120 lines
3.8 KiB
C++
120 lines
3.8 KiB
C++
/*
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* Copyright (C) 2010-2017 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 <dynlapack.h>
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#include "Vector.hh"
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#include "Matrix.hh"
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class GeneralizedSchurDecomposition
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{
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private:
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const size_t n;
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const double criterium;
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lapack_int lwork;
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double *alphar, *alphai, *beta, *vsl, *work;
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lapack_int *bwork;
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static double criterium_static;
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static lapack_int selctg(const double *alphar, const double *alphai, const double *beta);
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public:
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class GSDException
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{
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public:
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const lapack_int info, n;
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GSDException(lapack_int info_arg, lapack_int n_arg) : info(info_arg), n(n_arg)
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{
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};
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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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GeneralizedSchurDecomposition(size_t n_arg, double criterium_arg);
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virtual
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~GeneralizedSchurDecomposition();
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//! \todo Add a lock around the modification of criterium_static for making it thread-safe
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template<class Mat1, class Mat2, class Mat3>
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void compute(Mat1 &S, Mat2 &T, Mat3 &Z, size_t &sdim) throw (GSDException);
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template<class Mat1, class Mat2, class Mat3, class Mat4, class Mat5>
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/*!
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\param[out] sdim Number of non-explosive generalized eigenvalues
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*/
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void compute(const Mat1 &D, const Mat2 &E, Mat3 &S, Mat4 &T, Mat5 &Z, size_t &sdim) throw (GSDException);
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template<class Vec1, class Vec2>
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void getGeneralizedEigenvalues(Vec1 &eig_real, Vec2 &eig_cmplx);
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};
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std::ostream &operator<<(std::ostream &out, const GeneralizedSchurDecomposition::GSDException &e);
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template<class Mat1, class Mat2, class Mat3>
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void
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GeneralizedSchurDecomposition::compute(Mat1 &S, Mat2 &T, Mat3 &Z, size_t &sdim) throw (GSDException)
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{
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assert(S.getRows() == n && S.getCols() == n
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&& T.getRows() == n && T.getCols() == n
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&& Z.getRows() == n && Z.getCols() == n);
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lapack_int n2 = n;
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lapack_int info, sdim2;
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lapack_int lds = S.getLd(), ldt = T.getLd(), ldz = Z.getLd();
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criterium_static = criterium;
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// Here we are forced to give space for left Schur vectors, even if we don't use them, because of a bug in dgges()
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dgges("N", "V", "S", &selctg, &n2, S.getData(), &lds, T.getData(), &ldt,
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&sdim2, alphar, alphai, beta, vsl, &n2, Z.getData(), &ldz,
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work, &lwork, bwork, &info);
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if (info != 0)
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throw GSDException(info, n2);
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sdim = sdim2;
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}
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template<class Mat1, class Mat2, class Mat3, class Mat4, class Mat5>
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void
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GeneralizedSchurDecomposition::compute(const Mat1 &D, const Mat2 &E,
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Mat3 &S, Mat4 &T, Mat5 &Z, size_t &sdim) throw (GSDException)
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{
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assert(D.getRows() == n && D.getCols() == n
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&& E.getRows() == n && E.getCols() == n);
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S = D;
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T = E;
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compute(S, T, Z, sdim);
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}
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template<class Vec1, class Vec2>
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void
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GeneralizedSchurDecomposition::getGeneralizedEigenvalues(Vec1 &eig_real, Vec2 &eig_cmplx)
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{
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assert(eig_real.getSize() == n && eig_cmplx.getSize() == n);
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double *par = alphar, *pai = alphai, *pb = beta,
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*per = eig_real.getData(), *pei = eig_cmplx.getData();
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while (par < alphar + n)
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{
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*per = *par / *pb;
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if (*pai == 0.0 && *pb == 0.0)
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*pei = 0.0;
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else
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*pei = *pai / *pb;
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par++;
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pai++;
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pb++;
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per += eig_real.getStride();
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pei += eig_cmplx.getStride();
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}
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}
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