/// <summary>
/// cholesky factorization
/// </summary>
/// <param name="A">hermitian matrix A. A must be a symmetric matrix.
/// Therefore the upper triangular part of A must be
/// <param name="throwException">throw an ILArgumentException if A
/// is found not to be positive definite.</param>
/// the (complex conjugate) of the lower triangular part. No check
/// is made for that! <br/>
/// The elements of A will not be altered.</param>
/// <returns>cholesky factorization</returns>
/// <remarks><para>if <paramref name="throwException"/> is true and
/// A is found not to be positive definite, an ILArgumentException
/// will be thrown and the operation will be canceled.</para>
/// <para> If <paramref name="throwException"/> is false, check the
/// return value's dimension to determine the success of the
/// operation (unless you are sure, A was positive definite).
/// If A was found not pos.def. the matrix returned
/// will be of dimension [k x k] and the result of the cholesky
/// factorization of A[0:k-1;0:k-1]. Here k is the first leading
/// minor of A which was found to be not positive definite. </para>
/// The factorization is carried out by use of the LAPACK functions
/// DPOTRF, ZPOTRF, SPOTRF or CPOTRF respectively. </remarks>
public static /*!HC:inCls1*/ ILArray <double> chol(
/*!HC:inCls1*/ ILArray <double> A, bool throwException)
{
if (!A.IsMatrix)
{
throw new ILArgumentSizeException("chol is defined for matrices only!");
}
int n = A.Dimensions[0], info = 0;
if (A.Dimensions[1] != n)
{
throw new ILArgumentException("chol: input matrix must be square!");
}
/*!HC:inCls1*/ ILArray <double> ret = A.copyUpperTriangle(n);
/*!HC:lapack_*potrf*/ Lapack.dpotrf('U', n, ret.m_data, n, ref info);
if (info < 0)
{
throw new ILArgumentException("chol: illegal parameter error.");
}
else if (info > 0)
{
// not pos.definite
if (!throwException)
{
if (info > 1)
{
int newDim = info - 1;
ret = A.copyUpperTriangle(newDim);
/*!HC:lapack_*potrf*/ Lapack.dpotrf('U', newDim, ret.m_data, newDim, ref info);
if (info != 0)
{
throw new ILArgumentException("chol: the original matrix given was not pos. definit. An attempt to decompose the submatrix of order " + (newDim + 1).ToString() + " failed.");
}
return(ret);
}
else
{
return /*!HC:inCls1*/ (ILArray <double> .empty(0, 0));
}
}
else
{
throw new ILArgumentException("chol: the matrix given is not positive definite!");
}
}
return(ret);
}
/// <summary>
/// Solve linear equation system
/// </summary>
/// <param name="A">Matrix A. Size [n x q]</param>
/// <param name="B">'rigth hand side' B. Size [n x m]</param>
/// <param name="props">Matrix properties. If defined, no checks are made for the structure of A. If the matrix A was found to be (close to or) singular, the 'MatrixProperties.Singular' flag in props will be set. This flag should be tested on return, in order to verify the reliability of the solution.</param>
/// <returns>the solution x solving multiply(A,x) = B. Size [n x m]</returns>
/// <remarks><para>depending on the <paramref name="props"/> parameter the equation system will be solved differently for special structures of A:
/// <list type="bullet">
/// <item>If A is square (q == n) and an <b>upper or lower triangular</b> matrix, the system will directly be solved via backward- or forward substitution. Therefore the Lapack function ?trtrs will be used, whenever the memory layout of A is suitable. This may be the case even for reference ILArray's!
/// <example><![CDATA[ILArray<double> A = ILMath.randn(4); // construct 4 x 4 matrix
/// A = A.T; // A is a reference array now! The transpose is fast and does not consume much memory
/// // now construct a right side and solve the equations:
/// ILArray<double> B = new ILArray<double> (1.0,2.0,3.0).T;
/// ILMath.linsolve(A,B); // ... will be carried out via Lapack, even for all arrays involved beeing reference arrays! ]]></example></item>
/// <item><para>if A is square and symmetric or hermitian, A will be decomposed into a triangular equation system using cholesky factorization and Lapack. The system is than solved using performant Lapack routines.</para>
/// <para>if during the cholesky factorization A was found to be <b>not positive definite</b> - the corresponding flag in props will be cleaned and <c>null</c> will be returned.</para></item>
/// <item>otherwise if A is square only, it will be decomposed into upper and lower triangular matrices using LU decomposition and Lapack. The triangular system is than solved using performant Lapack routines.</item>
/// <item>otherwise, if A is of size [q x n] and q != n, the system is solved using QR decomposition. A may be rank deficient. The solution is computed by use of the Lapack routine '?gelsy' and may be a reference array.</item>
/// </list></para>
/// <para>Compatibility with Matlab<sup>(R)</sup>: If A is square, the algorithm used follows the same logic as Matlab up to Rel 14, with the exception of Hessenberg matrices wich are solved via LU factorization here. The un-squared case is handled differently. A direct Lapack driver function (?gelsy) is used here. Therefore the solutions might differ! However, the solution will of course fullfill the equation A * x = B without round off errrors. </para>
/// <para>For specifiying the rank of A in the unsquare case (q != n), the eps member from <see cref="ILNumerics.Settings.ILSettings"/> class is used.</para></remarks>
public static /*!HC:inCls1*/ ILArray <double> linsolve(/*!HC:inCls1*/ ILArray <double> A, /*!HC:inCls1*/ ILArray <double> B, ref MatrixProperties props)
{
if (object.Equals(A, null))
{
throw new ILArgumentException("linsolve: input argument A must not be null!");
}
if (object.Equals(B, null))
{
throw new ILArgumentException("linsolve: input argument B must not be null!");
}
if (A.IsEmpty || B.IsEmpty)
{
return /*!HC:inCls1*/ (ILArray <double> .empty(A.Dimensions));
}
if (A.Dimensions[0] != B.Dimensions[0])
{
throw new ILArgumentException("linsolve: number of rows for matrix A must match number of rows for RHS!");
}
int info = 0, m = A.Dimensions[0];
/*!HC:inCls1*/ ILArray <double> ret;
if (m == A.Dimensions[1])
{
props |= MatrixProperties.Square;
if ((props & MatrixProperties.LowerTriangular) != 0)
{
ret = solveLowerTriangularSystem(A, B, ref info);
if (info > 0)
{
props |= MatrixProperties.Singular;
}
return(ret);
}
if ((props & MatrixProperties.UpperTriangular) != 0)
{
ret = solveUpperTriangularSystem(A, B, ref info);
if (info > 0)
{
props |= MatrixProperties.Singular;
}
return(ret);
}
if ((props & MatrixProperties.Hermitian) != 0)
{
/*!HC:inCls1*/ ILArray <double> cholFact = A.copyUpperTriangle(m);
/*!HC:lapack_*potrf*/ Lapack.dpotrf('U', m, cholFact.m_data, m, ref info);
if (info > 0)
{
props ^= MatrixProperties.Hermitian;
return(null);
}
else
{
// solve
ret = (/*!HC:inCls1*/ ILArray <double>)B.Clone();
/*!HC:lapack_*potrs*/ Lapack.dpotrs('U', m, B.Dimensions[1], cholFact.m_data, m, ret.m_data, m, ref info);
return(ret);
}
}
else
{
// attempt complete (expensive) LU factorization
/*!HC:inCls1*/ ILArray <double> L = (/*!HC:inCls1*/ ILArray <double>)A.Clone();
int [] pivInd = new int[m];
/*!HC:lapack_*getrf*/ Lapack.dgetrf(m, m, L.m_data, m, pivInd, ref info);
if (info > 0)
{
props |= MatrixProperties.Singular;
}
ret = (/*!HC:inCls1*/ ILArray <double>)B.Clone();
/*!HC:lapack_*getrs*/ Lapack.dgetrs('N', m, B.Dimensions[1], L.m_data, m, pivInd, ret.m_data, m, ref info);
if (info < 0)
{
throw new ILArgumentException("linsolve: failed to solve via lapack dgetrs");
}
return(ret);
}
}
else
{
// under- / overdetermined system
int n = A.Dimensions[1], rank = 0, minMN = (m < n)? m:n, maxMN = (m > n)? m:n;
int nrhs = B.Dimensions[1];
if (B.Dimensions[0] != m)
{
throw new ILArgumentException("linsolve: right hand side matrix B must match input A!");
}
/*!HC:inCls1*/ ILArray <double> tmpA = (/*!HC:inCls1*/ ILArray <double>)A.Clone();
if (m < n)
{
ret = new /*!HC:inCls1*/ ILArray <double> (new /*!HC:inArr1*/ double [n * nrhs], n, nrhs);
ret["0:" + (m - 1) + ";:"] = B;
}
else
{
ret = (/*!HC:inCls1*/ ILArray <double>)B.Clone();
}
int [] JPVT = new int [n];
/*!HC:Lapack.?gelsy*/ Lapack.dgelsy(m, n, B.Dimensions[1], tmpA.m_data, m, ret.m_data,
maxMN, JPVT, /*!HC:HycalpEPS*/ ILMath.MachineParameterDouble.eps,
ref rank, ref info);
if (n < m)
{
ret = ret[ILMath.vector(0, n - 1), null];
}
if (rank < minMN)
{
props |= MatrixProperties.RankDeficient;
}
return(ret);
}
}