예제 #1
0
파일: pcholesky.c 프로젝트: ampl/gsl
static int
pcholesky_decomp (const int copy_uplo, gsl_matrix * A, gsl_permutation * p)
{
  const size_t N = A->size1;

  if (N != A->size2)
    {
      GSL_ERROR("LDLT decomposition requires square matrix", GSL_ENOTSQR);
    }
  else if (p->size != N)
    {
      GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN);
    }
  else
    {
      gsl_vector_view diag = gsl_matrix_diagonal(A);
      size_t k;

      if (copy_uplo)
        {
          /* save a copy of A in upper triangle (for later rcond calculation) */
          gsl_matrix_transpose_tricpy('L', 0, A, A);
        }

      gsl_permutation_init(p);

      for (k = 0; k < N; ++k)
        {
          gsl_vector_view w;
          size_t j;

          /* compute j = max_idx { A_kk, ..., A_nn } */
          w = gsl_vector_subvector(&diag.vector, k, N - k);
          j = gsl_vector_max_index(&w.vector) + k;
          gsl_permutation_swap(p, k, j);

          cholesky_swap_rowcol(A, k, j);

          if (k < N - 1)
            {
              double alpha = gsl_matrix_get(A, k, k);
              double alphainv = 1.0 / alpha;

              /* v = A(k+1:n, k) */
              gsl_vector_view v = gsl_matrix_subcolumn(A, k, k + 1, N - k - 1);

              /* m = A(k+1:n, k+1:n) */
              gsl_matrix_view m = gsl_matrix_submatrix(A, k + 1, k + 1, N - k - 1, N - k - 1);

              /* m = m - v v^T / alpha */
              gsl_blas_dsyr(CblasLower, -alphainv, &v.vector, &m.matrix);

              /* v = v / alpha */
              gsl_vector_scale(&v.vector, alphainv);
            }
        }

      return GSL_SUCCESS;
    }
}
예제 #2
0
파일: nlfit4.c 프로젝트: liigo/gsl-vc2015
int
penalty_df (CBLAS_TRANSPOSE_t TransJ, const gsl_vector * x,
            const gsl_vector * u, void * params, gsl_vector * v,
            gsl_matrix * JTJ)
{
  struct model_params *par = (struct model_params *) params;
  const size_t p = x->size;
  size_t j;

  /* store 2*x in last row of J */
  for (j = 0; j < p; ++j)
    {
      double xj = gsl_vector_get(x, j);
      gsl_spmatrix_set(par->J, p, j, 2.0 * xj);
    }

  /* compute v = op(J) u */
  if (v)
    gsl_spblas_dgemv(TransJ, 1.0, par->J, u, 0.0, v);

  if (JTJ)
    {
      gsl_vector_view diag = gsl_matrix_diagonal(JTJ);

      /* compute J^T J = [ alpha*I_p + 4 x x^T ] */
      gsl_matrix_set_zero(JTJ);

      /* store 4 x x^T in lower half of JTJ */
      gsl_blas_dsyr(CblasLower, 4.0, x, JTJ);

      /* add alpha to diag(JTJ) */
      gsl_vector_add_constant(&diag.vector, par->alpha);
    }

  return GSL_SUCCESS;
}
예제 #3
0
// f = -log(det(X))
void prox_neg_log_det(gsl_matrix *X, const double rho) 
{
    int n = X->size1;
    gsl_vector *d = gsl_vector_alloc(n);
    gsl_matrix *V = gsl_matrix_alloc(n,n);

    gsl_eigen_symmv_workspace *w = gsl_eigen_symmv_alloc(n);
    gsl_eigen_symmv(X, d, V, w);
    gsl_eigen_symmv_free(w);

    int i;
    double d_i;
    gsl_matrix_set_zero(X);
    for (i = 0; i < n; i++) {
        d_i = gsl_vector_get(d, i);
        d_i = (d_i + sqrt(pow(d_i,2) + 4*rho))/(2*rho);
        gsl_vector_set(d, i, d_i);
        gsl_vector_view V_i = gsl_matrix_column(V, i);
        gsl_blas_dsyr(CblasLower, d_i, &V_i.vector, X);
    }

    gsl_vector_free(d);
    gsl_matrix_free(V);
}
예제 #4
0
// f = I(X >= 0)
void project_sdc(gsl_matrix *X) 
{
    int n = X->size1;
    gsl_vector *d = gsl_vector_alloc(n);
    gsl_matrix *V = gsl_matrix_alloc(n,n);

    gsl_eigen_symmv_workspace *w = gsl_eigen_symmv_alloc(n);
    gsl_eigen_symmv(X, d, V, w);
    gsl_eigen_symmv_free(w);

    int i;
    double d_i;
    gsl_matrix_set_zero(X);
    for (i = 0; i < n; i++) {
        d_i = gsl_vector_get(d, i);
        if (d_i > 0) {
            gsl_vector_view V_i = gsl_matrix_column(V, i);
            gsl_blas_dsyr(CblasLower, d_i, &V_i.vector, X);
        }
    }

    gsl_vector_free(d);
    gsl_matrix_free(V);
}
예제 #5
0
 /**
  * C++ version of gsl_blas_dsyr().
  * @param Uplo Upper or lower triangular
  * @param alpha A constant
  * @param X A vector
  * @param A A matrix
  * @return Error code on failure
  */
 int dsyr( CBLAS_UPLO_t Uplo, double alpha, vector const& X, matrix& A ){
   return gsl_blas_dsyr( Uplo, alpha, X.get(), A.get() ); }