void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
{
if (nrhs < 2) {
mexErrMsgIdAndTxt("QUIC:arguments",
"Missing arguments, please specify\n"
" S - the empirical covariance matrix, and\n"
" L - the regularization parameter.");
}
long argIdx = 0;
char mode[8];
mode[0] = 'd';
if (mxIsChar(prhs[0])) {
mxGetString(prhs[0], mode, 8);
if (strcmp(mode, "path") &&
strcmp(mode, "trace") &&
strcmp(mode, "default"))
mexErrMsgIdAndTxt("QUIC:arguments",
"Invalid mode, use: 'default', 'path' or "
"'trace'.");
argIdx++;
}
// The empirical covariance matrix:
if (!mxIsDouble(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:type",
"Expected a double matrix. (Arg. %d)",
argIdx + 1);
const double* S = mxGetPr(prhs[argIdx]);
uint32_t p = (uint32_t) mxGetN(prhs[argIdx]);
if (p != uint32_t(mxGetM(prhs[argIdx]))) {
mexErrMsgIdAndTxt("QUIC:dimensions",
"Expected a square empirical covariance matrix.");
}
argIdx++;
// Regularization parameter matrix:
if (!mxIsDouble(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:type",
"Expected a double matrix. (Arg. %d)",
argIdx + 1);
double* Lambda;
unsigned long LambdaAlloc = 0;
if (mxGetN(prhs[argIdx]) == 1 && mxGetM(prhs[argIdx]) == 1) {
Lambda = (double*) malloc(p*p*sizeof(double));
LambdaAlloc = 1;
double lambda = mxGetPr(prhs[argIdx])[0];
for (unsigned long i = 0; i < p*p; i++)
Lambda[i] = lambda;
} else {
if (mxGetN(prhs[argIdx]) != p && mxGetM(prhs[argIdx]) != p) {
mexErrMsgIdAndTxt("QUIC:dimensions",
"The regularization parameter is not a scalar\n"
" or a matching matrix.");
}
Lambda = mxGetPr(prhs[argIdx]);
}
argIdx++;
uint32_t pathLen = 1;
double* path = NULL;
if (mode[0] == 'p') {
if (!mxIsDouble(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:type",
"Expected a double matrix. (Arg. %d)",
argIdx + 1);
pathLen = (uint32_t) mxGetN(prhs[argIdx]);
path = mxGetPr(prhs[argIdx]);
if (pathLen <= 0) {
mexErrMsgIdAndTxt("QUIC:dimensions",
"Please specify the path scaling values.");
}
argIdx++;
}
double tol = 1e-6;
if (nrhs > argIdx) {
if (!mxIsDouble(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:type",
"Expected a double scalar. (Arg. %d)",
argIdx + 1);
tol = mxGetScalar(prhs[argIdx]);
if (tol < 0) {
mexErrMsgIdAndTxt("QUIC:tol",
"Negative tolerance value.");
}
argIdx++;
}
int32_t msg = 0;
if (nrhs > argIdx) {
msg = (uint32_t) mxGetScalar(prhs[argIdx]);
argIdx++;
}
// Maximum number of Newton ierations (whole matrix update):
uint32_t maxIter = 1000;
if (nrhs > argIdx) {
maxIter = (uint32_t) mxGetScalar(prhs[argIdx]);
argIdx++;
}
double* X0 = NULL;
double* W0 = NULL;
if (nrhs > argIdx) {
if (!mxIsDouble(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:type",
"Expected a double matrix. (Arg. %d)",
argIdx + 1);
if (p != mxGetM(prhs[argIdx]) || p != mxGetN(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:dimensions",
"Matrix dimensions should match.\n"
" Maybe incorrect mode is specified?");
X0 = mxGetPr(prhs[argIdx]);
argIdx++;
if (nrhs == argIdx)
mexErrMsgIdAndTxt("QUIC:initializations",
"Please specify both the initial estimate\n"
" and the inverse.\n"
" Maybe incorrect mode is specified?");
if (!mxIsDouble(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:type",
"Expected a double matrix. (Arg. %d)",
argIdx + 1);
if (p != mxGetM(prhs[argIdx]) || p != mxGetN(prhs[argIdx])) {
mexErrMsgIdAndTxt("QUIC:dimensions",
"Matrix dimensions should match.\n"
" Maybe incorrect mode is specified?");
}
W0 = mxGetPr(prhs[argIdx]);
argIdx++;
}
double* X = NULL;
double* W = NULL;
if (mode[0] == 'p') {
mwSize dims[] = {p, p, pathLen};
mxArray* tmp = mxCreateNumericArray(3, dims, mxDOUBLE_CLASS, mxREAL);
X = (double*) mxGetPr(tmp);
if (nlhs > 0)
plhs[0] = tmp;
tmp = mxCreateNumericArray(3, dims, mxDOUBLE_CLASS, mxREAL);
W = (double*) mxGetPr(tmp);
if (nlhs > 1)
plhs[1] = tmp;
} else {
mwSize dims[] = {p, p};
mxArray* tmp = mxCreateNumericArray(2, dims, mxDOUBLE_CLASS, mxREAL);
X = (double*) mxGetPr(tmp);
if (nlhs > 0)
plhs[0] = tmp;
tmp = mxCreateNumericArray(2, dims, mxDOUBLE_CLASS, mxREAL);
W = (double*) mxGetPr(tmp);
if (nlhs > 1)
plhs[1] = tmp;
}
if (X0 != NULL) {
memcpy(X, X0, sizeof(double)*p*p);
memcpy(W, W0, sizeof(double)*p*p);
} else {
memset(X, 0, sizeof(double)*p*p);
memset(W, 0, sizeof(double)*p*p);
for (unsigned long i = 0; i < p*p; i += (p+1)) {
X[i] = 1.0;
W[i] = 1.0;
}
}
double* opt = NULL;
double* dGap = NULL;
double* cputime = NULL;
uint32_t* iter = NULL;
unsigned long optSize = 1;
unsigned long iterSize = 1;
if (mode[0] == 'p') {
optSize = pathLen;
iterSize = pathLen;
} else if (mode[0] == 't')
optSize = maxIter;
if (nlhs > 2) {
plhs[2] = mxCreateDoubleMatrix(optSize, 1, mxREAL);
opt = mxGetPr(plhs[2]);
}
if (nlhs > 3) {
plhs[3] = mxCreateDoubleMatrix(optSize, 1, mxREAL);
cputime = mxGetPr(plhs[3]);
}
if (nlhs > 4) {
mwSize dims[] = {iterSize};
plhs[4] = mxCreateNumericArray(1, dims, mxINT32_CLASS, mxREAL);
iter = (uint32_t*) mxGetData(plhs[4]);
}
if (nlhs > 5) {
plhs[5] = mxCreateDoubleMatrix(optSize, 1, mxREAL);
dGap = mxGetPr(plhs[5]);
}
QUIC(mode[0], p, S, Lambda, pathLen, path, tol, msg, maxIter, X, W,
opt, cputime, iter, dGap);
if (LambdaAlloc)
free(Lambda);
}
void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
{
if (nrhs < 2) {
mexErrMsgIdAndTxt("QUIC:arguments",
"Missing arguments, please specify\n"
" S - the empirical covariance matrix, and\n"
" L - the regularization parameter.");
}
fX_Info *fx_info_ptr;
fX_Info fx_info;
fX_InfoFullLambda fx_info_lambda;
fx_info_ptr = &fx_info_lambda;
Trace_Info trace;
long argIdx = 0;
char mode[8];
mode[0] = 'd';
if (mxIsChar(prhs[0])) {
mxGetString(prhs[0], mode, 8);
if (strcmp(mode, "path") &&
strcmp(mode, "trace") &&
strcmp(mode, "default"))
mexErrMsgIdAndTxt("QUIC:arguments",
"Invalid mode, use: 'default', 'path' or "
"'trace'.");
argIdx++;
}
// The empirical covariance matrix:
if (!mxIsDouble(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:type",
"Expected a double matrix. (Arg. %d)",
argIdx + 1);
const double* S = mxGetPr(prhs[argIdx]);
uint32_t p = (uint32_t) mxGetN(prhs[argIdx]);
if (p != uint32_t(mxGetM(prhs[argIdx]))) {
mexErrMsgIdAndTxt("QUIC:dimensions",
"Expected a square empirical covariance matrix.");
}
argIdx++;
// Regularization parameter matrix:
if (!mxIsDouble(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:type",
"Expected a double matrix. (Arg. %d)",
argIdx + 1);
if (mxGetN(prhs[argIdx]) == 1 && mxGetM(prhs[argIdx]) == 1) {
fx_info_ptr = &fx_info;
fx_info_ptr->Lambda = mxGetPr(prhs[argIdx]);
} else {
if (mxGetN(prhs[argIdx]) != p && mxGetM(prhs[argIdx]) != p) {
mexErrMsgIdAndTxt("QUIC:dimensions",
"The regularization parameter is not a scalar\n"
" or a matching matrix.");
}
fx_info_ptr = &fx_info_lambda;
fx_info_ptr->Lambda = mxGetPr(prhs[argIdx]);
}
argIdx++;
double tol = 1e-6;
if (nrhs > argIdx) {
if (!mxIsDouble(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:type",
"Expected a double scalar. (Arg. %d)",
argIdx + 1);
tol = mxGetScalar(prhs[argIdx]);
if (tol < 0) {
mexErrMsgIdAndTxt("QUIC:tol",
"Negative tolerance value.");
}
argIdx++;
}
uint32_t msg = QUIC_MSG_FAILURE;
if (nrhs > argIdx) {
msg = (uint32_t) mxGetScalar(prhs[argIdx]);
argIdx++;
}
// Maximum number of Newton ierations (whole matrix update):
uint32_t maxIter = 1000;
if (nrhs > argIdx) {
maxIter = (uint32_t) mxGetScalar(prhs[argIdx]);
argIdx++;
}
double* X0 = NULL;
double* W0 = NULL;
if (nrhs > argIdx) {
if (!mxIsDouble(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:type",
"Expected a double matrix. (Arg. %d)",
argIdx + 1);
if (p != mxGetM(prhs[argIdx]) || p != mxGetN(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:dimensions",
"Matrix dimensions should match.\n"
" Maybe incorrect mode is specified?");
X0 = mxGetPr(prhs[argIdx]);
argIdx++;
if (nrhs == argIdx)
mexErrMsgIdAndTxt("QUIC:initializations",
"Please specify both the initial estimate\n"
" and the inverse.\n"
" Maybe incorrect mode is specified?");
if (!mxIsDouble(prhs[argIdx]))
mexErrMsgIdAndTxt("QUIC:type",
"Expected a double matrix. (Arg. %d)",
argIdx + 1);
if (p != mxGetM(prhs[argIdx]) || p != mxGetN(prhs[argIdx])) {
mexErrMsgIdAndTxt("QUIC:dimensions",
"Matrix dimensions should match.\n"
" Maybe incorrect mode is specified?");
}
W0 = mxGetPr(prhs[argIdx]);
argIdx++;
}
double* X = NULL;
double* W = NULL;
mwSize dims[] = {p, p};
mxArray* tmp = mxCreateNumericArray(2, dims, mxDOUBLE_CLASS, mxREAL);
X = (double *) mxGetPr(tmp);
if (!X) {
MSG("Failure: X is NULL\n");
return;
}
if (nlhs > 0)
plhs[0] = tmp;
tmp = mxCreateNumericArray(2, dims, mxDOUBLE_CLASS, mxREAL);
W = (double *) mxGetPr(tmp);
if (!W) {
MSG("Failure: W is NULL\n");
return;
}
if (nlhs > 1)
plhs[1] = tmp;
if (X0 != NULL) {
memcpy(X, X0, sizeof(double) * p * p);
memcpy(W, W0, sizeof(double) * p * p);
} else {
memset(X, 0, sizeof(double) * p * p);
memset(W, 0, sizeof(double) * p * p);
for (unsigned long i = 0; i < p * p; i += (p + 1)) {
X[i] = 1.0;
W[i] = 1.0;
}
}
double* opt = NULL;
double* cputime = NULL;
uint32_t* iter = NULL;
uint32_t* suppArr = NULL;
uint32_t* activeNumArr = NULL;
uint32_t* vcycleIter = NULL;
unsigned long traceSize = VSYCLE_LEVELS;
unsigned long iterSize = 1;
if (mode[0] == 't')
traceSize = maxIter * VSYCLE_LEVELS;
if (nlhs > 2) {
plhs[2] = mxCreateDoubleMatrix(traceSize, 1, mxREAL);
opt = mxGetPr(plhs[2]);
}
if (nlhs > 3) {
plhs[3] = mxCreateDoubleMatrix(traceSize, 1, mxREAL);
cputime = mxGetPr(plhs[3]);
}
if (nlhs > 4) {
mwSize dims[] = {iterSize};
plhs[4] = mxCreateNumericArray(1, dims, mxINT32_CLASS, mxREAL);
iter = (uint32_t *) mxGetData(plhs[4]);
}
if (nlhs > 5) {
mwSize dims[] = {traceSize};
plhs[5] = mxCreateNumericArray(1, dims, mxINT32_CLASS, mxREAL);
suppArr = (uint32_t *) mxGetData(plhs[5]);
}
if (nlhs > 6) {
mwSize dims[] = {traceSize};
plhs[6] = mxCreateNumericArray(1, dims, mxINT32_CLASS, mxREAL);
activeNumArr = (uint32_t *) mxGetData(plhs[6]);
}
if (nlhs > 7) {
mwSize dims[] = {traceSize};
plhs[7] = mxCreateNumericArray(1, dims, mxINT32_CLASS, mxREAL);
vcycleIter = (uint32_t *) mxGetData(plhs[7]);
}
fx_info_ptr->p = p;
fx_info_ptr->l1normX = 0.0;
fx_info_ptr->trSX = 0.0;
fx_info_ptr->logdetX = 0.0;
fx_info_ptr->fX = INITIAL_FX;
fx_info_ptr->X = X;
fx_info_ptr->S = S;
fx_info_ptr->W = W;
fx_info_ptr->tol = tol;
trace.opt = opt;
trace.iter = iter;
trace.vcycleIter = vcycleIter;
trace.cputime = cputime;
trace.suppArr = suppArr;
trace.activeNumArr = activeNumArr;
trace.traceIdx = 0;
trace.mode = mode[0];
trace.msg = msg;
QUIC(*fx_info_ptr, trace, maxIter, ML_QUIC);
}
