int gsl_linalg_QRPT_update (gsl_matrix * Q, gsl_matrix * R, const gsl_permutation * p, gsl_vector * w, const gsl_vector * v) { const size_t M = R->size1; const size_t N = R->size2; if (Q->size1 != M || Q->size2 != M) { GSL_ERROR ("Q matrix must be M x M if R is M x N", GSL_ENOTSQR); } else if (w->size != M) { GSL_ERROR ("w must be length M if R is M x N", GSL_EBADLEN); } else if (v->size != N) { GSL_ERROR ("v must be length N if R is M x N", GSL_EBADLEN); } else { size_t j, k; double w0; /* Apply Given's rotations to reduce w to (|w|, 0, 0, ... , 0) J_1^T .... J_(n-1)^T w = +/- |w| e_1 simultaneously applied to R, H = J_1^T ... J^T_(n-1) R so that H is upper Hessenberg. (12.5.2) */ for (k = M - 1; k > 0; k--) { double c, s; double wk = gsl_vector_get (w, k); double wkm1 = gsl_vector_get (w, k - 1); gsl_linalg_givens (wkm1, wk, &c, &s); gsl_linalg_givens_gv (w, k - 1, k, c, s); apply_givens_qr (M, N, Q, R, k - 1, k, c, s); } w0 = gsl_vector_get (w, 0); /* Add in w v^T (Equation 12.5.3) */ for (j = 0; j < N; j++) { double r0j = gsl_matrix_get (R, 0, j); size_t p_j = gsl_permutation_get (p, j); double vj = gsl_vector_get (v, p_j); gsl_matrix_set (R, 0, j, r0j + w0 * vj); } /* Apply Givens transformations R' = G_(n-1)^T ... G_1^T H Equation 12.5.4 */ for (k = 1; k < GSL_MIN(M,N+1); k++) { double c, s; double diag = gsl_matrix_get (R, k - 1, k - 1); double offdiag = gsl_matrix_get (R, k, k - 1); gsl_linalg_givens (diag, offdiag, &c, &s); apply_givens_qr (M, N, Q, R, k - 1, k, c, s); gsl_matrix_set (R, k, k - 1, 0.0); /* exact zero of G^T */ } return GSL_SUCCESS; } }
static int gmres_iterate(const gsl_spmatrix *A, const gsl_vector *b, const double tol, gsl_vector *x, void *vstate) { const size_t N = A->size1; gmres_state_t *state = (gmres_state_t *) vstate; if (N != A->size2) { GSL_ERROR("matrix must be square", GSL_ENOTSQR); } else if (N != b->size) { GSL_ERROR("matrix does not match right hand side", GSL_EBADLEN); } else if (N != x->size) { GSL_ERROR("matrix does not match solution vector", GSL_EBADLEN); } else if (N != state->n) { GSL_ERROR("matrix does not match workspace", GSL_EBADLEN); } else { int status = GSL_SUCCESS; const size_t maxit = state->m; const double normb = gsl_blas_dnrm2(b); /* ||b|| */ const double reltol = tol * normb; /* tol*||b|| */ double normr; /* ||r|| */ size_t m, k; double tau; /* householder scalar */ gsl_matrix *H = state->H; /* Hessenberg matrix */ gsl_vector *r = state->r; /* residual vector */ gsl_vector *w = state->y; /* least squares RHS */ gsl_matrix_view Rm; /* R_m = H(1:m,2:m+1) */ gsl_vector_view ym; /* y(1:m) */ gsl_vector_view h0 = gsl_matrix_column(H, 0); /* * The Hessenberg matrix will have the following structure: * * H = [ ||r_0|| | v_1 v_2 ... v_m ] * [ u_1 | u_2 u_3 ... u_{m+1} ] * * where v_j are the orthonormal vectors spanning the Krylov * subpsace of length j + 1 and u_{j+1} are the householder * vectors of length n - j - 1. * In fact, u_{j+1} has length n - j since u_{j+1}[0] = 1, * but this 1 is not stored. */ gsl_matrix_set_zero(H); /* Step 1a: compute r = b - A*x_0 */ gsl_vector_memcpy(r, b); gsl_spblas_dgemv(CblasNoTrans, -1.0, A, x, 1.0, r); /* Step 1b */ gsl_vector_memcpy(&h0.vector, r); tau = gsl_linalg_householder_transform(&h0.vector); /* store tau_1 */ gsl_vector_set(state->tau, 0, tau); /* initialize w (stored in state->y) */ gsl_vector_set_zero(w); gsl_vector_set(w, 0, gsl_vector_get(&h0.vector, 0)); for (m = 1; m <= maxit; ++m) { size_t j = m - 1; /* C indexing */ double c, s; /* Givens rotation */ /* v_m */ gsl_vector_view vm = gsl_matrix_column(H, m); /* v_m(m:end) */ gsl_vector_view vv = gsl_vector_subvector(&vm.vector, j, N - j); /* householder vector u_m for projection P_m */ gsl_vector_view um = gsl_matrix_subcolumn(H, j, j, N - j); /* Step 2a: form v_m = P_m e_m = e_m - tau_m w_m */ gsl_vector_set_zero(&vm.vector); gsl_vector_memcpy(&vv.vector, &um.vector); tau = gsl_vector_get(state->tau, j); /* tau_m */ gsl_vector_scale(&vv.vector, -tau); gsl_vector_set(&vv.vector, 0, 1.0 - tau); /* Step 2a: v_m <- P_1 P_2 ... P_{m-1} v_m */ for (k = j; k > 0 && k--; ) { gsl_vector_view uk = gsl_matrix_subcolumn(H, k, k, N - k); gsl_vector_view vk = gsl_vector_subvector(&vm.vector, k, N - k); tau = gsl_vector_get(state->tau, k); gsl_linalg_householder_hv(tau, &uk.vector, &vk.vector); } /* Step 2a: v_m <- A*v_m */ gsl_spblas_dgemv(CblasNoTrans, 1.0, A, &vm.vector, 0.0, r); gsl_vector_memcpy(&vm.vector, r); /* Step 2a: v_m <- P_m ... P_1 v_m */ for (k = 0; k <= j; ++k) { gsl_vector_view uk = gsl_matrix_subcolumn(H, k, k, N - k); gsl_vector_view vk = gsl_vector_subvector(&vm.vector, k, N - k); tau = gsl_vector_get(state->tau, k); gsl_linalg_householder_hv(tau, &uk.vector, &vk.vector); } /* Steps 2c,2d: find P_{m+1} and set v_m <- P_{m+1} v_m */ if (m < N) { /* householder vector u_{m+1} for projection P_{m+1} */ gsl_vector_view ump1 = gsl_matrix_subcolumn(H, m, m, N - m); tau = gsl_linalg_householder_transform(&ump1.vector); gsl_vector_set(state->tau, j + 1, tau); } /* Step 2e: v_m <- J_{m-1} ... J_1 v_m */ for (k = 0; k < j; ++k) { gsl_linalg_givens_gv(&vm.vector, k, k + 1, state->c[k], state->s[k]); } if (m < N) { /* Step 2g: find givens rotation J_m for v_m(m:m+1) */ gsl_linalg_givens(gsl_vector_get(&vm.vector, j), gsl_vector_get(&vm.vector, j + 1), &c, &s); /* store givens rotation for later use */ state->c[j] = c; state->s[j] = s; /* Step 2h: v_m <- J_m v_m */ gsl_linalg_givens_gv(&vm.vector, j, j + 1, c, s); /* Step 2h: w <- J_m w */ gsl_linalg_givens_gv(w, j, j + 1, c, s); } /* * Step 2i: R_m = [ R_{m-1}, v_m ] - already taken care * of due to our memory storage scheme */ /* Step 2j: check residual w_{m+1} for convergence */ normr = fabs(gsl_vector_get(w, j + 1)); if (normr <= reltol) { /* * method has converged, break out of loop to compute * update to solution vector x */ break; } } /* * At this point, we have either converged to a solution or * completed all maxit iterations. In either case, compute * an update to the solution vector x and test again for * convergence. */ /* rewind m if we exceeded maxit iterations */ if (m > maxit) m--; /* Step 3a: solve triangular system R_m y_m = w, in place */ Rm = gsl_matrix_submatrix(H, 0, 1, m, m); ym = gsl_vector_subvector(w, 0, m); gsl_blas_dtrsv(CblasUpper, CblasNoTrans, CblasNonUnit, &Rm.matrix, &ym.vector); /* * Step 3b: update solution vector x; the loop below * uses a different but equivalent formulation from * Saad, algorithm 6.10, step 14; store Krylov projection * V_m y_m in 'r' */ gsl_vector_set_zero(r); for (k = m; k > 0 && k--; ) { double ymk = gsl_vector_get(&ym.vector, k); gsl_vector_view uk = gsl_matrix_subcolumn(H, k, k, N - k); gsl_vector_view rk = gsl_vector_subvector(r, k, N - k); /* r <- n_k e_k + r */ gsl_vector_set(r, k, gsl_vector_get(r, k) + ymk); /* r <- P_k r */ tau = gsl_vector_get(state->tau, k); gsl_linalg_householder_hv(tau, &uk.vector, &rk.vector); } /* x <- x + V_m y_m */ gsl_vector_add(x, r); /* compute new residual r = b - A*x */ gsl_vector_memcpy(r, b); gsl_spblas_dgemv(CblasNoTrans, -1.0, A, x, 1.0, r); normr = gsl_blas_dnrm2(r); if (normr <= reltol) status = GSL_SUCCESS; /* converged */ else status = GSL_CONTINUE; /* not yet converged */ /* store residual norm */ state->normr = normr; return status; } } /* gmres_iterate() */
int gsl_linalg_PTLQ_update (gsl_matrix * Q, gsl_matrix * L, const gsl_permutation * p, const gsl_vector * v, gsl_vector * w) { if (Q->size1 != Q->size2 || L->size1 != L->size2) { return GSL_ENOTSQR; } else if (L->size1 != Q->size2 || v->size != Q->size2 || w->size != Q->size2) { return GSL_EBADLEN; } else { size_t j, k; const size_t N = Q->size1; const size_t M = Q->size2; double w0; /* Apply Given's rotations to reduce w to (|w|, 0, 0, ... , 0) J_1^T .... J_(n-1)^T w = +/- |w| e_1 simultaneously applied to L, H = J_1^T ... J^T_(n-1) L so that H is upper Hessenberg. (12.5.2) */ for (k = M - 1; k > 0; k--) { double c, s; double wk = gsl_vector_get (w, k); double wkm1 = gsl_vector_get (w, k - 1); gsl_linalg_givens (wkm1, wk, &c, &s); gsl_linalg_givens_gv (w, k - 1, k, c, s); apply_givens_lq (M, N, Q, L, k - 1, k, c, s); } w0 = gsl_vector_get (w, 0); /* Add in v w^T (Equation 12.5.3) */ for (j = 0; j < N; j++) { double lj0 = gsl_matrix_get (L, j, 0); size_t p_j = gsl_permutation_get (p, j); double vj = gsl_vector_get (v, p_j); gsl_matrix_set (L, j, 0, lj0 + w0 * vj); } /* Apply Givens transformations L' = G_(n-1)^T ... G_1^T H Equation 12.5.4 */ for (k = 1; k < N; k++) { double c, s; double diag = gsl_matrix_get (L, k - 1, k - 1); double offdiag = gsl_matrix_get (L, k - 1, k ); gsl_linalg_givens (diag, offdiag, &c, &s); apply_givens_lq (M, N, Q, L, k - 1, k, c, s); } return GSL_SUCCESS; } }
int gsl_linalg_hesstri_decomp(gsl_matrix * A, gsl_matrix * B, gsl_matrix * U, gsl_matrix * V, gsl_vector * work) { const size_t N = A->size1; if ((N != A->size2) || (N != B->size1) || (N != B->size2)) { GSL_ERROR ("Hessenberg-triangular reduction requires square matrices", GSL_ENOTSQR); } else if (N != work->size) { GSL_ERROR ("length of workspace must match matrix dimension", GSL_EBADLEN); } else { double cs, sn; /* rotation parameters */ size_t i, j; /* looping */ gsl_vector_view xv, yv; /* temporary views */ /* B -> Q^T B = R (upper triangular) */ gsl_linalg_QR_decomp(B, work); /* A -> Q^T A */ gsl_linalg_QR_QTmat(B, work, A); /* initialize U and V if desired */ if (U) { gsl_linalg_QR_unpack(B, work, U, B); } else { /* zero out lower triangle of B */ for (j = 0; j < N - 1; ++j) { for (i = j + 1; i < N; ++i) gsl_matrix_set(B, i, j, 0.0); } } if (V) gsl_matrix_set_identity(V); if (N < 3) return GSL_SUCCESS; /* nothing more to do */ /* reduce A and B */ for (j = 0; j < N - 2; ++j) { for (i = N - 1; i >= (j + 2); --i) { /* step 1: rotate rows i - 1, i to kill A(i,j) */ /* * compute G = [ CS SN ] so that G^t [ A(i-1,j) ] = [ * ] * [-SN CS ] [ A(i, j) ] [ 0 ] */ gsl_linalg_givens(gsl_matrix_get(A, i - 1, j), gsl_matrix_get(A, i, j), &cs, &sn); /* invert so drot() works correctly (G -> G^t) */ sn = -sn; /* compute G^t A(i-1:i, j:n) */ xv = gsl_matrix_subrow(A, i - 1, j, N - j); yv = gsl_matrix_subrow(A, i, j, N - j); gsl_blas_drot(&xv.vector, &yv.vector, cs, sn); /* compute G^t B(i-1:i, i-1:n) */ xv = gsl_matrix_subrow(B, i - 1, i - 1, N - i + 1); yv = gsl_matrix_subrow(B, i, i - 1, N - i + 1); gsl_blas_drot(&xv.vector, &yv.vector, cs, sn); if (U) { /* accumulate U: U -> U G */ xv = gsl_matrix_column(U, i - 1); yv = gsl_matrix_column(U, i); gsl_blas_drot(&xv.vector, &yv.vector, cs, sn); } /* step 2: rotate columns i, i - 1 to kill B(i, i - 1) */ gsl_linalg_givens(-gsl_matrix_get(B, i, i), gsl_matrix_get(B, i, i - 1), &cs, &sn); /* invert so drot() works correctly (G -> G^t) */ sn = -sn; /* compute B(1:i, i-1:i) G */ xv = gsl_matrix_subcolumn(B, i - 1, 0, i + 1); yv = gsl_matrix_subcolumn(B, i, 0, i + 1); gsl_blas_drot(&xv.vector, &yv.vector, cs, sn); /* apply to A(1:n, i-1:i) */ xv = gsl_matrix_column(A, i - 1); yv = gsl_matrix_column(A, i); gsl_blas_drot(&xv.vector, &yv.vector, cs, sn); if (V) { /* accumulate V: V -> V G */ xv = gsl_matrix_column(V, i - 1); yv = gsl_matrix_column(V, i); gsl_blas_drot(&xv.vector, &yv.vector, cs, sn); } } } return GSL_SUCCESS; } } /* gsl_linalg_hesstri_decomp() */