forked from JuliaLang/julia
-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy pathlinalg_lapack.j
319 lines (266 loc) · 11.4 KB
/
linalg_lapack.j
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
libLAPACK = dlopen("libLAPACK")
# SUBROUTINE DPOTRF( UPLO, N, A, LDA, INFO )
# * .. Scalar Arguments ..
# CHARACTER UPLO
# INTEGER INFO, LDA, N
# * .. Array Arguments ..
# DOUBLE PRECISION A( LDA, * )
for (fname, eltype) = (("dpotrf_", Float64), ("spotrf_", Float32))
@eval function chol(A::DenseMatrix{$eltype})
info = [0]
n = size(A, 1)
R = triu(A)
ccall(dlsym(libLAPACK, $fname),
Void,
(Ptr{Uint8}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
"U", n, R, n, info)
if info[1] == 0; return R; end
if info[1] > 0; error("Matrix not Positive Definite"); end
error("Error in CHOL")
end
end
# SUBROUTINE DGETRF( M, N, A, LDA, IPIV, INFO )
# * .. Scalar Arguments ..
# INTEGER INFO, LDA, M, N
# * .. Array Arguments ..
# INTEGER IPIV( * )
# DOUBLE PRECISION A( LDA, * )
for (fname, eltype) = (("dgetrf_", Float64), ("sgetrf_", Float32))
@eval function lu(A::DenseMatrix{$eltype})
info = [0]
m, n = size(A)
LU = copy(A)
ipiv = Array(Int32, min(m,n))
ccall(dlsym(libLAPACK, $fname),
Void,
(Ptr{Int32}, Ptr{Int32}, Ptr{$eltype},
Ptr{Int32}, Ptr{Int32}, Ptr{Int32}),
m, n, LU, m, ipiv, info)
if info[1] > 0; error("Matrix is singular"); end
P = linspace(1,m)
for i=1:m; t = P[i]; P[i] = P[ipiv[i]]; P[ipiv[i]] = t ; end
if info[1] == 0; return (tril(LU, -1) + eye(m,n), triu(LU), P); end
error("Error in LU")
end
end
# SUBROUTINE DGEQP3( M, N, A, LDA, JPVT, TAU, WORK, LWORK, INFO )
# * .. Scalar Arguments ..
# INTEGER INFO, LDA, LWORK, M, N
# * .. Array Arguments ..
# INTEGER JPVT( * )
# DOUBLE PRECISION A( LDA, * ), TAU( * ), WORK( * )
# SUBROUTINE DORGQR( M, N, K, A, LDA, TAU, WORK, LWORK, INFO )
# * .. Scalar Arguments ..
# INTEGER INFO, K, LDA, LWORK, M, N
# * .. Array Arguments ..
# DOUBLE PRECISION A( LDA, * ), TAU( * ), WORK( * )
for (fname, fname2, eltype) = (("dgeqp3_", "dorgqr_", Float64),
("sgeqp3_", "sorgqr_", Float32))
@eval function qr(A::DenseMatrix{$eltype})
info = [0]
m, n = size(A)
QR = copy(A)
jpvt = zeros(Int32, n)
k = min(m,n)
tau = Array($eltype, k)
# Workspace query for QR factorization
work = [0.0]
lwork = -1
ccall(dlsym(libLAPACK, $fname),
Void,
(Ptr{Int32}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32},
Ptr{Int32}, Ptr{$eltype}, Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
m, n, QR, m, jpvt, tau, work, lwork, info)
if info[1] == 0; lwork = int32(work[1]); work = Array($eltype, lwork);
else error("Error in ", $fname); end
# Compute QR factorization
ccall(dlsym(libLAPACK, $fname),
Void,
(Ptr{Int32}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32},
Ptr{Int32}, Ptr{$eltype}, Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
m, n, QR, m, jpvt, tau, work, lwork, info)
if info[1] > 0; error("Matrix is singular"); end
R = triu(QR)
# Workspace query to form Q
lwork2 = -1
ccall(dlsym(libLAPACK, $fname2),
Void,
(Ptr{Int32}, Ptr{Int32}, Ptr{Int32}, Ptr{$eltype},
Ptr{Int32}, Ptr{$eltype}, Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
m, k, k, QR, m, tau, work, lwork2, info)
if info[1] == 0; lwork = int32(work[1]); work = Array($eltype, lwork);
else error("Error in ", $fname2); end
# Compute Q
ccall(dlsym(libLAPACK, $fname2),
Void,
(Ptr{Int32}, Ptr{Int32}, Ptr{Int32}, Ptr{$eltype},
Ptr{Int32}, Ptr{$eltype}, Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
m, k, k, QR, m, tau, work, lwork2, info)
if info[1] == 0; return (QR[:, 1:k], R[1:k, :], jpvt); end
error("Error in ", $fname);
end
end
# SUBROUTINE DSYEV( JOBZ, UPLO, N, A, LDA, W, WORK, LWORK, INFO )
# * .. Scalar Arguments ..
# CHARACTER JOBZ, UPLO
# INTEGER INFO, LDA, LWORK, N
# * .. Array Arguments ..
# DOUBLE PRECISION A( LDA, * ), W( * ), WORK( * )
for (fname, eltype) = (("dsyev_", Float64), ("ssyev_", Float32))
@eval function eig(A::DenseMatrix{$eltype})
if !issymmetric(A); error("Matrix must be symmetric"); end
jobz = "V"
uplo = "U"
n = size(A, 1)
EV = copy(A)
W = Array($eltype, n)
info = [0]
# Workspace query
work = [0.0]
lwork = -1
ccall(dlsym(libLAPACK, $fname),
Void,
(Ptr{Uint8}, Ptr{Uint8}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32},
Ptr{$eltype}, Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
jobz, uplo, n, EV, n, W, work, lwork, info)
if info[1] == 0; lwork = int32(work[1]); work = Array($eltype, lwork);
else error("Error in ", $fname); end
# Compute eigenvalues, eigenvectors
ccall(dlsym(libLAPACK, $fname),
Void,
(Ptr{Uint8}, Ptr{Uint8}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32},
Ptr{$eltype}, Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
jobz, uplo, n, EV, n, W, work, lwork, info)
if info[1] == 0; return (EV, W); end
error("Error in EIG");
end
end
# SUBROUTINE DGESVD( JOBU, JOBVT, M, N, A, LDA, S, U, LDU, VT, LDVT, WORK, LWORK, INFO )
# * .. Scalar Arguments ..
# CHARACTER JOBU, JOBVT
# INTEGER INFO, LDA, LDU, LDVT, LWORK, M, N
# * .. Array Arguments ..
# DOUBLE PRECISION A( LDA, * ), S( * ), U( LDU, * ),
# $ VT( LDVT, * ), WORK( * )
for (fname, eltype) = (("dgesvd_", Float64), ("sgesvd_", Float32))
@eval function svd(A::DenseMatrix{$eltype})
jobu = "A"
jobvt = "A"
m, n = size(A)
k = min(m,n)
X = copy(A)
S = Array($eltype, k)
U = Array($eltype, m, m)
VT = Array($eltype, n, n)
info = [0]
# Workspace query
work = [0.0]
lwork = -1
ccall(dlsym(libLAPACK, $fname),
Void,
(Ptr{Uint8}, Ptr{Uint8}, Ptr{Int32}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32},
Ptr{$eltype}, Ptr{$eltype}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32},
Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
jobu, jobvt, m, n, X, m, S, U, m, VT, n, work, lwork, info)
if info[1] == 0; lwork = int32(work[1]); work = Array($eltype, lwork);
else error("Error in ", $fname); end
# Compute SVD
ccall(dlsym(libLAPACK, $fname),
Void,
(Ptr{Uint8}, Ptr{Uint8}, Ptr{Int32}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32},
Ptr{$eltype}, Ptr{$eltype}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32},
Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
jobu, jobvt, m, n, X, m, S, U, m, VT, n, work, lwork, info)
SIGMA = zeros($eltype, m, n)
for i=1:k; SIGMA[i,i] = S[i]; end
if info[1] == 0; return (U,SIGMA,VT); end
error("Error in SVD");
end
end
# SUBROUTINE DGESV( N, NRHS, A, LDA, IPIV, B, LDB, INFO )
# * .. Scalar Arguments ..
# INTEGER INFO, LDA, LDB, N, NRHS
# * ..
# * .. Array Arguments ..
# INTEGER IPIV( * )
# DOUBLE PRECISION A( LDA, * ), B( LDB, * )
# SUBROUTINE DGELS( TRANS, M, N, NRHS, A, LDA, B, LDB, WORK, LWORK, INFO)
# * .. Scalar Arguments ..
# CHARACTER TRANS
# INTEGER INFO, LDA, LDB, LWORK, M, N, NRHS
# SUBROUTINE DTRTRS( UPLO, TRANS, DIAG, N, NRHS, A, LDA, B, LDB, INFO )
# * .. Scalar Arguments ..
# CHARACTER DIAG, TRANS, UPLO
# INTEGER INFO, LDA, LDB, N, NRHS
# * .. Array Arguments ..
# DOUBLE PRECISION A( LDA, * ), B( LDB, * )
for (fname_lu, fname_chol, fname_lsq, fname_tri, eltype) =
(("dgesv_", "dposv_", "dgels_", "dtrtrs_", Float64),
("sgesv_", "sposv_", "sgels_", "strtrs_", Float32))
@eval function \(A::DenseMatrix{$eltype}, B::DenseVecOrMat{$eltype})
info = [0]
m = size(A, 1)
n = size(A, 2)
if isa(B, Vector); nrhs = 1; else nrhs = size(B, 2); end
Acopy = copy(A)
X = copy(B)
if m == n # Square
case = :general
if isuppertriangular(A); case = :upper_triangular; end
if islowertriangular(A); case = :lower_triangular; end
if case == :general # General
ipiv = Array(Int32, n)
# Check for SPD matrix
if issymmetric(Acopy) && all([ Acopy[i,i] > 0 | i=1:n ])
case = :spd
end
if case == :spd
uplo = "U"
ccall(dlsym(libLAPACK, $fname_chol),
Void,
(Ptr{Uint8}, Ptr{Int32}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32},
Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
uplo, n, nrhs, Acopy, n, X, n, info)
if info[1] != 0
Acopy = copy(A)
case = :general
end
end
if case == :general
info[1] = 0
ccall(dlsym(libLAPACK, $fname_lu),
Void,
(Ptr{Int32}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32}, Ptr{Int32},
Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
n, nrhs, Acopy, n, ipiv, X, n, info)
end
else # Triangular
uplo = "U"
if case == :lower_triangular; uplo = "L"; end
ccall(dlsym(libLAPACK, $fname_tri),
Void,
(Ptr{Uint8}, Ptr{Uint8}, Ptr{Uint8}, Ptr{Int32}, Ptr{Int32},
Ptr{$eltype}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
uplo, "N", "N", n, nrhs, Acopy, n, X, n, info)
end
else # Rectangular
# Workspace query
lwork = -1
work = [0.0]
ccall(dlsym(libLAPACK, $fname_lsq),
Void,
(Ptr{Uint8}, Ptr{Int32}, Ptr{Int32}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32},
Ptr{$eltype}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
"N", m, n, nrhs, Acopy, m, X, max(m,n), work, lwork, info)
if info[1] == 0; lwork = int32(work[1]); work = Array($eltype, lwork);
else error("Error in ", $fname_lsq); end
ccall(dlsym(libLAPACK, $fname_lsq),
Void,
(Ptr{Uint8}, Ptr{Int32}, Ptr{Int32}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32},
Ptr{$eltype}, Ptr{Int32}, Ptr{$eltype}, Ptr{Int32}, Ptr{Int32}),
"N", m, n, nrhs, Acopy, m, X, max(m,n), work, lwork, info)
end # if m == n...
if info[1] == 0; return X; end
error("Error in solving A*X = B")
end
end