Exemple #1
0
/*
 * Solve a system of linear equations A*X = B with general M-by-N
 * matrix A using the QR factorization computed by DecomposeQRT().
 *
 * If flags&TRANS != 0:
 *   find the minimum norm solution of an overdetermined system A.T * X = B.
 *   i.e min ||X|| s.t A.T*X = B
 *
 * Otherwise:
 *   find the least squares solution of an overdetermined system, i.e.,
 *   solve the least squares problem: min || B - A*X ||.
 *
 * Arguments:
 *  B     On entry, the right hand side N-by-P matrix B. On exit, the solution matrix X.
 *
 *  A     The elements on and above the diagonal contain the min(M,N)-by-N upper
 *        trapezoidal matrix R. The elements below the diagonal with the matrix 'T',
 *        represent the ortogonal matrix Q as product of elementary reflectors.
 *        Matrix A and T are as returned by DecomposeQRT()
 *
 *  T     The N-by-N block reflector which, together with trilu(A) represent
 *        the ortogonal matrix Q as Q = I - Y*T*Y.T where Y = trilu(A).
 *
 *  W     Workspace, P-by-nb matrix used for work space in blocked invocations.
 *
 *  flags Indicator flag
 *
 *  nb    The block size used in blocked invocations. If nb is zero default
 *        value N is used.
 *
 * Compatible with lapack.GELS (the m >= n part)
 */
func SolveQRT(B, A, T, W *matrix.FloatMatrix, flags Flags, nb int) error {
	var err error = nil
	var R, BT matrix.FloatMatrix
	if flags&TRANS != 0 {
		// Solve overdetermined system A.T*X = B

		// B' = R.-1*B
		A.SubMatrix(&R, 0, 0, A.Cols(), A.Cols())
		B.SubMatrix(&BT, 0, 0, A.Cols(), B.Cols())
		err = SolveTrm(&BT, &R, 1.0, LEFT|UPPER|TRANSA)

		// Clear bottom part of B
		B.SubMatrix(&BT, A.Cols(), 0)
		BT.SetIndexes(0.0)

		// X = Q*B'
		err = MultQT(B, A, T, W, LEFT, nb)
	} else {
		// solve least square problem min ||A*X - B||

		// B' = Q.T*B
		err = MultQT(B, A, T, W, LEFT|TRANS, nb)
		if err != nil {
			return err
		}

		// X = R.-1*B'
		A.SubMatrix(&R, 0, 0, A.Cols(), A.Cols())
		B.SubMatrix(&BT, 0, 0, A.Cols(), B.Cols())
		err = SolveTrm(&BT, &R, 1.0, LEFT|UPPER)
	}
	return err
}
Exemple #2
0
func blockedBuildQ(A, tau, W *matrix.FloatMatrix, nb int) error {
	var err error = nil
	var ATL, ATR, ABL, ABR, AL matrix.FloatMatrix
	var A00, A01, A02, A10, A11, A12, A20, A21, A22 matrix.FloatMatrix
	var tT, tB matrix.FloatMatrix
	var t0, tau1, t2, Tw, Wrk matrix.FloatMatrix
	var mb int

	mb = A.Rows() - A.Cols()
	Twork := matrix.FloatZeros(nb, nb)

	partition2x2(
		&ATL, &ATR,
		&ABL, &ABR, A, mb, 0, pBOTTOMRIGHT)
	partition2x1(
		&tT,
		&tB, tau, 0, pBOTTOM)

	// clearing of the columns of the right and setting ABR to unit diagonal
	// (only if not applying all reflectors, kb > 0)

	for ATL.Rows() > 0 && ATL.Cols() > 0 {
		repartition2x2to3x3(&ATL,
			&A00, &A01, &A02,
			&A10, &A11, &A12,
			&A20, &A21, &A22, A, nb, pTOPLEFT)
		repartition2x1to3x1(&tT,
			&t0,
			&tau1,
			&t2, tau, nb, pTOP)

		// --------------------------------------------------------

		// build block reflector from current block
		merge2x1(&AL, &A11, &A21)
		Twork.SubMatrix(&Tw, 0, 0, A11.Cols(), A11.Cols())
		unblkQRBlockReflector(&Tw, &AL, &tau1)

		// update with current block reflector (I - Y*T*Y.T)*Atrailing
		W.SubMatrix(&Wrk, 0, 0, A12.Cols(), A11.Cols())
		updateWithQT(&A12, &A22, &A11, &A21, &Tw, &Wrk, nb, false)

		// use unblocked version to compute current block
		W.SubMatrix(&Wrk, 0, 0, 1, A11.Cols())
		unblockedBuildQ(&AL, &tau1, &Wrk, 0)

		// zero upper part
		A01.SetIndexes(0.0)

		// --------------------------------------------------------
		continue3x3to2x2(
			&ATL, &ATR,
			&ABL, &ABR, &A00, &A11, &A22, A, pTOPLEFT)
		continue3x1to2x1(
			&tT,
			&tB, &t0, &tau1, tau, pTOP)
	}
	return err
}
Exemple #3
0
func blkUpperLDL(A, W *matrix.FloatMatrix, p *pPivots, nb int) (err error) {
	var ATL, ATR, ABL, ABR matrix.FloatMatrix
	var A00, A01, A02, A11, A12, A22 matrix.FloatMatrix
	var D1, wrk matrix.FloatMatrix
	var pT, pB, p0, p1, p2 pPivots

	err = nil
	partition2x2(
		&ATL, &ATR,
		&ABL, &ABR, A, 0, 0, pBOTTOMRIGHT)
	partitionPivot2x1(
		&pT,
		&pB, p, 0, pBOTTOM)

	for ATL.Rows() > 0 {
		repartition2x2to3x3(&ATL,
			&A00, &A01, &A02,
			nil, &A11, &A12,
			nil, nil, &A22, A, nb, pTOPLEFT)
		repartPivot2x1to3x1(&pT,
			&p0, &p1, &p2 /**/, p, nb, pTOP)

		// --------------------------------------------------------

		// A11 = LDL(A11)
		err = unblkUpperLDL(&A11, &p1)
		if err != nil {
			return
		}
		applyColPivots(&A01, &p1, 0, BACKWARD)
		applyRowPivots(&A12, &p1, 0, BACKWARD)
		scalePivots(&p1, ATL.Rows()-A11.Rows())

		A11.Diag(&D1)

		// A01 = A01*A11.-T
		SolveTrm(&A01, &A11, 1.0, UPPER|UNIT|RIGHT|TRANSA)
		// A01 = A01*D1.-1
		SolveDiag(&A01, &D1, RIGHT)

		// W = D1*U01.T = U01*D1
		W.SubMatrix(&wrk, 0, 0, A01.Rows(), nb)
		A01.CopyTo(&wrk)
		MultDiag(&wrk, &D1, RIGHT)

		// A00 = A00 - U01*D1*U01.T = A22 - U01*W.T
		UpdateTrm(&A00, &A01, &wrk, -1.0, 1.0, UPPER|TRANSB)

		// ---------------------------------------------------------

		continue3x3to2x2(
			&ATL, &ATR,
			&ABL, &ABR, &A00, &A11, &A22, A, pTOPLEFT)
		contPivot3x1to2x1(
			&pT,
			&pB, &p0, &p1, p, pTOP)
	}
	return
}
Exemple #4
0
func swapCols(A *matrix.FloatMatrix, src, dst int) {
	var c0, c1 matrix.FloatMatrix
	if src == dst || A.Rows() == 0 {
		return
	}
	A.SubMatrix(&c0, 0, src, A.Rows(), 1)
	A.SubMatrix(&c1, 0, dst, A.Rows(), 1)
	Swap(&c0, &c1)
}
Exemple #5
0
func swapRows(A *matrix.FloatMatrix, src, dst int) {
	var r0, r1 matrix.FloatMatrix
	if src == dst || A.Rows() == 0 {
		return
	}
	A.SubMatrix(&r0, src, 0, 1, A.Cols())
	A.SubMatrix(&r1, dst, 0, 1, A.Cols())
	Swap(&r0, &r1)
}
Exemple #6
0
func blockedBuildQT(A, T, W *matrix.FloatMatrix, nb int) error {
	var err error = nil
	var ATL, ATR, ABL, ABR, AL matrix.FloatMatrix
	var A00, A01, A11, A12, A21, A22 matrix.FloatMatrix
	var TTL, TTR, TBL, TBR matrix.FloatMatrix
	var T00, T01, T02, T11, T12, T22 matrix.FloatMatrix
	var tau1, Wrk matrix.FloatMatrix
	var mb int

	mb = A.Rows() - A.Cols()

	partition2x2(
		&ATL, &ATR,
		&ABL, &ABR, A, mb, 0, pBOTTOMRIGHT)
	partition2x2(
		&TTL, &TTR,
		&TBL, &TBR, T, 0, 0, pBOTTOMRIGHT)

	// clearing of the columns of the right and setting ABR to unit diagonal
	// (only if not applying all reflectors, kb > 0)

	for ATL.Rows() > 0 && ATL.Cols() > 0 {
		repartition2x2to3x3(&ATL,
			&A00, &A01, nil,
			nil, &A11, &A12,
			nil, &A21, &A22, A, nb, pTOPLEFT)
		repartition2x2to3x3(&TTL,
			&T00, &T01, &T02,
			nil, &T11, &T12,
			nil, nil, &T22, T, nb, pTOPLEFT)

		// --------------------------------------------------------

		// update with current block reflector (I - Y*T*Y.T)*Atrailing
		W.SubMatrix(&Wrk, 0, 0, A12.Cols(), A11.Cols())
		updateWithQT(&A12, &A22, &A11, &A21, &T11, &Wrk, nb, false)

		// use unblocked version to compute current block
		W.SubMatrix(&Wrk, 0, 0, 1, A11.Cols())
		// elementary scalar coefficients on the diagonal, column vector
		T11.Diag(&tau1)
		merge2x1(&AL, &A11, &A21)
		// do an unblocked update to current block
		unblockedBuildQ(&AL, &tau1, &Wrk, 0)

		// zero upper part
		A01.SetIndexes(0.0)
		// --------------------------------------------------------
		continue3x3to2x2(
			&ATL, &ATR,
			&ABL, &ABR, &A00, &A11, &A22, A, pTOPLEFT)
		continue3x3to2x2(
			&TTL, &TTR,
			&TBL, &TBR, &T00, &T11, &T22, T, pTOPLEFT)
	}
	return err
}
Exemple #7
0
/*
 * Compute
 *   C = C*diag(D)      flags & RIGHT == true
 *   C = diag(D)*C      flags & LEFT  == true
 *
 * Arguments
 *   C     M-by-N matrix if flags&RIGHT == true or N-by-M matrix if flags&LEFT == true
 *
 *   D     N element column or row vector or N-by-N matrix
 *
 *   flags Indicator bits, LEFT or RIGHT
 */
func MultDiag(C, D *matrix.FloatMatrix, flags Flags) {
	var c, d0 matrix.FloatMatrix
	if D.Cols() == 1 {
		// diagonal is column vector
		switch flags & (LEFT | RIGHT) {
		case LEFT:
			// scale rows; for each column element-wise multiply with D-vector
			for k := 0; k < C.Cols(); k++ {
				C.SubMatrix(&c, 0, k, C.Rows(), 1)
				c.Mul(D)
			}
		case RIGHT:
			// scale columns
			for k := 0; k < C.Cols(); k++ {
				C.SubMatrix(&c, 0, k, C.Rows(), 1)
				// scale the column
				c.Scale(D.GetAt(k, 0))
			}
		}
	} else {
		// diagonal is row vector
		var d *matrix.FloatMatrix
		if D.Rows() == 1 {
			d = D
		} else {
			D.SubMatrix(&d0, 0, 0, 1, D.Cols(), D.LeadingIndex()+1)
			d = &d0
		}
		switch flags & (LEFT | RIGHT) {
		case LEFT:
			for k := 0; k < C.Rows(); k++ {
				C.SubMatrix(&c, k, 0, 1, C.Cols())
				// scale the row
				c.Scale(d.GetAt(0, k))
			}
		case RIGHT:
			// scale columns
			for k := 0; k < C.Cols(); k++ {
				C.SubMatrix(&c, 0, k, C.Rows(), 1)
				// scale the column
				c.Scale(d.GetAt(0, k))
			}
		}
	}
}
Exemple #8
0
/*
 Continue with 2 by 1 block from 3 by 1 block.

           AT      A0            AT       A0
 pBOTTOM: --  <--  A1   ; pTOP:   -- <--  --
           AB      --            AB       A1
                   A2                     A2

*/
func continue3x1to2x1(AT, AB, A0, A1, A *matrix.FloatMatrix, pdir pDirection) {
	n0 := A0.Rows()
	n1 := A1.Rows()
	switch pdir {
	case pBOTTOM:
		A.SubMatrix(AT, 0, 0, n0+n1, A.Cols())
		A.SubMatrix(AB, n0+n1, 0, A.Rows()-n0-n1, A.Cols())
	case pTOP:
		A.SubMatrix(AT, 0, 0, n0, A.Cols())
		A.SubMatrix(AB, n0, 0, A.Rows()-n0, A.Cols())
	}
}
Exemple #9
0
func blkUpperLDLnoPiv(A, W *matrix.FloatMatrix, nb int) (err error) {
	var ATL, ATR, ABL, ABR matrix.FloatMatrix
	var A00, A01, A02, A11, A12, A22 matrix.FloatMatrix
	var D1, wrk matrix.FloatMatrix

	err = nil
	partition2x2(
		&ATL, &ATR,
		&ABL, &ABR, A, 0, 0, pBOTTOMRIGHT)

	for ATL.Rows() > 0 {
		repartition2x2to3x3(&ATL,
			&A00, &A01, &A02,
			nil, &A11, &A12,
			nil, nil, &A22, A, nb, pTOPLEFT)

		// --------------------------------------------------------

		// A11 = LDL(A11)
		unblkUpperLDLnoPiv(&A11)
		A11.Diag(&D1)

		// A01 = A01*A11.-T
		SolveTrm(&A01, &A11, 1.0, UPPER|UNIT|RIGHT|TRANSA)
		// A01 = A01*D1.-1
		SolveDiag(&A01, &D1, RIGHT)

		// W = D1*U01.T = U01*D1
		W.SubMatrix(&wrk, 0, 0, A01.Rows(), nb)
		A01.CopyTo(&wrk)
		MultDiag(&wrk, &D1, RIGHT)

		// A00 = A00 - U01*D1*U01.T = A22 - U01*W.T
		UpdateTrm(&A00, &A01, &wrk, -1.0, 1.0, UPPER|TRANSB)

		// ---------------------------------------------------------

		continue3x3to2x2(
			&ATL, &ATR,
			&ABL, &ABR, &A00, &A11, &A22, A, pTOPLEFT)
	}
	return
}
Exemple #10
0
/*
 Partition p to 2 by 1 blocks.

        AT
  A --> --
        AB

 Parameter nb is initial block size for AT (pTOP) or AB (pBOTTOM).
*/
func partition2x1(AT, AB, A *matrix.FloatMatrix, nb int, side pDirection) {
	if nb > A.Rows() {
		nb = A.Rows()
	}
	switch side {
	case pTOP:
		A.SubMatrix(AT, 0, 0, nb, A.Cols())
		A.SubMatrix(AB, nb, 0, A.Rows()-nb, A.Cols())
	case pBOTTOM:
		A.SubMatrix(AT, 0, 0, A.Rows()-nb, A.Cols())
		A.SubMatrix(AB, A.Rows()-nb, 0, nb, A.Cols())
	}
}
Exemple #11
0
/*
 Partition A to 1 by 2 blocks.

  A -->  AL | AR

 Parameter nb is initial block size for AL (pLEFT) or AR (pRIGHT).
*/
func partition1x2(AL, AR, A *matrix.FloatMatrix, nb int, side pDirection) {
	if nb > A.Cols() {
		nb = A.Cols()
	}
	switch side {
	case pLEFT:
		A.SubMatrix(AL, 0, 0, A.Rows(), nb)
		A.SubMatrix(AR, 0, nb, A.Rows(), A.Cols()-nb)
	case pRIGHT:
		A.SubMatrix(AL, 0, 0, A.Rows(), A.Cols()-nb)
		A.SubMatrix(AR, 0, A.Cols()-nb, A.Rows(), nb)
	}
}
Exemple #12
0
func col(A *matrix.FloatMatrix, inds ...int) *matrix.FloatMatrix {
	var c matrix.FloatMatrix
	switch len(inds) {
	case 0:
		A.SubMatrix(&c, 0, 0, A.Rows(), 1)
	case 1:
		A.SubMatrix(&c, inds[0], 0, A.Rows(), 1)
	case 2:
		A.SubMatrix(&c, inds[0], 0, inds[1], 1)
	default:
		A.SubMatrix(&c, inds[0], inds[1], inds[2], 1)
	}
	return &c
}
Exemple #13
0
func row(A *matrix.FloatMatrix, inds ...int) *matrix.FloatMatrix {
	var r matrix.FloatMatrix
	switch len(inds) {
	case 0:
		A.SubMatrix(&r, 0, 0, 1, A.Cols())
	case 1:
		A.SubMatrix(&r, inds[0], 0, 1, A.Cols())
	case 2:
		A.SubMatrix(&r, inds[0], 0, 1, inds[1])
	default:
		A.SubMatrix(&r, inds[0], inds[1], 1, inds[2])
	}
	return &r
}
Exemple #14
0
/*
 Repartition 1 by 2 blocks to 1 by 3 blocks.

 pRIGHT: AL | AR  --  A0 A1 | A2
 pLEFT:  AL | AR  <--  A0 | A1 A2

*/
func continue1x3to1x2(AL, AR, A0, A1, A *matrix.FloatMatrix, pdir pDirection) {

	k := A0.Cols()
	nb := A1.Cols()
	switch pdir {
	case pRIGHT:
		// AL is [A0; A1], AR is A2
		A.SubMatrix(AL, 0, 0, A.Rows(), k+nb)
		A.SubMatrix(AR, 0, AL.Cols(), A.Rows(), A.Cols()-AL.Cols())
	case pLEFT:
		// AL is A0; AR is [A1; A2]
		A.SubMatrix(AL, 0, 0, A.Rows(), k)
		A.SubMatrix(AR, 0, k, A.Rows(), A.Cols()-k)
	}
}
Exemple #15
0
/*
 * Apply diagonal pivot (row and column swapped) to symmetric matrix blocks.
 *
 * LOWER triangular; moving from top-left to bottom-right
 *
 *    -----------------------
 *    | d
 *    | x P1 x  x  x  P2     -- current row/col 'srcix'
 *    | x S2 d  x  x  x
 *    | x S2 x  d  x  x
 *    | x S2 x  x  d  x
 *    | x P2 D2 D2 D2 P3     -- swap with row/col 'dstix'
 *    | x S3 x  x  x  D3 d
 *    | x S3 x  x  x  D3 x d
 *         (AR)
 *
 * UPPER triangular; moving from bottom-right to top-left
 *
 *    d x D3 x  x  x  S3 x |
 *      d D3 x  x  x  S3 x |
 *        P3 D2 D2 D2 P2 x |  -- dstinx
 *           d  x  x  S2 x |
 *              d  x  S2 x |
 *                 d  S2 x |
 *                    P1 x |  -- srcinx
 *                       d |
 *    ----------------------
 *               (ABR)
 */
func applyBKPivotSym(AR *matrix.FloatMatrix, srcix, dstix int, flags Flags) {
	var s, d matrix.FloatMatrix
	if flags&LOWER != 0 {
		// S2 -- D2
		AR.SubMatrix(&s, srcix+1, srcix, dstix-srcix-1, 1)
		AR.SubMatrix(&d, dstix, srcix+1, 1, dstix-srcix-1)
		Swap(&s, &d)
		// S3 -- D3
		AR.SubMatrix(&s, dstix+1, srcix, AR.Rows()-dstix-1, 1)
		AR.SubMatrix(&d, dstix+1, dstix, AR.Rows()-dstix-1, 1)
		Swap(&s, &d)
		// swap P1 and P3
		p1 := AR.GetAt(srcix, srcix)
		p3 := AR.GetAt(dstix, dstix)
		AR.SetAt(srcix, srcix, p3)
		AR.SetAt(dstix, dstix, p1)
		return
	}
	if flags&UPPER != 0 {
		// AL is ATL, AR is ATR; P1 is AL[srcix, srcix];
		// S2 -- D2
		AR.SubMatrix(&s, dstix+1, srcix, srcix-dstix-1, 1)
		AR.SubMatrix(&d, dstix, dstix+1, 1, srcix-dstix-1)
		Swap(&s, &d)
		// S3 -- D3
		AR.SubMatrix(&s, 0, srcix, dstix, 1)
		AR.SubMatrix(&d, 0, dstix, dstix, 1)
		Swap(&s, &d)
		//fmt.Printf("3, AR=%v\n", AR)
		// swap P1 and P3
		p1 := AR.GetAt(srcix, srcix)
		p3 := AR.GetAt(dstix, dstix)
		AR.SetAt(srcix, srcix, p3)
		AR.SetAt(dstix, dstix, p1)
		return
	}
}
Exemple #16
0
/*
 * Find diagonal pivot and build incrementaly updated block.
 *
 *  (AL)  (AR)                   (WL)  (WR)
 *  --------------------------   ----------    k'th row in W
 *  x x | c1                     w w | k kp1
 *  x x | c1 d                   w w | k kp1
 *  x x | c1 x  d                w w | k kp1
 *  x x | c1 x  x  d             w w | k kp1
 *  x x | c1 r2 r2 r2 r2         w w | k kp1
 *  x x | c1 x  x  x  r2 d       w w | k kp1
 *  x x | c1 x  x  x  r2 x d     w w | k kp1
 *
 * Matrix AR contains the unfactored part of the matrix and AL the already
 * factored columns. Matrix WL is updated values of factored part ie.
 * w(i) = l(i)d(i). Matrix WR will have updated values for next column.
 * Column WR(k) contains updated AR(c1) and WR(kp1) possible pivot row AR(r2).
 *
 *
 */
func findAndBuildBKPivotLower(AL, AR, WL, WR *matrix.FloatMatrix, k int) (int, int) {
	var r, q int
	var rcol, qrow, src, wk, wkp1, wrow matrix.FloatMatrix

	// Copy AR column 0 to WR column 0 and update with WL[0:]
	AR.SubMatrix(&src, 0, 0, AR.Rows(), 1)
	WR.SubMatrix(&wk, 0, 0, AR.Rows(), 1)
	src.CopyTo(&wk)
	if k > 0 {
		WL.SubMatrix(&wrow, 0, 0, 1, WL.Cols())
		MVMult(&wk, AL, &wrow, -1.0, 1.0, NOTRANS)
		//fmt.Printf("wk after update:\n%v\n", &wk)
	}
	if AR.Rows() == 1 {
		return 0, 1
	}
	amax := math.Abs(WR.GetAt(0, 0))

	// find max off-diagonal on first column.
	WR.SubMatrix(&rcol, 1, 0, AR.Rows()-1, 1)
	//fmt.Printf("rcol:\n%v\n", &rcol)
	// r is row index and rmax is its absolute value
	r = IAMax(&rcol) + 1
	rmax := math.Abs(rcol.GetAt(r-1, 0))
	//fmt.Printf("r=%d, amax=%e, rmax=%e\n", r, amax, rmax)
	if amax >= bkALPHA*rmax {
		// no pivoting, 1x1 diagonal
		return 0, 1
	}
	// Now we need to copy row r to WR[:,1] and update it
	WR.SubMatrix(&wkp1, 0, 1, AR.Rows(), 1)
	AR.SubMatrix(&qrow, r, 0, 1, r+1)
	qrow.CopyTo(&wkp1)
	//fmt.Printf("m(AR)=%d, r=%d, qrow: %v\n", AR.Rows(), r, &qrow)
	if r < AR.Rows()-1 {
		var wkr matrix.FloatMatrix
		AR.SubMatrix(&qrow, r, r, AR.Rows()-r, 1)
		wkp1.SubMatrix(&wkr, r, 0, wkp1.Rows()-r, 1)
		qrow.CopyTo(&wkr)
		//fmt.Printf("m(AR)=%d, r=%d, qrow: %v\n", AR.Rows(), r, &qrow)
	}
	if k > 0 {
		// update wkp1
		WL.SubMatrix(&wrow, r, 0, 1, WL.Cols())
		//fmt.Printf("initial wpk1:\n%v\n", &wkp1)
		MVMult(&wkp1, AL, &wrow, -1.0, 1.0, NOTRANS)
		//fmt.Printf("updated wpk1:\n%v\n", &wkp1)
	}

	// set on-diagonal entry to zero to avoid finding it
	p1 := wkp1.GetAt(r, 0)
	wkp1.SetAt(r, 0, 0.0)
	// max off-diagonal on r'th column/row at index q
	q = IAMax(&wkp1)
	qmax := math.Abs(wkp1.GetAt(q, 0))
	// restore on-diagonal entry
	wkp1.SetAt(r, 0, p1)
	//arr := math.Abs(WR.GetAt(r, 1))
	//fmt.Printf("blk: r=%d, q=%d, amax=%e, rmax=%e, qmax=%e, Arr=%e\n", r, q, amax, rmax, qmax, arr)

	if amax >= bkALPHA*rmax*(rmax/qmax) {
		// no pivoting, 1x1 diagonal
		return 0, 1
	}
	// if q == r then qmax is not off-diagonal, qmax == WR[r,1] and
	// we get 1x1 pivot as following is always true
	if math.Abs(WR.GetAt(r, 1)) >= bkALPHA*qmax {
		// 1x1 pivoting and interchange with k, r
		// pivot row in column WR[:,1] to W[:,0]
		//pr := WR.GetAt(r, 1)
		//_ = pr
		WR.SubMatrix(&src, 0, 1, AR.Rows(), 1)
		WR.SubMatrix(&wkp1, 0, 0, AR.Rows(), 1)
		src.CopyTo(&wkp1)
		wkp1.SetAt(0, 0, src.GetAt(r, 0))
		wkp1.SetAt(r, 0, src.GetAt(0, 0))
		return r, 1
	} else {
		// 2x2 pivoting and interchange with k+1, r
		return r, 2
	}
	return 0, 1
}
Exemple #17
0
/*
 Partition A to 2 by 2 blocks.

           ATL | ATR
  A  -->   =========
           ABL | ABR

 Parameter nb is initial block size for ATL in column direction and mb in row direction.
 ATR and ABL may be nil pointers.
*/
func partition2x2(ATL, ATR, ABL, ABR, A *matrix.FloatMatrix, mb, nb int, side pDirection) {
	switch side {
	case pTOPLEFT:
		A.SubMatrix(ATL, 0, 0, mb, nb)
		if ATR != nil {
			A.SubMatrix(ATR, 0, nb, mb, A.Cols()-nb)
		}
		if ABL != nil {
			A.SubMatrix(ABL, mb, 0, A.Rows()-mb, nb)
		}
		A.SubMatrix(ABR, mb, nb)
	case pBOTTOMRIGHT:
		A.SubMatrix(ATL, 0, 0, A.Rows()-mb, A.Cols()-nb)
		if ATR != nil {
			A.SubMatrix(ATR, 0, A.Cols()-nb, A.Rows()-mb, nb)
		}
		if ABL != nil {
			A.SubMatrix(ABL, A.Rows()-mb, 0, mb, nb)
		}
		A.SubMatrix(ABR, A.Rows()-mb, A.Cols()-nb)
	}
}
Exemple #18
0
/*
 * Unblocked Bunch-Kauffman LDL factorization.
 *
 * Corresponds lapack.DSYTF2
 */
func unblkDecompBKLower(A, wrk *matrix.FloatMatrix, p *pPivots) (error, int) {
	var err error
	var ATL, ATR, ABL, ABR matrix.FloatMatrix
	var A00, a10t, a11, A20, a21, A22, a11inv matrix.FloatMatrix
	var cwrk matrix.FloatMatrix
	var pT, pB, p0, p1, p2 pPivots

	err = nil
	nc := 0

	partition2x2(
		&ATL, &ATR,
		&ABL, &ABR, A, 0, 0, pTOPLEFT)
	partitionPivot2x1(
		&pT,
		&pB, p, 0, pTOP)

	// permanent working space for symmetric inverse of a11
	wrk.SubMatrix(&a11inv, 0, wrk.Cols()-2, 2, 2)
	a11inv.SetAt(1, 0, -1.0)
	a11inv.SetAt(0, 1, -1.0)

	for ABR.Cols() > 0 {

		r, np := findBKPivot(&ABR, LOWER)
		if r != 0 && r != np-1 {
			// pivoting needed; do swaping here
			applyBKPivotSym(&ABR, np-1, r, LOWER)
			if np == 2 {
				/*
				 *          [0,0] | [r,0]
				 * a11 ==   -------------  2-by-2 pivot, swapping [1,0] and [r,0]
				 *          [r,0] | [r,r]
				 */
				t := ABR.GetAt(1, 0)
				ABR.SetAt(1, 0, ABR.GetAt(r, 0))
				ABR.SetAt(r, 0, t)
			}
			//fmt.Printf("unblk: ABR after %d pivot [r=%d]:\n%v\n", np, r, &ABR)
		}

		// repartition according the pivot size
		repartition2x2to3x3(&ATL,
			&A00, nil, nil,
			&a10t, &a11, nil,
			&A20, &a21, &A22 /**/, A, np, pBOTTOMRIGHT)
		repartPivot2x1to3x1(&pT,
			&p0,
			&p1,
			&p2 /**/, p, np, pBOTTOM)
		// ------------------------------------------------------------

		if np == 1 {
			// A22 = A22 - a21*a21.T/a11
			MVUpdateTrm(&A22, &a21, &a21, -1.0/a11.Float(), LOWER)
			// a21 = a21/a11
			InvScale(&a21, a11.Float())
			// store pivot point relative to original matrix
			p1.pivots[0] = r + ATL.Rows() + 1
		} else if np == 2 {
			/* from Bunch-Kaufmann 1977:
			 *  (E2 C.T) = ( I2      0      )( E  0      )( I[n-2] E.-1*C.T )
			 *  (C  B  )   ( C*E.-1  I[n-2] )( 0  A[n-2] )( 0      I2       )
			 *
			 *  A[n-2] = B - C*E.-1*C.T
			 *
			 *  E.-1 is inverse of a symmetric matrix, cannot use
			 *  triangular solve. We calculate inverse of 2x2 matrix.
			 *  Following is inspired by lapack.SYTF2
			 *
			 *      a | b      1        d | -b         b         d/b | -1
			 *  inv ----- =  ------  * ------  =  ----------- * --------
			 *      b | d    (ad-b^2)  -b |  a    (a*d - b^2)     -1 | a/b
			 *
			 */
			a := a11.GetAt(0, 0)
			b := a11.GetAt(1, 0)
			d := a11.GetAt(1, 1)
			a11inv.SetAt(0, 0, d/b)
			a11inv.SetAt(1, 1, a/b)
			// denominator: (a/b)*(d/b)-1.0 == (a*d - b^2)/b^2
			scale := 1.0 / ((a/b)*(d/b) - 1.0)
			scale /= b

			// cwrk = a21
			wrk.SubMatrix(&cwrk, 2, 0, a21.Rows(), a21.Cols())
			a21.CopyTo(&cwrk)
			// a21 = a21*a11.-1
			Mult(&a21, &cwrk, &a11inv, scale, 0.0, NOTRANS)
			// A22 = A22 - a21*a11.-1*a21.T = A22 - a21*cwrk.T
			UpdateTrm(&A22, &a21, &cwrk, -1.0, 1.0, LOWER|TRANSB)

			// store pivot point relative to original matrix
			p1.pivots[0] = -(r + ATL.Rows() + 1)
			p1.pivots[1] = p1.pivots[0]
		}

		/*
		   if m(&ABR) < 5 {
		       var Ablk matrix.FloatMatrix
		       merge1x2(&Ablk, &ABL, &ABR)
		       fmt.Printf("unblocked EOL: Ablk r=%d, nc=%d. np=%d\n%v\n", r, nc, np, &Ablk)
		   }
		*/
		// ------------------------------------------------------------
		nc += np
		continue3x3to2x2(
			&ATL, &ATR,
			&ABL, &ABR, &A00, &a11, &A22, A, pBOTTOMRIGHT)
		contPivot3x1to2x1(
			&pT,
			&pB, &p0, &p1, p, pBOTTOM)

	}
	return err, nc
}
Exemple #19
0
/*
 * Unblocked Bunch-Kauffman LDL factorization.
 *
 * Corresponds lapack.DSYTF2
 */
func unblkDecompBKUpper(A, wrk *matrix.FloatMatrix, p *pPivots) (error, int) {
	var err error
	var ATL, ATR, ABL, ABR matrix.FloatMatrix
	var A00, a01, A02, a12t, a11, A22, a11inv matrix.FloatMatrix
	var cwrk matrix.FloatMatrix
	var pT, pB, p0, p1, p2 pPivots

	err = nil
	nc := 0

	partition2x2(
		&ATL, &ATR,
		&ABL, &ABR, A, 0, 0, pBOTTOMRIGHT)
	partitionPivot2x1(
		&pT,
		&pB, p, 0, pBOTTOM)

	// permanent working space for symmetric inverse of a11
	wrk.SubMatrix(&a11inv, 0, wrk.Cols()-2, 2, 2)
	a11inv.SetAt(1, 0, -1.0)
	a11inv.SetAt(0, 1, -1.0)

	for ATL.Cols() > 0 {

		nr := ATL.Rows() - 1
		r, np := findBKPivot(&ATL, UPPER)
		if r != -1 /*&& r != np-1*/ {
			// pivoting needed; do swaping here
			//fmt.Printf("pre-pivot ATL [%d]:\n%v\n", ATL.Rows()-np, &ATL)
			applyBKPivotSym(&ATL, ATL.Rows()-np, r, UPPER)
			if np == 2 {
				/*
				 *         [r,r] | [r, nr]
				 * a11 ==  ---------------  2-by-2 pivot, swapping [nr-1,nr] and [r,nr]
				 *         [r,0] | [nr,nr]
				 */
				t := ATL.GetAt(nr-1, nr)
				ATL.SetAt(nr-1, nr, ATL.GetAt(r, nr))
				ATL.SetAt(r, nr, t)
			}
			//fmt.Printf("unblk: ATL after %d pivot [r=%d]:\n%v\n", np, r, &ATL)
		}

		// repartition according the pivot size
		repartition2x2to3x3(&ATL,
			&A00, &a01, &A02,
			nil, &a11, &a12t,
			nil, nil, &A22 /**/, A, np, pTOPLEFT)
		repartPivot2x1to3x1(&pT,
			&p0,
			&p1,
			&p2 /**/, p, np, pTOP)
		// ------------------------------------------------------------

		if np == 1 {
			// A00 = A00 - a01*a01.T/a11
			MVUpdateTrm(&A00, &a01, &a01, -1.0/a11.Float(), UPPER)
			// a01 = a01/a11
			InvScale(&a01, a11.Float())
			if r == -1 {
				p1.pivots[0] = ATL.Rows()
			} else {
				p1.pivots[0] = r + 1
			}
		} else if np == 2 {
			/*
			 * See comments on unblkDecompBKLower().
			 */
			a := a11.GetAt(0, 0)
			b := a11.GetAt(0, 1)
			d := a11.GetAt(1, 1)
			a11inv.SetAt(0, 0, d/b)
			a11inv.SetAt(1, 1, a/b)
			// denominator: (a/b)*(d/b)-1.0 == (a*d - b^2)/b^2
			scale := 1.0 / ((a/b)*(d/b) - 1.0)
			scale /= b

			// cwrk = a21
			wrk.SubMatrix(&cwrk, 2, 0, a01.Rows(), a01.Cols())
			a01.CopyTo(&cwrk)
			//fmt.Printf("cwrk:\n%v\n", &cwrk)
			//fmt.Printf("a11inv:\n%v\n", &a11inv)
			// a01 = a01*a11.-1
			Mult(&a01, &cwrk, &a11inv, scale, 0.0, NOTRANS)
			// A00 = A00 - a01*a11.-1*a01.T = A00 - a01*cwrk.T
			UpdateTrm(&A00, &a01, &cwrk, -1.0, 1.0, UPPER|TRANSB)

			p1.pivots[0] = -(r + 1)
			p1.pivots[1] = p1.pivots[0]
		}

		// ------------------------------------------------------------
		nc += np
		continue3x3to2x2(
			&ATL, &ATR,
			&ABL, &ABR, &A00, &a11, &A22, A, pTOPLEFT)
		contPivot3x1to2x1(
			&pT,
			&pB, &p0, &p1, p, pTOP)

	}
	return err, nc
}
Exemple #20
0
func blkDecompBKUpper(A, W *matrix.FloatMatrix, p *pPivots, nb int) (err error) {
	var ATL, ATR, ABL, ABR matrix.FloatMatrix
	var A00, A01, A02, A11, A12, A22 matrix.FloatMatrix
	var wrk matrix.FloatMatrix
	var pT, pB, p0, p1, p2 pPivots
	var nblk int = 0

	err = nil
	partition2x2(
		&ATL, &ATR,
		&ABL, &ABR, A, 0, 0, pBOTTOMRIGHT)
	partitionPivot2x1(
		&pT,
		&pB, p, 0, pBOTTOM)

	for ATL.Cols() >= nb {
		err, nblk = unblkBoundedBKUpper(&ATL, W, &pT, nb)

		// repartition nblk size
		repartition2x2to3x3(&ATL,
			&A00, &A01, &A02,
			nil, &A11, &A12,
			nil, nil, &A22, A, nblk, pTOPLEFT)
		repartPivot2x1to3x1(&pT,
			&p0, &p1, &p2 /**/, p, nblk, pTOP)

		// --------------------------------------------------------
		// here [A01;A11] has been decomposed by unblkBoundedBKUpper()
		// Now we need update A00

		// wrk is original A01; D1*L01.T
		W.SubMatrix(&wrk, 0, W.Cols()-nblk, A01.Rows(), nblk)

		// A00 = A00 - L01*D1*L01.T = A00 - L01*W.T
		UpdateTrm(&A00, &A01, &wrk, -1.0, 1.0, UPPER|TRANSB)

		// partially undo row pivots right of diagonal
		for k := 0; k < nblk; k++ {
			var s, d matrix.FloatMatrix
			r := p1.pivots[k]
			colno := A00.Cols() + k
			np := 1
			if r < 0 {
				r = -r
				np = 2
			}
			rlen := ATL.Cols() - colno - np
			//fmt.Printf("undo: k=%d, r=%d, colno=%d, rlen=%d\n", k, r, colno, rlen)
			if r == colno+1 {
				// no pivot
				continue
			}
			ATL.SubMatrix(&s, colno, colno+np, 1, rlen)
			ATL.SubMatrix(&d, r-1, colno+np, 1, rlen)
			//fmt.Printf("s %d: %v\n", colno, &s)
			//fmt.Printf("d %d: %v\n", r-1,   &d)
			Swap(&d, &s)

			if p1.pivots[k] < 0 {
				k++ // skip other entry in 2x2 pivots
			}
		}

		// ---------------------------------------------------------

		continue3x3to2x2(
			&ATL, &ATR,
			&ABL, &ABR, &A00, &A11, &A22, A, pTOPLEFT)
		contPivot3x1to2x1(
			&pT,
			&pB, &p0, &p1, p, pTOP)
	}

	// do the last part with unblocked code
	if ATL.Cols() > 0 {
		unblkDecompBKUpper(&ATL, W, &pT)
	}
	return
}
Exemple #21
0
func findBKPivot(A *matrix.FloatMatrix, flags Flags) (int, int) {
	var r, q int
	var rcol, qrow matrix.FloatMatrix
	if flags&LOWER != 0 {
		if A.Rows() == 1 {
			return 0, 1
		}
		amax := math.Abs(A.GetAt(0, 0))
		// column below diagonal at [0, 0]
		A.SubMatrix(&rcol, 1, 0, A.Rows()-1, 1)
		r = IAMax(&rcol) + 1
		// max off-diagonal on first column at index r
		rmax := math.Abs(A.GetAt(r, 0))
		//fmt.Printf("m(A)=%d, r=%d, rmax=%e, amax=%e\n", m(A), r, rmax, amax)
		if amax >= bkALPHA*rmax {
			// no pivoting, 1x1 diagonal
			return 0, 1
		}
		// max off-diagonal on r'th row at index q
		A.SubMatrix(&qrow, r, 0, 1, r /*+1*/)
		q = IAMax(&qrow)
		qmax := math.Abs(A.GetAt(r, q /*+1*/))
		if r < A.Rows()-1 {
			// rest of the r'th row after diagonal
			A.SubMatrix(&qrow, r+1, r, A.Rows()-r-1, 1)
			q = IAMax(&qrow)
			//fmt.Printf("qrow: %d, q: %d\n", qrow.NumElements(), q)
			qmax2 := math.Abs(qrow.GetAt(q, 0))
			if qmax2 > qmax {
				qmax = qmax2
			}
		}
		//fmt.Printf("m(A)=%d: q=%d, qmax=%e %v\n", m(A), q, qmax, &qrow)
		//arr := math.Abs(A.GetAt(r, r))
		//fmt.Printf("unblk: r=%d, q=%d, amax=%e, rmax=%e, qmax=%e, Arr=%e\n", r, q, amax, rmax, qmax, arr)

		if amax >= bkALPHA*rmax*(rmax/qmax) {
			// no pivoting, 1x1 diagonal
			return 0, 1
		}
		if math.Abs(A.GetAt(r, r)) >= bkALPHA*qmax {
			// 1x1 pivoting and interchange with k, r
			return r, 1
		} else {
			// 2x2 pivoting and interchange with k+1, r
			return r, 2
		}
	}
	if flags&UPPER != 0 {
		if A.Rows() == 1 {
			return 0, 1
		}
		//fmt.Printf("upper A:\n%v\n", A)
		lastcol := A.Rows() - 1
		amax := math.Abs(A.GetAt(lastcol, lastcol))
		// column above [A.Rows()-1, A.Rows()-1]
		A.SubMatrix(&rcol, 0, lastcol, lastcol, 1)
		r = IAMax(&rcol)
		// max off-diagonal on first column at index r
		rmax := math.Abs(A.GetAt(r, lastcol))
		//fmt.Printf("m(A)=%d, r=%d, rmax=%e, amax=%e\n", m(A), r, rmax, amax)
		if amax >= bkALPHA*rmax {
			// no pivoting, 1x1 diagonal
			return -1, 1
		}
		// max off-diagonal on r'th row at index q
		//  a) rest of the r'th row above diagonal
		qmax := 0.0
		if r > 0 {
			A.SubMatrix(&qrow, 0, r, r, 1)
			q = IAMax(&qrow)
			qmax = math.Abs(A.GetAt(q, r /*+1*/))
		}
		//  b) elements right of diagonal
		A.SubMatrix(&qrow, r, r+1, 1, lastcol-r)
		q = IAMax(&qrow)
		//fmt.Printf("qrow: %d, q: %d, data: %v\n", qrow.NumElements(), q, &qrow)
		qmax2 := math.Abs(qrow.GetAt(0, q))
		if qmax2 > qmax {
			qmax = qmax2
		}

		//fmt.Printf("m(A)=%d: q=%d, qmax=%e %v\n", m(A), q, qmax, &qrow)
		//fmt.Printf("unblk: r=%d, q=%d, amax=%e, rmax=%e, qmax=%e\n", r, q, amax, rmax, qmax)

		if amax >= bkALPHA*rmax*(rmax/qmax) {
			// no pivoting, 1x1 diagonal
			return -1, 1
		}
		if math.Abs(A.GetAt(r, r)) >= bkALPHA*qmax {
			// 1x1 pivoting and interchange with k, r
			return r, 1
		} else {
			// 2x2 pivoting and interchange with k+1, r
			return r, 2
		}
	}
	return 0, 1
}
Exemple #22
0
/*
 * Merge 1 by 1 block from 1 by 2 block.
 *
 * ABLK <--  AL | AR
 *
 */
func merge1x2(ABLK, AL, AR *matrix.FloatMatrix) {
	AL.SubMatrix(ABLK, 0, 0, AL.Rows(), AL.Cols()+AR.Cols())
}
Exemple #23
0
/*
 Repartition 1 by 2 blocks to 1 by 3 blocks.

 pRIGHT: AL | AR  -->  A0 | A1 A2
 pLEFT:  AL | AR  -->  A0 A1 | A2

 Parameter As is left or right block of original 1x2 block.
*/
func repartition1x2to1x3(AL, A0, A1, A2, A *matrix.FloatMatrix, nb int, pdir pDirection) {
	k := AL.Cols()
	switch pdir {
	case pRIGHT:
		if k+nb > A.Cols() {
			nb = A.Cols() - k
		}
		// A0 is AL; [A1; A2] is AR
		A.SubMatrix(A0, 0, 0, A.Rows(), k)
		A.SubMatrix(A1, 0, k, A.Rows(), nb)
		A.SubMatrix(A2, 0, k+nb, A.Rows(), A.Cols()-nb-k)
	case pLEFT:
		if nb > k {
			nb = k
		}
		// A2 is AR; [A0; A1] is AL
		A.SubMatrix(A0, 0, 0, A.Rows(), k-nb)
		A.SubMatrix(A1, 0, k-nb, A.Rows(), nb)
		A.SubMatrix(A2, 0, k, A.Rows(), A.Cols()-k)
	}
}
Exemple #24
0
/*
 Repartition 2 by 1 block to 3 by 1 block.

           AT      A0            AT       A0
 pBOTTOM: --  --> --   ; pTOP:   --  -->  A1
           AB      A1            AB       --
                   A2                     A2

*/
func repartition2x1to3x1(AT, A0, A1, A2, A *matrix.FloatMatrix, nb int, pdir pDirection) {
	nT := AT.Rows()
	switch pdir {
	case pBOTTOM:
		if nT+nb > A.Rows() {
			nb = A.Rows() - nT
		}
		A.SubMatrix(A0, 0, 0, nT, A.Cols())
		A.SubMatrix(A1, nT, 0, nb, A.Cols())
		A.SubMatrix(A2, nT+nb, 0, A.Rows()-nT-nb, A.Cols())
	case pTOP:
		if nT < nb {
			nb = nT
		}
		A.SubMatrix(A0, 0, 0, nT-nb, A.Cols())
		A.SubMatrix(A1, nT-nb, 0, nb, A.Cols())
		A.SubMatrix(A2, nT, 0, A.Rows()-nT, A.Cols())
	}
}
Exemple #25
0
/*
 * Unblocked, bounded Bunch-Kauffman LDL factorization for at most ncol columns.
 * At most ncol columns are factorized and trailing matrix updates are restricted
 * to ncol columns. Also original columns are accumulated to working matrix, which
 * is used by calling blocked algorithm to update the trailing matrix with BLAS3
 * update.
 *
 * Corresponds lapack.DLASYF
 */
func unblkBoundedBKLower(A, wrk *matrix.FloatMatrix, p *pPivots, ncol int) (error, int) {
	var err error
	var ATL, ATR, ABL, ABR matrix.FloatMatrix
	var A00, a10t, a11, A20, a21, A22, a11inv matrix.FloatMatrix
	var w00, w10, w11 matrix.FloatMatrix
	var cwrk matrix.FloatMatrix
	//var s, d matrix.FloatMatrix
	var pT, pB, p0, p1, p2 pPivots

	err = nil
	nc := 0
	if ncol > A.Cols() {
		ncol = A.Cols()
	}

	partition2x2(
		&ATL, &ATR,
		&ABL, &ABR, A, 0, 0, pTOPLEFT)
	partitionPivot2x1(
		&pT,
		&pB, p, 0, pTOP)

	// permanent working space for symmetric inverse of a11
	wrk.SubMatrix(&a11inv, 0, wrk.Cols()-2, 2, 2)
	a11inv.SetAt(1, 0, -1.0)
	a11inv.SetAt(0, 1, -1.0)

	for ABR.Cols() > 0 && nc < ncol {

		partition2x2(
			&w00, nil,
			&w10, &w11, wrk, nc, nc, pTOPLEFT)

		//fmt.Printf("ABR:\n%v\n", &ABR)
		r, np := findAndBuildBKPivotLower(&ABL, &ABR, &w10, &w11, nc)
		//fmt.Printf("after find: r=%d, np=%d, ncol=%d, nc=%d\n", r, np, ncol, nc)
		if np > ncol-nc {
			// next pivot does not fit into ncol columns, restore last column,
			// return with number of factorized columns
			//fmt.Printf("np > ncol-nc: %d > %d\n", np, ncol-nc)
			return err, nc
			//goto undo
		}
		if r != 0 && r != np-1 {
			// pivoting needed; do swaping here
			applyBKPivotSym(&ABR, np-1, r, LOWER)
			// swap left hand rows to get correct updates
			swapRows(&ABL, np-1, r)
			swapRows(&w10, np-1, r)
			//ABL.SubMatrix(&s, np-1, 0, 1, ABL.Cols())
			//ABL.SubMatrix(&d, r,    0, 1, ABL.Cols())
			//Swap(&s, &d)
			//w10.SubMatrix(&s, np-1, 0, 1, w10.Cols())
			//w10.SubMatrix(&d, r,    0, 1, w10.Cols())
			//Swap(&s, &d)
			if np == 2 {
				/*
				 *          [0,0] | [r,0]
				 * a11 ==   -------------  2-by-2 pivot, swapping [1,0] and [r,0]
				 *          [r,0] | [r,r]
				 */
				t0 := w11.GetAt(1, 0)
				tr := w11.GetAt(r, 0)
				//fmt.Printf("nc=%d, t0=%e, tr=%e\n", nc, t0, tr)
				w11.SetAt(1, 0, tr)
				w11.SetAt(r, 0, t0)
				// interchange diagonal entries on w11[:,1]
				t0 = w11.GetAt(1, 1)
				tr = w11.GetAt(r, 1)
				w11.SetAt(1, 1, tr)
				w11.SetAt(r, 1, t0)
			}
			//fmt.Printf("pivoted A:\n%v\n", A)
			//fmt.Printf("pivoted wrk:\n%v\n", wrk)
		}

		// repartition according the pivot size
		repartition2x2to3x3(&ATL,
			&A00, nil, nil,
			&a10t, &a11, nil,
			&A20, &a21, &A22 /**/, A, np, pBOTTOMRIGHT)
		repartPivot2x1to3x1(&pT,
			&p0,
			&p1,
			&p2 /**/, p, np, pBOTTOM)
		// ------------------------------------------------------------

		if np == 1 {
			//
			w11.SubMatrix(&cwrk, np, 0, a21.Rows(), np)
			a11.SetAt(0, 0, w11.GetAt(0, 0))
			// a21 = a21/a11
			//fmt.Printf("np == 1: pre-update a21\n%v\n", &a21)
			cwrk.CopyTo(&a21)
			InvScale(&a21, a11.Float())
			//fmt.Printf("np == 1: cwrk\n%v\na21\n%v\n", &cwrk, &a21)
			// store pivot point relative to original matrix
			p1.pivots[0] = r + ATL.Rows() + 1
		} else if np == 2 {
			/*
			 * See comments for this block in unblkDecompBKLower().
			 */
			a := w11.GetAt(0, 0)
			b := w11.GetAt(1, 0)
			d := w11.GetAt(1, 1)
			a11inv.SetAt(0, 0, d/b)
			a11inv.SetAt(1, 1, a/b)
			// denominator: (a/b)*(d/b)-1.0 == (a*d - b^2)/b^2
			scale := 1.0 / ((a/b)*(d/b) - 1.0)
			scale /= b

			w11.SubMatrix(&cwrk, np, 0, a21.Rows(), np)
			// a21 = a21*a11.-1
			Mult(&a21, &cwrk, &a11inv, scale, 0.0, NOTRANS)
			a11.SetAt(0, 0, a)
			a11.SetAt(1, 0, b)
			a11.SetAt(1, 1, d)

			// store pivot point relative to original matrix
			p1.pivots[0] = -(r + ATL.Rows() + 1)
			p1.pivots[1] = p1.pivots[0]
		}

		/*
		   if m(&ABR) < 5 {
		       var Ablk, wblk, w5 matrix.FloatMatrix
		       merge1x2(&Ablk, &ABL, &ABR)
		       merge1x2(&wblk, &w10, &w11)
		       wblk.SubMatrix(&w5, 0, 0, Ablk.Rows(), wblk.Cols())
		       fmt.Printf("blocked EOL: Ablk r=%d, nc=%d. np=%d\n%v\n", r, nc, np, &Ablk)
		       fmt.Printf("wblk m(wblk)=%d:\n%v\n", m(&w5), &w5)
		   }
		*/
		// ------------------------------------------------------------
		nc += np
		continue3x3to2x2(
			&ATL, &ATR,
			&ABL, &ABR, &A00, &a11, &A22, A, pBOTTOMRIGHT)
		contPivot3x1to2x1(
			&pT,
			&pB, &p0, &p1, p, pBOTTOM)

	}
	// undo applied partial row pivots (AL, w00)
	//undo:
	return err, nc
}
Exemple #26
0
func findAndBuildBKPivotUpper(AL, AR, WL, WR *matrix.FloatMatrix, k int) (int, int) {
	var r, q int
	var rcol, qrow, src, wk, wkp1, wrow matrix.FloatMatrix

	lc := AL.Cols() - 1
	wc := WL.Cols() - 1
	lr := AL.Rows() - 1
	// Copy AR[:,lc] to WR[:,wc] and update with WL[0:]
	AL.SubMatrix(&src, 0, lc, AL.Rows(), 1)
	WL.SubMatrix(&wk, 0, wc, AL.Rows(), 1)
	src.CopyTo(&wk)
	if k > 0 {
		WR.SubMatrix(&wrow, lr, 0, 1, WR.Cols())
		//fmt.Printf("wrow: %v\n", &wrow)
		MVMult(&wk, AR, &wrow, -1.0, 1.0, NOTRANS)
		//fmt.Printf("wk after update:\n%v\n", &wk)
	}
	if AL.Rows() == 1 {
		return -1, 1
	}
	amax := math.Abs(WL.GetAt(lr, wc))

	// find max off-diagonal on first column.
	WL.SubMatrix(&rcol, 0, wc, lr, 1)
	//fmt.Printf("rcol:\n%v\n", &rcol)
	// r is row index and rmax is its absolute value
	r = IAMax(&rcol)
	rmax := math.Abs(rcol.GetAt(r, 0))
	//fmt.Printf("r=%d, amax=%e, rmax=%e\n", r, amax, rmax)
	if amax >= bkALPHA*rmax {
		// no pivoting, 1x1 diagonal
		return -1, 1
	}

	// Now we need to copy row r to WR[:,wc-1] and update it
	WL.SubMatrix(&wkp1, 0, wc-1, AL.Rows(), 1)
	if r > 0 {
		// above the diagonal part of AL
		AL.SubMatrix(&qrow, 0, r, r, 1)
		qrow.CopyTo(&wkp1)
	}
	//fmt.Printf("m(AR)=%d, r=%d, qrow: %v\n", AL.Rows(), r, &qrow)
	var wkr matrix.FloatMatrix
	AL.SubMatrix(&qrow, r, r, 1, AL.Rows()-r)
	wkp1.SubMatrix(&wkr, r, 0, AL.Rows()-r, 1)
	qrow.CopyTo(&wkr)
	//fmt.Printf("m(AR)=%d, r=%d, qrow: %v\n", AR.Rows(), r, &qrow)
	if k > 0 {
		// update wkp1
		WR.SubMatrix(&wrow, r, 0, 1, WR.Cols())
		//fmt.Printf("initial wpk1:\n%v\n", &wkp1)
		MVMult(&wkp1, AR, &wrow, -1.0, 1.0, NOTRANS)
	}
	//fmt.Printf("updated wpk1:\n%v\n", &wkp1)

	// set on-diagonal entry to zero to avoid hitting it.
	p1 := wkp1.GetAt(r, 0)
	wkp1.SetAt(r, 0, 0.0)
	// max off-diagonal on r'th column/row at index q
	q = IAMax(&wkp1)
	qmax := math.Abs(wkp1.GetAt(q, 0))
	wkp1.SetAt(r, 0, p1)
	//fmt.Printf("blk: r=%d, q=%d, amax=%e, rmax=%e, qmax=%e\n", r, q, amax, rmax, qmax)

	if amax >= bkALPHA*rmax*(rmax/qmax) {
		// no pivoting, 1x1 diagonal
		return -1, 1
	}
	// if q == r then qmax is not off-diagonal, qmax == WR[r,1] and
	// we get 1x1 pivot as following is always true
	if math.Abs(WL.GetAt(r, wc-1)) >= bkALPHA*qmax {
		// 1x1 pivoting and interchange with k, r
		// pivot row in column WR[:,1] to W[:,0]
		//p1 := WL.GetAt(r, wc-1)
		WL.SubMatrix(&src, 0, wc-1, AL.Rows(), 1)
		WL.SubMatrix(&wkp1, 0, wc, AL.Rows(), 1)
		src.CopyTo(&wkp1)
		wkp1.SetAt(-1, 0, src.GetAt(r, 0))
		wkp1.SetAt(r, 0, src.GetAt(-1, 0))
		return r, 1
	} else {
		// 2x2 pivoting and interchange with k+1, r
		return r, 2
	}
	return -1, 1
}
Exemple #27
0
func blkDecompBKLower(A, W *matrix.FloatMatrix, p *pPivots, nb int) (err error) {
	var ATL, ATR, ABL, ABR matrix.FloatMatrix
	var A00, A10, A11, A20, A21, A22 matrix.FloatMatrix
	var wrk matrix.FloatMatrix
	var pT, pB, p0, p1, p2 pPivots
	var nblk int = 0

	err = nil
	partition2x2(
		&ATL, &ATR,
		&ABL, &ABR, A, 0, 0, pTOPLEFT)
	partitionPivot2x1(
		&pT,
		&pB, p, 0, pTOP)

	for ABR.Cols() >= nb {
		err, nblk = unblkBoundedBKLower(&ABR, W, &pB, nb)

		// repartition nblk size
		repartition2x2to3x3(&ATL,
			&A00, nil, nil,
			&A10, &A11, nil,
			&A20, &A21, &A22, A, nblk, pBOTTOMRIGHT)
		repartPivot2x1to3x1(&pT,
			&p0, &p1, &p2 /**/, p, nblk, pBOTTOM)

		// --------------------------------------------------------
		// here [A11;A21] has been decomposed by unblkBoundedBKLower()
		// Now we need update A22

		// wrk is original A21
		W.SubMatrix(&wrk, nblk, 0, A21.Rows(), nblk)

		// A22 = A22 - L21*D1*L21.T = A22 - L21*W.T
		UpdateTrm(&A22, &A21, &wrk, -1.0, 1.0, LOWER|TRANSB)

		// partially undo row pivots left of diagonal
		for k := nblk; k > 0; k-- {
			var s, d matrix.FloatMatrix
			r := p1.pivots[k-1]
			rlen := k - 1
			if r < 0 {
				r = -r
				rlen--
			}
			if r == k {
				// no pivot
				continue
			}
			ABR.SubMatrix(&s, k-1, 0, 1, rlen)
			ABR.SubMatrix(&d, r-1, 0, 1, rlen)
			Swap(&d, &s)

			if p1.pivots[k-1] < 0 {
				k-- // skip other entry in 2x2 pivots
			}
		}

		// shift pivot values
		for k, n := range p1.pivots {
			if n > 0 {
				p1.pivots[k] += ATL.Rows()
			} else {
				p1.pivots[k] -= ATL.Rows()
			}
		}

		// zero work for debuging
		W.Scale(0.0)

		// ---------------------------------------------------------

		continue3x3to2x2(
			&ATL, &ATR,
			&ABL, &ABR, &A00, &A11, &A22, A, pBOTTOMRIGHT)
		contPivot3x1to2x1(
			&pT,
			&pB, &p0, &p1, p, pBOTTOM)
	}

	// do the last part with unblocked code
	if ABR.Cols() > 0 {
		unblkDecompBKLower(&ABR, W, &pB)
		// shift pivot values
		for k, n := range pB.pivots {
			if n > 0 {
				pB.pivots[k] += ATL.Rows()
			} else {
				pB.pivots[k] -= ATL.Rows()
			}
		}
	}
	return
}
Exemple #28
0
/*
 Repartition 2 by 2 blocks to 3 by 3 blocks.

                      A00 | A01 : A02
   ATL | ATR   nb     ===============
   =========   -->    A10 | A11 : A12
   ABL | ABR          ---------------
                      A20 | A21 : A22

 ATR, ABL, ABR implicitely defined by ATL and A.
 It is valid to have either the strictly upper or lower submatrices as nil values.

*/
func repartition2x2to3x3(ATL,
	A00, A01, A02, A10, A11, A12, A20, A21, A22, A *matrix.FloatMatrix, nb int, pdir pDirection) {

	k := ATL.Rows()
	switch pdir {
	case pBOTTOMRIGHT:
		if k+nb > A.Cols() {
			nb = A.Cols() - k
		}
		A.SubMatrix(A00, 0, 0, k, k)
		if A01 != nil {
			A.SubMatrix(A01, 0, k, k, nb)
		}
		if A02 != nil {
			A.SubMatrix(A02, 0, k+nb, k, A.Cols()-k-nb)
		}

		if A10 != nil {
			A.SubMatrix(A10, k, 0, nb, k)
		}
		A.SubMatrix(A11, k, k, nb, nb)
		if A12 != nil {
			A.SubMatrix(A12, k, k+nb, nb, A.Cols()-k-nb)
		}

		if A20 != nil {
			A.SubMatrix(A20, k+nb, 0, A.Rows()-k-nb, k)
		}
		if A21 != nil {
			A.SubMatrix(A21, k+nb, k, A.Rows()-k-nb, nb)
		}
		A.SubMatrix(A22, k+nb, k+nb)
	case pTOPLEFT:
		if nb > k {
			nb = k
		}
		// move towards top left corner
		A.SubMatrix(A00, 0, 0, k-nb, k-nb)
		if A01 != nil {
			A.SubMatrix(A01, 0, k-nb, k-nb, nb)
		}
		if A02 != nil {
			A.SubMatrix(A02, 0, k, k-nb, A.Cols()-k)
		}

		if A10 != nil {
			A.SubMatrix(A10, k-nb, 0, nb, k-nb)
		}
		A.SubMatrix(A11, k-nb, k-nb, nb, nb)
		if A12 != nil {
			A.SubMatrix(A12, k-nb, k, nb, A.Cols()-k)
		}

		if A20 != nil {
			A.SubMatrix(A20, k, 0, A.Rows()-k, k-nb)
		}
		if A21 != nil {
			A.SubMatrix(A21, k, k-nb, A.Rows()-k, nb)
		}
		A.SubMatrix(A22, k, k)
	}
}
Exemple #29
0
func unblkBoundedBKUpper(A, wrk *matrix.FloatMatrix, p *pPivots, ncol int) (error, int) {
	var err error
	var ATL, ATR, ABL, ABR matrix.FloatMatrix
	var A00, a01, A02, a11, a12t, A22, a11inv matrix.FloatMatrix
	var w00, w01, w11 matrix.FloatMatrix
	var cwrk matrix.FloatMatrix
	var wx, Ax, wz matrix.FloatMatrix
	var pT, pB, p0, p1, p2 pPivots

	err = nil
	nc := 0
	if ncol > A.Cols() {
		ncol = A.Cols()
	}

	partition2x2(
		&ATL, &ATR,
		&ABL, &ABR, A, 0, 0, pBOTTOMRIGHT)
	partitionPivot2x1(
		&pT,
		&pB, p, 0, pBOTTOM)

	// permanent working space for symmetric inverse of a11
	wrk.SubMatrix(&a11inv, wrk.Rows()-2, 0, 2, 2)
	a11inv.SetAt(0, 1, -1.0)
	a11inv.SetAt(1, 0, -1.0)

	for ATL.Cols() > 0 && nc < ncol {

		partition2x2(
			&w00, &w01,
			nil, &w11, wrk, nc, nc, pBOTTOMRIGHT)
		merge1x2(&wx, &w00, &w01)
		merge1x2(&Ax, &ATL, &ATR)

		//fmt.Printf("ATL:\n%v\n", &ATL)
		r, np := findAndBuildBKPivotUpper(&ATL, &ATR, &w00, &w01, nc)
		//fmt.Printf("[w00;w01]:\n%v\n", &wx)
		//fmt.Printf("after find: r=%d, np=%d, ncol=%d, nc=%d\n", r, np, ncol, nc)
		w00.SubMatrix(&wz, 0, w00.Cols()-2, w00.Rows(), 2)
		if np > ncol-nc {
			// next pivot does not fit into ncol columns, restore last column,
			// return with number of factorized columns
			return err, nc
		}
		if r != -1 {
			// pivoting needed; np == 1, last row; np == 2; next to last rows
			nrow := ATL.Rows() - np
			applyBKPivotSym(&ATL, nrow, r, UPPER)
			// swap left hand rows to get correct updates
			swapRows(&ATR, nrow, r)
			swapRows(&w01, nrow, r)
			if np == 2 {
				/* pivot block on diagonal; -1,-1
				 * [r, r] | [r ,-1]
				 * ----------------  2-by-2 pivot, swapping [1,0] and [r,0]
				 * [r,-1] | [-1,-1]
				 */
				t0 := w00.GetAt(-2, -1)
				tr := w00.GetAt(r, -1)
				//fmt.Printf("nc=%d, t0=%e, tr=%e\n", nc, t0, tr)
				w00.SetAt(-2, -1, tr)
				w00.SetAt(r, -1, t0)
				// interchange diagonal entries on w11[:,1]
				t0 = w00.GetAt(-2, -2)
				tr = w00.GetAt(r, -2)
				w00.SetAt(-2, -2, tr)
				w00.SetAt(r, -2, t0)
				//fmt.Printf("wrk:\n%v\n", &wz)
			}
			//fmt.Printf("pivoted A:\n%v\n", &Ax)
			//fmt.Printf("pivoted wrk:\n%v\n", &wx)
		}

		// repartition according the pivot size
		repartition2x2to3x3(&ATL,
			&A00, &a01, &A02,
			nil, &a11, &a12t,
			nil, nil, &A22 /**/, A, np, pTOPLEFT)
		repartPivot2x1to3x1(&pT,
			&p0,
			&p1,
			&p2 /**/, p, np, pTOP)
		// ------------------------------------------------------------

		wlc := w00.Cols() - np
		//wlr := w00.Rows() - 1
		w00.SubMatrix(&cwrk, 0, wlc, a01.Rows(), np)
		if np == 1 {
			//fmt.Printf("wz:\n%v\n", &wz)
			//fmt.Printf("a11 <-- %e\n", w00.GetAt(a01.Rows(), wlc))

			//w00.SubMatrix(&cwrk, 0, wlc-np+1, a01.Rows(), np)
			a11.SetAt(0, 0, w00.GetAt(a01.Rows(), wlc))
			// a21 = a21/a11
			//fmt.Printf("np == 1: pre-update a01\n%v\n", &a01)
			cwrk.CopyTo(&a01)
			InvScale(&a01, a11.Float())
			//fmt.Printf("np == 1: cwrk\n%v\na21\n%v\n", &cwrk, &a21)
			// store pivot point relative to original matrix
			if r == -1 {
				p1.pivots[0] = ATL.Rows()
			} else {
				p1.pivots[0] = r + 1
			}
		} else if np == 2 {
			/*         d | b
			 * w00 == ------
			 *         . | a
			 */
			a := w00.GetAt(-1, -1)
			b := w00.GetAt(-2, -1)
			d := w00.GetAt(-2, -2)
			a11inv.SetAt(1, 1, d/b)
			a11inv.SetAt(0, 0, a/b)
			// denominator: (a/b)*(d/b)-1.0 == (a*d - b^2)/b^2
			scale := 1.0 / ((a/b)*(d/b) - 1.0)
			scale /= b
			//fmt.Printf("a11inv:\n%v\n", &a11inv)

			// a01 = a01*a11.-1
			Mult(&a01, &cwrk, &a11inv, scale, 0.0, NOTRANS)
			a11.SetAt(1, 1, a)
			a11.SetAt(0, 1, b)
			a11.SetAt(0, 0, d)

			// store pivot point relative to original matrix
			p1.pivots[0] = -(r + 1)
			p1.pivots[1] = p1.pivots[0]
		}

		//fmt.Printf("end-of-loop: Ax r=%d, nc=%d. np=%d\n%v\n", r, nc, np, &Ax)
		//fmt.Printf("wx m(wblk)=%d:\n%v\n", m(&wx), &wx)

		// ------------------------------------------------------------
		nc += np
		continue3x3to2x2(
			&ATL, &ATR,
			&ABL, &ABR, &A00, &a11, &A22, A, pTOPLEFT)
		contPivot3x1to2x1(
			&pT,
			&pB, &p0, &p1, p, pTOP)

	}
	return err, nc
}
Exemple #30
0
/*
 Redefine 2 by 2 blocks from 3 by 3 partition.

                      A00 : A01 | A02
   ATL | ATR   nb     ---------------
   =========   <--    A10 : A11 | A12
   ABL | ABR          ===============
                      A20 : A21 | A22

 New division of ATL, ATR, ABL, ABR defined by diagonal entries A00, A11, A22
*/
func continue3x3to2x2(
	ATL, ATR, ABL, ABR,
	A00, A11, A22, A *matrix.FloatMatrix, pdir pDirection) {

	k := A00.Rows()
	mb := A11.Cols()
	switch pdir {
	case pBOTTOMRIGHT:
		A.SubMatrix(ATL, 0, 0, k+mb, k+mb)
		A.SubMatrix(ATR, 0, k+mb, k+mb, A.Cols()-k-mb)

		A.SubMatrix(ABL, k+mb, 0, A.Rows()-k-mb, k+mb)
		A.SubMatrix(ABR, k+mb, k+mb)
	case pTOPLEFT:
		A.SubMatrix(ATL, 0, 0, k, k)
		A.SubMatrix(ATR, 0, k, k, A.Cols()-k)

		A.SubMatrix(ABL, k, 0, A.Rows()-k, A.Cols()-k)
		A.SubMatrix(ABR, k, k)
	}
}