/// <summary>
/// Returns <c>this</c> minus <c>m</c>.
/// </summary>
/// <param name="m">Matrix to be subtracted.</param>
/// <returns><c>this - m</c>.</returns>
/// <exception cref="MatrixDimensionMismatchException"> if <c>m</c> is not the same
/// size as <c>this</c>.</exception>
public Array2DRowRealMatrix subtract(Array2DRowRealMatrix m)
{
MatrixUtils.checkSubtractionCompatible(this, m);
int rowCount = getRowDimension();
int columnCount = getColumnDimension();
double[][] outData = new double[rowCount][];
for (int row = 0; row < rowCount; row++)
{
double[] dataRow = data[row];
double[] mRow = m.data[row];
double[] outDataRow = outData[row];
for (int col = 0; col < columnCount; col++)
{
outDataRow[col] = dataRow[col] - mRow[col];
}
}
return(new Array2DRowRealMatrix(outData, false));
}
/// <summary>
/// Returns the result of postmultiplying <c>this</c> by <c>m</c>.
/// </summary>
/// <param name="m">matrix to postmultiply by</param>
/// <returns><c>this * m</c></returns>
/// <exception cref="DimensionMismatchException"> if
/// <c>columnDimension(this) != rowDimension(m)</c></exception>
public Array2DRowRealMatrix multiply(Array2DRowRealMatrix m)
{
MatrixUtils.checkMultiplicationCompatible(this, m);
int nRows = this.getRowDimension();
int nCols = m.getColumnDimension();
int nSum = this.getColumnDimension();
double[][] outData = new double[nRows][];
// Will hold a column of "m".
double[] mCol = new double[nSum];
double[][] mData = m.data;
// Multiply.
for (int col = 0; col < nCols; col++)
{
// Copy all elements of column "col" of "m" so that
// will be in contiguous memory.
for (int mRow = 0; mRow < nSum; mRow++)
{
mCol[mRow] = mData[mRow][col];
}
for (int row = 0; row < nRows; row++)
{
double[] dataRow = data[row];
double sum = 0;
for (int i = 0; i < nSum; i++)
{
sum += dataRow[i] * mCol[i];
}
outData[row][col] = sum;
}
}
return(new Array2DRowRealMatrix(outData, false));
}
/// <summary>
/// Returns the n × n covariance matrix.
/// <para>The covariance matrix is V × J × V^T
/// where J is the diagonal matrix of the inverse of the squares of
/// the singular values.</para>
/// </summary>
/// <param name="minSingularValue">value below which singular values are ignored
/// (a 0 or negative value implies all singular value will be used)</param>
/// <returns>covariance matrix</returns>
/// <exception cref="IllegalArgumentException"> if minSingularValue is larger than
/// the largest singular value, meaning all singular values are ignored</exception>
public RealMatrix getCovariance(double minSingularValue)
{
// get the number of singular values to consider
int p = singularValues.Length;
int dimension = 0;
while (dimension < p &&
singularValues[dimension] >= minSingularValue)
{
++dimension;
}
if (dimension == 0)
{
throw new NumberIsTooLargeException <Double, Double>(new LocalizedFormats("TOO_LARGE_CUTOFF_SINGULAR_VALUE"), minSingularValue, singularValues[0], true);
}
double[][] data = new double[dimension][];
getVT().walkInOptimizedOrder(new DefaultRealMatrixPreservingVisitorAnonymous(data, singularValues), 0, dimension - 1, 0, p - 1);
RealMatrix jv = new Array2DRowRealMatrix(data, false);
return(jv.transpose().multiply(jv));
}
/// <summary>
/// Computes the inverse of the given matrix by splitting it into
/// 4 sub-matrices.
/// </summary>
/// <param name="m">Matrix whose inverse must be computed.</param>
/// <param name="splitIndex">Index that determines the "split" line and
/// column.
/// The element corresponding to this index will part of the
/// upper-left sub-matrix.</param>
/// <returns>the inverse of <c>m</c>.</returns>
/// <exception cref="NonSquareMatrixException"> if <c>m</c> is not square.</exception>
public static RealMatrix blockInverse(RealMatrix m, int splitIndex)
{
int n = m.getRowDimension();
if (m.getColumnDimension() != n)
{
throw new NonSquareMatrixException(m.getRowDimension(),
m.getColumnDimension());
}
int splitIndex1 = splitIndex + 1;
RealMatrix a = m.getSubMatrix(0, splitIndex, 0, splitIndex);
RealMatrix b = m.getSubMatrix(0, splitIndex, splitIndex1, n - 1);
RealMatrix c = m.getSubMatrix(splitIndex1, n - 1, 0, splitIndex);
RealMatrix d = m.getSubMatrix(splitIndex1, n - 1, splitIndex1, n - 1);
SingularValueDecomposition aDec = new SingularValueDecomposition(a);
DecompositionSolver aSolver = aDec.getSolver();
if (!aSolver.isNonSingular())
{
throw new SingularMatrixException();
}
RealMatrix aInv = aSolver.getInverse();
SingularValueDecomposition dDec = new SingularValueDecomposition(d);
DecompositionSolver dSolver = dDec.getSolver();
if (!dSolver.isNonSingular())
{
throw new SingularMatrixException();
}
RealMatrix dInv = dSolver.getInverse();
RealMatrix tmp1 = a.subtract(b.multiply(dInv).multiply(c));
SingularValueDecomposition tmp1Dec = new SingularValueDecomposition(tmp1);
DecompositionSolver tmp1Solver = tmp1Dec.getSolver();
if (!tmp1Solver.isNonSingular())
{
throw new SingularMatrixException();
}
RealMatrix result00 = tmp1Solver.getInverse();
RealMatrix tmp2 = d.subtract(c.multiply(aInv).multiply(b));
SingularValueDecomposition tmp2Dec = new SingularValueDecomposition(tmp2);
DecompositionSolver tmp2Solver = tmp2Dec.getSolver();
if (!tmp2Solver.isNonSingular())
{
throw new SingularMatrixException();
}
RealMatrix result11 = tmp2Solver.getInverse();
RealMatrix result01 = aInv.multiply(b).multiply(result11).scalarMultiply(-1);
RealMatrix result10 = dInv.multiply(c).multiply(result00).scalarMultiply(-1);
RealMatrix result = new Array2DRowRealMatrix(n, n);
result.setSubMatrix(result00.getData(), 0, 0);
result.setSubMatrix(result01.getData(), 0, splitIndex1);
result.setSubMatrix(result10.getData(), splitIndex1, 0);
result.setSubMatrix(result11.getData(), splitIndex1, splitIndex1);
return(result);
}
