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;
}
}
static VALUE rb_gsl_permutation_swap(VALUE obj, VALUE i, VALUE j)
{
gsl_permutation *p = NULL;
CHECK_FIXNUM(i); CHECK_FIXNUM(j);
Data_Get_Struct(obj, gsl_permutation, p);
gsl_permutation_swap(p, FIX2INT(i), FIX2INT(j));
return obj;
}
int
gsl_linalg_PTLQ_decomp (gsl_matrix * A, gsl_vector * tau, gsl_permutation * p, int *signum, gsl_vector * norm)
{
const size_t N = A->size1;
const size_t M = A->size2;
if (tau->size != GSL_MIN (M, N))
{
GSL_ERROR ("size of tau must be MIN(M,N)", GSL_EBADLEN);
}
else if (p->size != N)
{
GSL_ERROR ("permutation size must be N", GSL_EBADLEN);
}
else if (norm->size != N)
{
GSL_ERROR ("norm size must be N", GSL_EBADLEN);
}
else
{
size_t i;
*signum = 1;
gsl_permutation_init (p); /* set to identity */
/* Compute column norms and store in workspace */
for (i = 0; i < N; i++)
{
gsl_vector_view c = gsl_matrix_row (A, i);
double x = gsl_blas_dnrm2 (&c.vector);
gsl_vector_set (norm, i, x);
}
for (i = 0; i < GSL_MIN (M, N); i++)
{
/* Bring the column of largest norm into the pivot position */
double max_norm = gsl_vector_get(norm, i);
size_t j, kmax = i;
for (j = i + 1; j < N; j++)
{
double x = gsl_vector_get (norm, j);
if (x > max_norm)
{
max_norm = x;
kmax = j;
}
}
if (kmax != i)
{
gsl_matrix_swap_rows (A, i, kmax);
gsl_permutation_swap (p, i, kmax);
gsl_vector_swap_elements(norm,i,kmax);
(*signum) = -(*signum);
}
/* Compute the Householder transformation to reduce the j-th
column of the matrix to a multiple of the j-th unit vector */
{
gsl_vector_view c_full = gsl_matrix_row (A, i);
gsl_vector_view c = gsl_vector_subvector (&c_full.vector,
i, M - i);
double tau_i = gsl_linalg_householder_transform (&c.vector);
gsl_vector_set (tau, i, tau_i);
/* Apply the transformation to the remaining columns */
if (i + 1 < N)
{
gsl_matrix_view m = gsl_matrix_submatrix (A, i +1, i, N - (i+1), M - i);
gsl_linalg_householder_mh (tau_i, &c.vector, &m.matrix);
}
}
/* Update the norms of the remaining columns too */
if (i + 1 < M)
{
for (j = i + 1; j < N; j++)
{
double x = gsl_vector_get (norm, j);
if (x > 0.0)
{
double y = 0;
double temp= gsl_matrix_get (A, j, i) / x;
if (fabs (temp) >= 1)
y = 0.0;
else
y = x * sqrt (1 - temp * temp);
/* recompute norm to prevent loss of accuracy */
if (fabs (y / x) < sqrt (20.0) * GSL_SQRT_DBL_EPSILON)
{
gsl_vector_view c_full = gsl_matrix_row (A, j);
gsl_vector_view c =
gsl_vector_subvector(&c_full.vector,
i+1, M - (i+1));
y = gsl_blas_dnrm2 (&c.vector);
}
gsl_vector_set (norm, j, y);
}
}
}
}
return GSL_SUCCESS;
}
}
int
gsl_linalg_complex_LU_decomp (gsl_matrix_complex * A, gsl_permutation * p, int *signum)
{
if (A->size1 != A->size2)
{
GSL_ERROR ("LU decomposition requires square matrix", GSL_ENOTSQR);
}
else if (p->size != A->size1)
{
GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN);
}
else
{
const size_t N = A->size1;
size_t i, j, k;
*signum = 1;
gsl_permutation_init (p);
for (j = 0; j < N - 1; j++)
{
/* Find maximum in the j-th column */
gsl_complex ajj = gsl_matrix_complex_get (A, j, j);
double max = gsl_complex_abs (ajj);
size_t i_pivot = j;
for (i = j + 1; i < N; i++)
{
gsl_complex aij = gsl_matrix_complex_get (A, i, j);
double ai = gsl_complex_abs (aij);
if (ai > max)
{
max = ai;
i_pivot = i;
}
}
if (i_pivot != j)
{
gsl_matrix_complex_swap_rows (A, j, i_pivot);
gsl_permutation_swap (p, j, i_pivot);
*signum = -(*signum);
}
ajj = gsl_matrix_complex_get (A, j, j);
if (!(GSL_REAL(ajj) == 0.0 && GSL_IMAG(ajj) == 0.0))
{
for (i = j + 1; i < N; i++)
{
gsl_complex aij_orig = gsl_matrix_complex_get (A, i, j);
gsl_complex aij = gsl_complex_div (aij_orig, ajj);
gsl_matrix_complex_set (A, i, j, aij);
for (k = j + 1; k < N; k++)
{
gsl_complex aik = gsl_matrix_complex_get (A, i, k);
gsl_complex ajk = gsl_matrix_complex_get (A, j, k);
/* aik = aik - aij * ajk */
gsl_complex aijajk = gsl_complex_mul (aij, ajk);
gsl_complex aik_new = gsl_complex_sub (aik, aijajk);
gsl_matrix_complex_set (A, i, k, aik_new);
}
}
}
}
return GSL_SUCCESS;
}
}
