/**
* C++ version of gsl_blas_ztrmv().
* @param Uplo Upper or lower triangular
* @param TransA Transpose type
* @param Diag Diagonal type
* @param A A matrix
* @param X A vector
* @return Error code on failure
*/
int ztrmv( CBLAS_UPLO_t Uplo, CBLAS_TRANSPOSE_t TransA, CBLAS_DIAG_t Diag,
matrix_complex const& A, vector_complex& X ){
return gsl_blas_ztrmv( Uplo, TransA, Diag, A.get(), X.get() ); }
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() */