126 lines
2.9 KiB
C++
126 lines
2.9 KiB
C++
/*
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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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/**
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* Calculates vector of Eigen values D and matrix of Eigen vectors V
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* of input matrix m
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*/
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#if !defined(VDVEigDec_INCLUDE)
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#define VDVEigDec_INCLUDE
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#include <cstdlib>
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#include "Vector.hh"
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#include "Matrix.hh"
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#include <dynlapack.h>
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class VDVEigDecomposition
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{
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lapack_int lda, n;
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lapack_int lwork, info;
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double *work;
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bool converged;
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Matrix V;
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Vector D;
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public:
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public:
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class VDVEigException
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{
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public:
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const lapack_int info;
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std::string message;
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VDVEigException(lapack_int info_arg, std::string message_arg) :
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info(info_arg), message(message_arg)
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{
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};
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};
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/**
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* This constructor only creates optimal workspace using
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* input matrix m
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*/
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VDVEigDecomposition(const Matrix &m) throw (VDVEigException);
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/**
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* This constructoro only crates workspace using the size of
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* the input matrix m
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*/
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VDVEigDecomposition(size_t n) throw (VDVEigException);
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virtual ~VDVEigDecomposition()
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{
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delete[] work;
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};
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template <class Mat>
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void calculate(const Mat &H) throw (VDVEigException);
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// get eigenvalues
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Vector &
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getD()
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{
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return D;
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};
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// get eigen vector
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Matrix &
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getV()
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{
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return V;
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};
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// check if converged
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bool
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hasConverged()
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{
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return converged;
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};
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};
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template <class Mat>
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void
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VDVEigDecomposition::calculate(const Mat &m) throw (VDVEigException)
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{
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info = 0;
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if (m.getRows() != m.getCols())
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throw (VDVEigException(info, "Matrix is not square in VDVEigDecomposition calculate"));
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if (m.getCols() != (size_t) n || m.getLd() != (size_t) lda)
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throw (VDVEigException(info, "Matrix not matching VDVEigDecomposition class"));
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double tmpwork;
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lapack_int tmplwork = -1;
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V = m;
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dsyev("V", "U", &n, V.getData(), &lda, D.getData(), &tmpwork, &tmplwork, &info);
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if (lwork < (lapack_int) tmpwork)
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{
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lwork = (lapack_int) tmpwork;
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delete[] work;
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work = new double[lwork];
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}
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dsyev("V", "U", &n, V.getData(), &lda, D.getData(), work, &lwork, &info);
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if (info < 0)
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throw (VDVEigException(info, "Internal error in VDVEigDecomposition calculation"));
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converged = true;
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if (info)
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converged = false;
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}
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std::ostream &operator<<(std::ostream &out, const VDVEigDecomposition::VDVEigException &e);
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#endif
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