int
gsl_linalg_complex_cholesky_decomp(gsl_matrix_complex *A)
{
const size_t N = A->size1;
if (N != A->size2)
{
GSL_ERROR("cholesky decomposition requires square matrix", GSL_ENOTSQR);
}
else
{
size_t i, j;
gsl_complex z;
double ajj;
for (j = 0; j < N; ++j)
{
z = gsl_matrix_complex_get(A, j, j);
ajj = GSL_REAL(z);
if (j > 0)
{
gsl_vector_complex_const_view aj =
gsl_matrix_complex_const_subrow(A, j, 0, j);
gsl_blas_zdotc(&aj.vector, &aj.vector, &z);
ajj -= GSL_REAL(z);
}
if (ajj <= 0.0)
{
GSL_ERROR("matrix is not positive definite", GSL_EDOM);
}
ajj = sqrt(ajj);
GSL_SET_COMPLEX(&z, ajj, 0.0);
gsl_matrix_complex_set(A, j, j, z);
if (j < N - 1)
{
gsl_vector_complex_view av =
gsl_matrix_complex_subcolumn(A, j, j + 1, N - j - 1);
if (j > 0)
{
gsl_vector_complex_view aj =
gsl_matrix_complex_subrow(A, j, 0, j);
gsl_matrix_complex_view am =
gsl_matrix_complex_submatrix(A, j + 1, 0, N - j - 1, j);
cholesky_complex_conj_vector(&aj.vector);
gsl_blas_zgemv(CblasNoTrans,
GSL_COMPLEX_NEGONE,
&am.matrix,
&aj.vector,
GSL_COMPLEX_ONE,
&av.vector);
cholesky_complex_conj_vector(&aj.vector);
}
gsl_blas_zdscal(1.0 / ajj, &av.vector);
}
}
/* Now store L^H in upper triangle */
for (i = 1; i < N; ++i)
{
for (j = 0; j < i; ++j)
{
z = gsl_matrix_complex_get(A, i, j);
gsl_matrix_complex_set(A, j, i, gsl_complex_conjugate(z));
}
}
return GSL_SUCCESS;
}
} /* gsl_linalg_complex_cholesky_decomp() */
int
gsl_linalg_complex_cholesky_invert(gsl_matrix_complex * LLT)
{
if (LLT->size1 != LLT->size2)
{
GSL_ERROR ("cholesky matrix must be square", GSL_ENOTSQR);
}
else
{
size_t N = LLT->size1;
size_t i, j;
gsl_vector_complex_view v1;
/* invert the lower triangle of LLT */
for (i = 0; i < N; ++i)
{
double ajj;
gsl_complex z;
j = N - i - 1;
{
gsl_complex z0 = gsl_matrix_complex_get(LLT, j, j);
ajj = 1.0 / GSL_REAL(z0);
}
GSL_SET_COMPLEX(&z, ajj, 0.0);
gsl_matrix_complex_set(LLT, j, j, z);
{
gsl_complex z1 = gsl_matrix_complex_get(LLT, j, j);
ajj = -GSL_REAL(z1);
}
if (j < N - 1)
{
gsl_matrix_complex_view m;
m = gsl_matrix_complex_submatrix(LLT, j + 1, j + 1,
N - j - 1, N - j - 1);
v1 = gsl_matrix_complex_subcolumn(LLT, j, j + 1, N - j - 1);
gsl_blas_ztrmv(CblasLower, CblasNoTrans, CblasNonUnit,
&m.matrix, &v1.vector);
gsl_blas_zdscal(ajj, &v1.vector);
}
} /* for (i = 0; i < N; ++i) */
/*
* The lower triangle of LLT now contains L^{-1}. Now compute
* A^{-1} = L^{-H} L^{-1}
*
* The (ij) element of A^{-1} is column i of conj(L^{-1}) dotted into
* column j of L^{-1}
*/
for (i = 0; i < N; ++i)
{
gsl_complex sum;
for (j = i + 1; j < N; ++j)
{
gsl_vector_complex_view v2;
v1 = gsl_matrix_complex_subcolumn(LLT, i, j, N - j);
v2 = gsl_matrix_complex_subcolumn(LLT, j, j, N - j);
/* compute Ainv[i,j] = sum_k{conj(Linv[k,i]) * Linv[k,j]} */
gsl_blas_zdotc(&v1.vector, &v2.vector, &sum);
/* store in upper triangle */
gsl_matrix_complex_set(LLT, i, j, sum);
}
/* now compute the diagonal element */
v1 = gsl_matrix_complex_subcolumn(LLT, i, i, N - i);
gsl_blas_zdotc(&v1.vector, &v1.vector, &sum);
gsl_matrix_complex_set(LLT, i, i, sum);
}
/* copy the Hermitian upper triangle to the lower triangle */
for (j = 1; j < N; j++)
{
for (i = 0; i < j; i++)
{
gsl_complex z = gsl_matrix_complex_get(LLT, i, j);
gsl_matrix_complex_set(LLT, j, i, gsl_complex_conjugate(z));
}
}
return GSL_SUCCESS;
}
} /* gsl_linalg_complex_cholesky_invert() */
int
gsl_linalg_hermtd_decomp (gsl_matrix_complex * A, gsl_vector_complex * tau)
{
if (A->size1 != A->size2)
{
GSL_ERROR ("hermitian tridiagonal decomposition requires square matrix",
GSL_ENOTSQR);
}
else if (tau->size + 1 != A->size1)
{
GSL_ERROR ("size of tau must be (matrix size - 1)", GSL_EBADLEN);
}
else
{
const size_t N = A->size1;
size_t i;
const gsl_complex zero = gsl_complex_rect (0.0, 0.0);
const gsl_complex one = gsl_complex_rect (1.0, 0.0);
const gsl_complex neg_one = gsl_complex_rect (-1.0, 0.0);
for (i = 0 ; i < N - 1; i++)
{
gsl_vector_complex_view c = gsl_matrix_complex_column (A, i);
gsl_vector_complex_view v = gsl_vector_complex_subvector (&c.vector, i + 1, N - (i + 1));
gsl_complex tau_i = gsl_linalg_complex_householder_transform (&v.vector);
/* Apply the transformation H^T A H to the remaining columns */
if ((i + 1) < (N - 1)
&& !(GSL_REAL(tau_i) == 0.0 && GSL_IMAG(tau_i) == 0.0))
{
gsl_matrix_complex_view m =
gsl_matrix_complex_submatrix (A, i + 1, i + 1,
N - (i+1), N - (i+1));
gsl_complex ei = gsl_vector_complex_get(&v.vector, 0);
gsl_vector_complex_view x = gsl_vector_complex_subvector (tau, i, N-(i+1));
gsl_vector_complex_set (&v.vector, 0, one);
/* x = tau * A * v */
gsl_blas_zhemv (CblasLower, tau_i, &m.matrix, &v.vector, zero, &x.vector);
/* w = x - (1/2) tau * (x' * v) * v */
{
gsl_complex xv, txv, alpha;
gsl_blas_zdotc(&x.vector, &v.vector, &xv);
txv = gsl_complex_mul(tau_i, xv);
alpha = gsl_complex_mul_real(txv, -0.5);
gsl_blas_zaxpy(alpha, &v.vector, &x.vector);
}
/* apply the transformation A = A - v w' - w v' */
gsl_blas_zher2(CblasLower, neg_one, &v.vector, &x.vector, &m.matrix);
gsl_vector_complex_set (&v.vector, 0, ei);
}
gsl_vector_complex_set (tau, i, tau_i);
}
return GSL_SUCCESS;
}
}
static int
mc_eigen(lua_State *L) /* (-1,+2,e) */
{
mMatComplex *m = qlua_checkMatComplex(L, 1);
gsl_matrix_complex_view mx;
gsl_eigen_hermv_workspace *w;
gsl_vector *ev;
mVecReal *lambda;
mMatComplex *trans;
mMatComplex *tmp;
int n;
int i;
int lo, hi;
switch (lua_gettop(L)) {
case 1:
if (m->l_size != m->r_size)
return luaL_error(L, "matrix:eigen() expects square matrix");
lo = 0;
hi = m->l_size;
break;
case 2:
lo = 0;
hi = luaL_checkint(L, 2);
if ((hi > m->l_size) || (hi > m->r_size))
return slice_out(L);
break;
case 3:
lo = luaL_checkint(L, 2);
hi = luaL_checkint(L, 3);
if ((lo >= hi) ||
(lo > m->l_size) || (lo > m->r_size) ||
(hi > m->l_size) || (hi > m->r_size))
return slice_out(L);
break;
default:
return luaL_error(L, "matrix:eigen(): illegal arguments");
}
n = hi - lo;
mx = gsl_matrix_complex_submatrix(m->m, lo, lo, n, n);
tmp = qlua_newMatComplex(L, n, n);
gsl_matrix_complex_memcpy(tmp->m, &mx.matrix);
lambda = qlua_newVecReal(L, n);
trans = qlua_newMatComplex(L, n, n);
ev = new_gsl_vector(L, n);
w = gsl_eigen_hermv_alloc(n);
if (w == 0) {
lua_gc(L, LUA_GCCOLLECT, 0);
w = gsl_eigen_hermv_alloc(n);
if (w == 0)
luaL_error(L, "not enough memory");
}
if (gsl_eigen_hermv(tmp->m, ev, trans->m, w))
luaL_error(L, "matrix:eigen() failed");
if (gsl_eigen_hermv_sort(ev, trans->m, GSL_EIGEN_SORT_VAL_ASC))
luaL_error(L, "matrix:eigen() eigenvalue ordering failed");
for (i = 0; i < n; i++)
lambda->val[i] = gsl_vector_get(ev, i);
gsl_vector_free(ev);
gsl_eigen_hermv_free(w);
return 2;
}
int
gsl_linalg_hermtd_unpack (const gsl_matrix_complex * A,
const gsl_vector_complex * tau,
gsl_matrix_complex * U,
gsl_vector * diag,
gsl_vector * sdiag)
{
if (A->size1 != A->size2)
{
GSL_ERROR ("matrix A must be sqaure", GSL_ENOTSQR);
}
else if (tau->size + 1 != A->size1)
{
GSL_ERROR ("size of tau must be (matrix size - 1)", GSL_EBADLEN);
}
else if (U->size1 != A->size1 || U->size2 != A->size1)
{
GSL_ERROR ("size of U must match size of A", GSL_EBADLEN);
}
else if (diag->size != A->size1)
{
GSL_ERROR ("size of diagonal must match size of A", GSL_EBADLEN);
}
else if (sdiag->size + 1 != A->size1)
{
GSL_ERROR ("size of subdiagonal must be (matrix size - 1)", GSL_EBADLEN);
}
else
{
const size_t N = A->size1;
size_t i;
/* Initialize U to the identity */
gsl_matrix_complex_set_identity (U);
for (i = N - 1; i-- > 0;)
{
gsl_complex ti = gsl_vector_complex_get (tau, i);
gsl_vector_complex_const_view c = gsl_matrix_complex_const_column (A, i);
gsl_vector_complex_const_view h =
gsl_vector_complex_const_subvector (&c.vector, i + 1, N - (i+1));
gsl_matrix_complex_view m =
gsl_matrix_complex_submatrix (U, i + 1, i + 1, N-(i+1), N-(i+1));
gsl_linalg_complex_householder_hm (ti, &h.vector, &m.matrix);
}
/* Copy diagonal into diag */
for (i = 0; i < N; i++)
{
gsl_complex Aii = gsl_matrix_complex_get (A, i, i);
gsl_vector_set (diag, i, GSL_REAL(Aii));
}
/* Copy subdiagonal into sdiag */
for (i = 0; i < N - 1; i++)
{
gsl_complex Aji = gsl_matrix_complex_get (A, i+1, i);
gsl_vector_set (sdiag, i, GSL_REAL(Aji));
}
return GSL_SUCCESS;
}
}
