118 lines
3.6 KiB
C++
118 lines
3.6 KiB
C++
/*
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* Oct-file for bringing MATLAB's ordschur function to Octave.
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* Simple wrapper around LAPACK's dtrsen.
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* Only supports real (double precision) decomposition.
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* Only selection of eigenvalues with a boolean vector is supported.
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*
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* Written by Sebastien Villemot <sebastien.villemot@ens.fr>.
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*/
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/*
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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 <octave/oct.h>
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#include <octave/f77-fcn.h>
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extern "C"
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{
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F77_RET_T
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F77_FUNC(dtrsen, DTRSEN) (F77_CONST_CHAR_ARG_DECL, F77_CONST_CHAR_ARG_DECL,
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const octave_idx_type *, const octave_idx_type &,
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double *, const octave_idx_type &, double *, const octave_idx_type &,
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double *, double *, octave_idx_type &, double &, double &, double *,
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const octave_idx_type &, octave_idx_type *,
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const octave_idx_type &, octave_idx_type &);
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}
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DEFUN_DLD(ordschur, args, nargout, "-*- texinfo -*-\n\
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@deftypefn {Loadable Function} [ @var{us}, @var{ts} ] = ordschur (@var{u}, @var{t}, @var{select})\n\
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\n\
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Reorders the real Schur factorization @math{X = U*T*U'} so that selected\n\
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eigenvalues appear in the upper left diagonal blocks of the quasi triangular\n\
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Schur matrix @math{T}. The logical vector @var{select} specifies the selected\n\
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eigenvalues as they appear along @math{T}'s diagonal.\n\
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@end deftypefn\n\
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")
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{
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int nargin = args.length();
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octave_value_list retval;
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if (nargin != 3 || nargout != 2)
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{
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print_usage();
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return retval;
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}
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Matrix U = args(0).matrix_value();
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Matrix T = args(1).matrix_value();
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boolNDArray S = args(2).bool_array_value();
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if (error_state)
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return retval;
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dim_vector dimU = U.dims();
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dim_vector dimT = T.dims();
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octave_idx_type n = dimU(0);
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if (n != dimU(1) || n != dimT(0) || n != dimT(1))
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{
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error("ordschur: input matrices must be square and of same size");
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return retval;
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}
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if (S.nelem() != n)
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{
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error("ordschur: selection vector has wrong size");
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return retval;
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}
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octave_idx_type lwork = n, liwork = n;
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OCTAVE_LOCAL_BUFFER(double, wr, n);
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OCTAVE_LOCAL_BUFFER(double, wi, n);
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OCTAVE_LOCAL_BUFFER(double, work, lwork);
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OCTAVE_LOCAL_BUFFER(octave_idx_type, iwork, liwork);
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octave_idx_type m, info;
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double cond1, cond2;
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OCTAVE_LOCAL_BUFFER(octave_idx_type, S2, n);
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for (int i = 0; i < n; i++)
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S2[i] = S(i);
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F77_XFCN(dtrsen, dtrsen, (F77_CONST_CHAR_ARG("N"), F77_CONST_CHAR_ARG("V"),
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S2, n, T.fortran_vec(), n, U.fortran_vec(), n,
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wr, wi, m, cond1, cond2, work, lwork,
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iwork, liwork, info));
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if (info != 0)
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{
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error("ordschur: dtrsen failed");
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return retval;
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}
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retval(0) = octave_value(U);
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retval(1) = octave_value(T);
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return retval;
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}
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/*
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%!test
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%! A = [1 2 3 -2; 4 5 6 -5 ; 7 8 9 -5; 10 11 12 4 ];
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%! [U, T] = schur(A);
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%! [US, TS] = ordschur(U, T, [ 0 0 1 1 ]);
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%! assert(US*TS*US', A, sqrt(eps))
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*/
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