public static double HouseholderTransform(PZMath_vector v)
{
/* replace v[0:n-1] with a householder vector (v[0:n-1]) and
coefficient tau that annihilate v[1:n-1] */
int n = v.Size;
if (n == 1)
{
return 0.0; /* tau = 0 */
}
else
{
double alpha, beta, tau ;
PZMath_vector x = v.SubVector(1, n - 1);
double xnorm = PZMath_blas.Dnrm2(x);
if (xnorm == 0)
{
return 0.0; /* tau = 0 */
}
alpha = v[0];
beta = - (alpha >= 0.0 ? +1.0 : -1.0) * PZMath_sys.Hypot (alpha, xnorm) ;
tau = (beta - alpha) / beta ;
PZMath_blas.Dscal(1.0 / (alpha - beta), x);
v[0] = beta;
return tau;
}
}
public static int HouseholderHV(double tau, PZMath_vector v, PZMath_vector w)
{
/* applies a householder transformation v to vector w */
int N = v.Size;
if (tau == 0)
return PZMath_errno.PZMath_SUCCESS;
{
/* compute d = v'w */
double d0 = w[0];
double d1, d;
PZMath_vector v1 = v.SubVector(1, N - 1);
PZMath_vector w1 = w.SubVector(1, N - 1);
PZMath_blas.Ddot(v1, w1, out d1);
d = d0 + d1;
/* compute w = w - tau (v) (v'w) */
{
double w0 = w[0];
w[0] = w0 - tau * d;
}
PZMath_blas.Daxpy(-tau * d, v1, w1);
}
return PZMath_errno.PZMath_SUCCESS;
}
public static int SVDecomp(PZMath_matrix A, PZMath_matrix V, PZMath_vector S, PZMath_vector work)
{
int a, b, i, j;
int M = A.RowCount;
int N = A.ColumnCount;
int K = System.Math.Min(M, N);
if (M < N)
{
PZMath_errno.ERROR ("PZMath_linalg::SVDDecomp(),svd of MxN matrix, M<N, is not implemented", PZMath_errno.PZMath_EUNIMPL);
}
else if (V.RowCount != N)
{
PZMath_errno.ERROR ("PZMath_linalg::SVDDecomp(), square matrix V must match second dimension of matrix A",
PZMath_errno.PZMath_EBADLEN);
}
else if (V.RowCount != V.ColumnCount)
{
PZMath_errno.ERROR ("PZMath_linalg::SVDDecomp(),matrix V must be square", PZMath_errno.PZMath_ENOTSQR);
}
else if (S.Size != N)
{
PZMath_errno.ERROR ("PZMath_linalg::SVDDecomp(),length of vector S must match second dimension of matrix A",
PZMath_errno.PZMath_EBADLEN);
}
else if (work.Size != N)
{
PZMath_errno.ERROR ("PZMath_linalg::SVDDecomp(),length of workspace must match second dimension of matrix A",
PZMath_errno.PZMath_EBADLEN);
}
/* Handle the case of N = 1 (SVD of a column vector) */
if (N == 1)
{
PZMath_vector column = A.Column(0);
double norm = PZMath_blas.Dnrm2(column);
S[0] = norm;
V[0, 0] = 1.0;
if (norm != 0.0)
{
PZMath_blas.Dscal(1.0 / norm, column);
}
return PZMath_errno.PZMath_SUCCESS;
}
{
PZMath_vector f = work.SubVector(0, K - 1);
/* bidiagonalize matrix A, unpack A into U S V */
PZMath_linalg.BidiagDecomp (A, S, f);
PZMath_linalg.BidiagUnpack2 (A, S, f, V);
/* apply reduction steps to B=(S,Sd) */
ChopSmallElements (S, f);
/* Progressively reduce the matrix until it is diagonal */
b = N - 1;
while (b > 0)
{
double fbm1 = f[b - 1];
if (fbm1 == 0.0 || PZMath_sys.Isnan (fbm1))
{
b--;
continue;
}
/* Find the largest unreduced block (a,b) starting from b
and working backwards */
a = b - 1;
while (a > 0)
{
double fam1 = f[a - 1];
if (fam1 == 0.0 || PZMath_sys.Isnan (fam1))
{
break;
}
a--;
}
{
int n_block = b - a + 1;
PZMath_vector S_block = S.SubVector(a, n_block);
PZMath_vector f_block = f.SubVector (a, n_block - 1);
PZMath_matrix U_block = A.Submatrix(0, a, A.RowCount, n_block);
PZMath_matrix V_block = V.Submatrix(0, a, V.RowCount, n_block);
QRStep (S_block, f_block, U_block, V_block);
/* remove any small off-diagonal elements */
ChopSmallElements (S_block, f_block);
}
}
}
/* Make singular values positive by reflections if necessary */
for (j = 0; j < K; j++)
{
double Sj = S[j];
if (Sj < 0.0)
{
for (i = 0; i < N; i++)
{
double Vij = V[i, j];
V[i, j] = -Vij;
}
S[j] = -Sj;
}
}
/* Sort singular values into decreasing order */
for (i = 0; i < K; i++)
{
double S_max = S[i];
int i_max = i;
for (j = i + 1; j < K; j++)
{
double Sj = S[j];
if (Sj > S_max)
{
S_max = Sj;
i_max = j;
}
}
if (i_max != i)
{
/* swap eigenvalues */
S.Swap(i, i_max);
/* swap eigenvectors */
A.SwapColumns(i, i_max);
V.SwapColumns(i, i_max);
}
}
return PZMath_errno.PZMath_SUCCESS;
}
/* Modified algorithm which is better for M>>N */
public static int SVDecompMod(PZMath_matrix A, PZMath_matrix X, PZMath_matrix V, PZMath_vector S, PZMath_vector work)
{
int i, j;
int M = A.RowCount;
int N = A.ColumnCount;
if (M < N)
{
PZMath_errno.ERROR ("PZMath_linalg::SVDDecompMod(), svd of MxN matrix, M<N, is not implemented", PZMath_errno.PZMath_EUNIMPL);
}
else if (V.RowCount != N)
{
PZMath_errno.ERROR ("PZMath_linalg::SVDDecompMod(), square matrix V must match second dimension of matrix A",
PZMath_errno.PZMath_EBADLEN);
}
else if (V.RowCount != V.ColumnCount)
{
PZMath_errno.ERROR ("PZMath_linalg::SVDDecompMod(), matrix V must be square", PZMath_errno.PZMath_ENOTSQR);
}
else if (X.RowCount != N)
{
PZMath_errno.ERROR ("PZMath_linalg::SVDDecompMod(), square matrix X must match second dimension of matrix A",
PZMath_errno.PZMath_EBADLEN);
}
else if (X.RowCount != X.ColumnCount)
{
PZMath_errno.ERROR ("PZMath_linalg::SVDDecompMod(), matrix X must be square", PZMath_errno.PZMath_ENOTSQR);
}
else if (S.Size != N)
{
PZMath_errno.ERROR ("PZMath_linalg::SVDDecompMod(), length of vector S must match second dimension of matrix A",
PZMath_errno.PZMath_EBADLEN);
}
else if (work.Size != N)
{
PZMath_errno.ERROR ("PZMath_linalg::SVDDecompMod(), length of workspace must match second dimension of matrix A",
PZMath_errno.PZMath_EBADLEN);
}
if (N == 1)
{
PZMath_vector column = A.Column(0);
double norm = PZMath_blas.Dnrm2(column);
S[0] = norm;
V[0, 0] = 1.0;
if (norm != 0.0)
{
PZMath_blas.Dscal (1.0/norm, column);
}
return PZMath_errno.PZMath_SUCCESS;
}
/* Convert A into an upper triangular matrix R */
for (i = 0; i < N; i++)
{
PZMath_vector c = A.Column(i);
PZMath_vector v = c.SubVector(i, M - i);
double tau_i = PZMath_linalg.HouseholderTransform(v);
/* Apply the transformation to the remaining columns */
if (i + 1 < N)
{
PZMath_matrix m =A.Submatrix(i, i + 1, M - i, N - (i + 1));
PZMath_linalg.HouseholderHM(tau_i, v, m);
}
S[i] = tau_i;
}
/* Copy the upper triangular part of A into X */
for (i = 0; i < N; i++)
{
for (j = 0; j < i; j++)
{
X[i, j] = 0.0;
}
{
double Aii = A[i, i];
X[i, i] = Aii;
}
for (j = i + 1; j < N; j++)
{
double Aij = A[i, j];
X[i, j] = Aij;
}
}
/* Convert A into an orthogonal matrix L */
for (j = N; j > 0 && (j -- > 0);)
{
/* Householder column transformation to accumulate L */
double tj = S[j];
PZMath_matrix m = A.Submatrix(j, j, M - j, N - j);
PZMath_linalg.HouseholderHM1(tj, m);
}
/* unpack R into X V S */
PZMath_linalg.SVDecomp(X, V, S, work);
/* Multiply L by X, to obtain U = L X, stored in U */
{
PZMath_vector sum = work.SubVector(0, N);
for (i = 0; i < M; i++)
{
PZMath_vector L_i = A.Row(i);
sum.SetZero();
for (j = 0; j < N; j++)
{
double Lij = L_i[j];
PZMath_vector X_j = X.Row(j);
PZMath_blas.Daxpy(Lij, X_j, sum);
}
L_i.MemCopyFrom(sum);
}
}
return PZMath_errno.PZMath_SUCCESS;
}
public static int QR_QTvec(PZMath_matrix QR, PZMath_vector tau, PZMath_vector v)
{
int M = QR.RowCount;
int N = QR.ColumnCount;
if (tau.Size != System.Math.Min(M, N))
{
PZMath_errno.ERROR("size of tau must be MIN(M,N)", PZMath_errno.PZMath_EBADLEN);
}
else if (v.Size != M)
{
PZMath_errno.ERROR("vector size must be N", PZMath_errno.PZMath_EBADLEN);
}
else
{
int i;
/* compute Q^T v */
for (i = 0; i < System.Math.Min(M, N); i++)
{
PZMath_vector c = QR.Column(i);
PZMath_vector h = c.SubVector(i, M - i);
PZMath_vector w = v.SubVector(i, M - i);
double ti = tau[i];
HouseholderHV(ti, h, w);
}
return PZMath_errno.PZMath_SUCCESS;
}
return 0;
}