurDecomp::getFactor(GeneralMatrix& f) const
|
|
{
|
|
if (f.nrows() != q.nrows())
|
|
throw SYLV_MES_EXCEPTION("Wrong dimension of factor matrix in SymSchurDecomp::getFactor");
|
|
if (f.nrows() != f.ncols())
|
|
throw SYLV_MES_EXCEPTION("Factor matrix is not square in SymSchurDecomp::getFactor");
|
|
if (!isPositiveSemidefinite())
|
|
throw SYLV_MES_EXCEPTION(
|
|
"Symmetric decomposition not positive semidefinite in SymSchurDecomp::getFactor");
|
|
|
|
f = q;
|
|
for (int i = 0; i < f.ncols(); i++)
|
|
{
|
|
Vector fi {f.getCol(i)};
|
|
fi.mult(std::sqrt(lambda[i]));
|
|
}
|
|
}
|
|
|
|
/* LAPACK says that eigenvalues are ordered in ascending order, but we
|
|
do not rely on it */
|
|
bool
|
|
SymSchurDecomp::isPositiveSemidefinite() const
|
|
{
|
|
for (int i = 0; i < lambda.length(); i++)
|
|
if (lambda[i] < 0)
|
|
return false;
|
|
return true;
|
|
}
|
|
|
|
void
|
|
SymSchurDecomp::correctDefinitness(double tol)
|
|
{
|
|
for (int i = 0; i < lambda.length(); i++)
|
|
if (lambda[i] < 0 && lambda[i] > -tol)
|
|
lambda[i] = 0.0;
|
|
}
|