| /* linalg/luc.c |
| * |
| * Copyright (C) 2001 Brian Gough |
| * |
| * This program 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 2 of the License, or (at |
| * your option) any later version. |
| * |
| * This program 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 this program; if not, write to the Free Software |
| * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA. |
| */ |
| |
| #include <config.h> |
| #include <stdlib.h> |
| #include <string.h> |
| #include <gsl/gsl_math.h> |
| #include <gsl/gsl_vector.h> |
| #include <gsl/gsl_matrix.h> |
| #include <gsl/gsl_complex.h> |
| #include <gsl/gsl_complex_math.h> |
| #include <gsl/gsl_permute_vector.h> |
| #include <gsl/gsl_blas.h> |
| #include <gsl/gsl_complex_math.h> |
| |
| #include <gsl/gsl_linalg.h> |
| |
| /* Factorise a general N x N complex matrix A into, |
| * |
| * P A = L U |
| * |
| * where P is a permutation matrix, L is unit lower triangular and U |
| * is upper triangular. |
| * |
| * L is stored in the strict lower triangular part of the input |
| * matrix. The diagonal elements of L are unity and are not stored. |
| * |
| * U is stored in the diagonal and upper triangular part of the |
| * input matrix. |
| * |
| * P is stored in the permutation p. Column j of P is column k of the |
| * identity matrix, where k = permutation->data[j] |
| * |
| * signum gives the sign of the permutation, (-1)^n, where n is the |
| * number of interchanges in the permutation. |
| * |
| * See Golub & Van Loan, Matrix Computations, Algorithm 3.4.1 (Gauss |
| * Elimination with Partial Pivoting). |
| */ |
| |
| int |
| gsl_linalg_complex_LU_decomp (gsl_matrix_complex * A, gsl_permutation * p, int *signum) |
| { |
| if (A->size1 != A->size2) |
| { |
| GSL_ERROR ("LU decomposition requires square matrix", GSL_ENOTSQR); |
| } |
| else if (p->size != A->size1) |
| { |
| GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN); |
| } |
| else |
| { |
| const size_t N = A->size1; |
| size_t i, j, k; |
| |
| *signum = 1; |
| gsl_permutation_init (p); |
| |
| for (j = 0; j < N - 1; j++) |
| { |
| /* Find maximum in the j-th column */ |
| |
| gsl_complex ajj = gsl_matrix_complex_get (A, j, j); |
| double max = gsl_complex_abs (ajj); |
| size_t i_pivot = j; |
| |
| for (i = j + 1; i < N; i++) |
| { |
| gsl_complex aij = gsl_matrix_complex_get (A, i, j); |
| double ai = gsl_complex_abs (aij); |
| |
| if (ai > max) |
| { |
| max = ai; |
| i_pivot = i; |
| } |
| } |
| |
| if (i_pivot != j) |
| { |
| gsl_matrix_complex_swap_rows (A, j, i_pivot); |
| gsl_permutation_swap (p, j, i_pivot); |
| *signum = -(*signum); |
| } |
| |
| ajj = gsl_matrix_complex_get (A, j, j); |
| |
| if (!(GSL_REAL(ajj) == 0.0 && GSL_IMAG(ajj) == 0.0)) |
| { |
| for (i = j + 1; i < N; i++) |
| { |
| gsl_complex aij_orig = gsl_matrix_complex_get (A, i, j); |
| gsl_complex aij = gsl_complex_div (aij_orig, ajj); |
| gsl_matrix_complex_set (A, i, j, aij); |
| |
| for (k = j + 1; k < N; k++) |
| { |
| gsl_complex aik = gsl_matrix_complex_get (A, i, k); |
| gsl_complex ajk = gsl_matrix_complex_get (A, j, k); |
| |
| /* aik = aik - aij * ajk */ |
| |
| gsl_complex aijajk = gsl_complex_mul (aij, ajk); |
| gsl_complex aik_new = gsl_complex_sub (aik, aijajk); |
| |
| gsl_matrix_complex_set (A, i, k, aik_new); |
| } |
| } |
| } |
| } |
| |
| return GSL_SUCCESS; |
| } |
| } |
| |
| int |
| gsl_linalg_complex_LU_solve (const gsl_matrix_complex * LU, const gsl_permutation * p, const gsl_vector_complex * b, gsl_vector_complex * x) |
| { |
| if (LU->size1 != LU->size2) |
| { |
| GSL_ERROR ("LU matrix must be square", GSL_ENOTSQR); |
| } |
| else if (LU->size1 != p->size) |
| { |
| GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN); |
| } |
| else if (LU->size1 != b->size) |
| { |
| GSL_ERROR ("matrix size must match b size", GSL_EBADLEN); |
| } |
| else if (LU->size2 != x->size) |
| { |
| GSL_ERROR ("matrix size must match solution size", GSL_EBADLEN); |
| } |
| else |
| { |
| /* Copy x <- b */ |
| |
| gsl_vector_complex_memcpy (x, b); |
| |
| /* Solve for x */ |
| |
| gsl_linalg_complex_LU_svx (LU, p, x); |
| |
| return GSL_SUCCESS; |
| } |
| } |
| |
| |
| int |
| gsl_linalg_complex_LU_svx (const gsl_matrix_complex * LU, const gsl_permutation * p, gsl_vector_complex * x) |
| { |
| if (LU->size1 != LU->size2) |
| { |
| GSL_ERROR ("LU matrix must be square", GSL_ENOTSQR); |
| } |
| else if (LU->size1 != p->size) |
| { |
| GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN); |
| } |
| else if (LU->size1 != x->size) |
| { |
| GSL_ERROR ("matrix size must match solution/rhs size", GSL_EBADLEN); |
| } |
| else |
| { |
| /* Apply permutation to RHS */ |
| |
| gsl_permute_vector_complex (p, x); |
| |
| /* Solve for c using forward-substitution, L c = P b */ |
| |
| gsl_blas_ztrsv (CblasLower, CblasNoTrans, CblasUnit, LU, x); |
| |
| /* Perform back-substitution, U x = c */ |
| |
| gsl_blas_ztrsv (CblasUpper, CblasNoTrans, CblasNonUnit, LU, x); |
| |
| return GSL_SUCCESS; |
| } |
| } |
| |
| |
| int |
| gsl_linalg_complex_LU_refine (const gsl_matrix_complex * A, const gsl_matrix_complex * LU, const gsl_permutation * p, const gsl_vector_complex * b, gsl_vector_complex * x, gsl_vector_complex * residual) |
| { |
| if (A->size1 != A->size2) |
| { |
| GSL_ERROR ("matrix a must be square", GSL_ENOTSQR); |
| } |
| if (LU->size1 != LU->size2) |
| { |
| GSL_ERROR ("LU matrix must be square", GSL_ENOTSQR); |
| } |
| else if (A->size1 != LU->size2) |
| { |
| GSL_ERROR ("LU matrix must be decomposition of a", GSL_ENOTSQR); |
| } |
| else if (LU->size1 != p->size) |
| { |
| GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN); |
| } |
| else if (LU->size1 != b->size) |
| { |
| GSL_ERROR ("matrix size must match b size", GSL_EBADLEN); |
| } |
| else if (LU->size1 != x->size) |
| { |
| GSL_ERROR ("matrix size must match solution size", GSL_EBADLEN); |
| } |
| else |
| { |
| /* Compute residual, residual = (A * x - b) */ |
| |
| gsl_vector_complex_memcpy (residual, b); |
| |
| { |
| gsl_complex one = GSL_COMPLEX_ONE; |
| gsl_complex negone = GSL_COMPLEX_NEGONE; |
| gsl_blas_zgemv (CblasNoTrans, one, A, x, negone, residual); |
| } |
| |
| /* Find correction, delta = - (A^-1) * residual, and apply it */ |
| |
| gsl_linalg_complex_LU_svx (LU, p, residual); |
| |
| { |
| gsl_complex negone= GSL_COMPLEX_NEGONE; |
| gsl_blas_zaxpy (negone, residual, x); |
| } |
| |
| return GSL_SUCCESS; |
| } |
| } |
| |
| int |
| gsl_linalg_complex_LU_invert (const gsl_matrix_complex * LU, const gsl_permutation * p, gsl_matrix_complex * inverse) |
| { |
| size_t i, n = LU->size1; |
| |
| int status = GSL_SUCCESS; |
| |
| gsl_matrix_complex_set_identity (inverse); |
| |
| for (i = 0; i < n; i++) |
| { |
| gsl_vector_complex_view c = gsl_matrix_complex_column (inverse, i); |
| int status_i = gsl_linalg_complex_LU_svx (LU, p, &(c.vector)); |
| |
| if (status_i) |
| status = status_i; |
| } |
| |
| return status; |
| } |
| |
| gsl_complex |
| gsl_linalg_complex_LU_det (gsl_matrix_complex * LU, int signum) |
| { |
| size_t i, n = LU->size1; |
| |
| gsl_complex det = gsl_complex_rect((double) signum, 0.0); |
| |
| for (i = 0; i < n; i++) |
| { |
| gsl_complex zi = gsl_matrix_complex_get (LU, i, i); |
| det = gsl_complex_mul (det, zi); |
| } |
| |
| return det; |
| } |
| |
| |
| double |
| gsl_linalg_complex_LU_lndet (gsl_matrix_complex * LU) |
| { |
| size_t i, n = LU->size1; |
| |
| double lndet = 0.0; |
| |
| for (i = 0; i < n; i++) |
| { |
| gsl_complex z = gsl_matrix_complex_get (LU, i, i); |
| lndet += log (gsl_complex_abs (z)); |
| } |
| |
| return lndet; |
| } |
| |
| |
| gsl_complex |
| gsl_linalg_complex_LU_sgndet (gsl_matrix_complex * LU, int signum) |
| { |
| size_t i, n = LU->size1; |
| |
| gsl_complex phase = gsl_complex_rect((double) signum, 0.0); |
| |
| for (i = 0; i < n; i++) |
| { |
| gsl_complex z = gsl_matrix_complex_get (LU, i, i); |
| |
| double r = gsl_complex_abs(z); |
| |
| if (r == 0) |
| { |
| phase = gsl_complex_rect(0.0, 0.0); |
| break; |
| } |
| else |
| { |
| z = gsl_complex_div_real(z, r); |
| phase = gsl_complex_mul(phase, z); |
| } |
| } |
| |
| return phase; |
| } |