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authorNao Pross <np@0hm.ch>2024-02-12 14:52:43 +0100
committerNao Pross <np@0hm.ch>2024-02-12 14:52:43 +0100
commiteda5bc26f44ee9a6f83dcf8c91f17296d7fc509d (patch)
treebc2efa38ff4e350f9a111ac87065cd7ae9a911c7 /src/armadillo/include/armadillo_bits/op_sqrtmat_meat.hpp
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+// SPDX-License-Identifier: Apache-2.0
+//
+// Copyright 2008-2016 Conrad Sanderson (http://conradsanderson.id.au)
+// Copyright 2008-2016 National ICT Australia (NICTA)
+//
+// Licensed under the Apache License, Version 2.0 (the "License");
+// you may not use this file except in compliance with the License.
+// You may obtain a copy of the License at
+// http://www.apache.org/licenses/LICENSE-2.0
+//
+// Unless required by applicable law or agreed to in writing, software
+// distributed under the License is distributed on an "AS IS" BASIS,
+// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+// See the License for the specific language governing permissions and
+// limitations under the License.
+// ------------------------------------------------------------------------
+
+
+//! \addtogroup op_sqrtmat
+//! @{
+
+
+//! implementation partly based on:
+//! N. J. Higham.
+//! A New sqrtm for Matlab.
+//! Numerical Analysis Report No. 336, January 1999.
+//! Department of Mathematics, University of Manchester.
+//! ISSN 1360-1725
+//! http://www.maths.manchester.ac.uk/~higham/narep/narep336.ps.gz
+
+
+template<typename T1>
+inline
+void
+op_sqrtmat::apply(Mat< std::complex<typename T1::elem_type> >& out, const mtOp<std::complex<typename T1::elem_type>,T1,op_sqrtmat>& in)
+ {
+ arma_extra_debug_sigprint();
+
+ const bool status = op_sqrtmat::apply_direct(out, in.m);
+
+ if(status == false)
+ {
+ arma_debug_warn_level(3, "sqrtmat(): given matrix is singular; may not have a square root");
+ }
+ }
+
+
+
+template<typename T1>
+inline
+bool
+op_sqrtmat::apply_direct(Mat< std::complex<typename T1::elem_type> >& out, const Op<T1,op_diagmat>& expr)
+ {
+ arma_extra_debug_sigprint();
+
+ typedef typename T1::elem_type T;
+
+ const diagmat_proxy<T1> P(expr.m);
+
+ arma_debug_check( (P.n_rows != P.n_cols), "sqrtmat(): given matrix must be square sized" );
+
+ const uword N = P.n_rows;
+
+ out.zeros(N,N);
+
+ bool singular = false;
+
+ for(uword i=0; i<N; ++i)
+ {
+ const T val = P[i];
+
+ if(val >= T(0))
+ {
+ singular = (singular || (val == T(0)));
+
+ out.at(i,i) = std::sqrt(val);
+ }
+ else
+ {
+ out.at(i,i) = std::sqrt( std::complex<T>(val) );
+ }
+ }
+
+ return (singular) ? false : true;
+ }
+
+
+
+template<typename T1>
+inline
+bool
+op_sqrtmat::apply_direct(Mat< std::complex<typename T1::elem_type> >& out, const Base<typename T1::elem_type,T1>& expr)
+ {
+ arma_extra_debug_sigprint();
+
+ typedef typename T1::elem_type in_T;
+ typedef typename std::complex<in_T> out_T;
+
+ const quasi_unwrap<T1> expr_unwrap(expr.get_ref());
+ const Mat<in_T>& A = expr_unwrap.M;
+
+ arma_debug_check( (A.is_square() == false), "sqrtmat(): given matrix must be square sized" );
+
+ if(A.n_elem == 0)
+ {
+ out.reset();
+ return true;
+ }
+ else
+ if(A.n_elem == 1)
+ {
+ out.set_size(1,1);
+ out[0] = std::sqrt( std::complex<in_T>( A[0] ) );
+ return true;
+ }
+
+ if(A.is_diagmat())
+ {
+ arma_extra_debug_print("op_sqrtmat: detected diagonal matrix");
+
+ const uword N = A.n_rows;
+
+ out.zeros(N,N); // aliasing can't happen as op_sqrtmat is defined as cx_mat = op(mat)
+
+ for(uword i=0; i<N; ++i)
+ {
+ const in_T val = A.at(i,i);
+
+ if(val >= in_T(0))
+ {
+ out.at(i,i) = std::sqrt(val);
+ }
+ else
+ {
+ out.at(i,i) = std::sqrt( out_T(val) );
+ }
+ }
+
+ return true;
+ }
+
+ const bool try_sympd = arma_config::optimise_sym && sym_helper::guess_sympd(A);
+
+ if(try_sympd)
+ {
+ arma_extra_debug_print("op_sqrtmat: attempting sympd optimisation");
+
+ // if matrix A is sympd, all its eigenvalues are positive
+
+ Col<in_T> eigval;
+ Mat<in_T> eigvec;
+
+ const bool eig_status = eig_sym_helper(eigval, eigvec, A, 'd', "sqrtmat()");
+
+ if(eig_status)
+ {
+ // ensure each eigenvalue is > 0
+
+ const uword N = eigval.n_elem;
+ const in_T* eigval_mem = eigval.memptr();
+
+ bool all_pos = true;
+
+ for(uword i=0; i<N; ++i) { all_pos = (eigval_mem[i] <= in_T(0)) ? false : all_pos; }
+
+ if(all_pos)
+ {
+ eigval = sqrt(eigval);
+
+ out = conv_to< Mat<out_T> >::from( eigvec * diagmat(eigval) * eigvec.t() );
+
+ return true;
+ }
+ }
+
+ arma_extra_debug_print("op_sqrtmat: sympd optimisation failed");
+
+ // fallthrough if eigen decomposition failed or an eigenvalue is <= 0
+ }
+
+
+ Mat<out_T> U;
+ Mat<out_T> S(A.n_rows, A.n_cols, arma_nozeros_indicator());
+
+ const in_T* Amem = A.memptr();
+ out_T* Smem = S.memptr();
+
+ const uword n_elem = A.n_elem;
+
+ for(uword i=0; i<n_elem; ++i)
+ {
+ Smem[i] = std::complex<in_T>( Amem[i] );
+ }
+
+ const bool schur_ok = auxlib::schur(U,S);
+
+ if(schur_ok == false)
+ {
+ arma_extra_debug_print("sqrtmat(): schur decomposition failed");
+ out.soft_reset();
+ return false;
+ }
+
+ const bool status = op_sqrtmat_cx::helper(S);
+
+ const Mat<out_T> X = U*S;
+
+ S.reset();
+
+ out = X*U.t();
+
+ return status;
+ }
+
+
+
+template<typename T1>
+inline
+void
+op_sqrtmat_cx::apply(Mat<typename T1::elem_type>& out, const Op<T1,op_sqrtmat_cx>& in)
+ {
+ arma_extra_debug_sigprint();
+
+ const bool status = op_sqrtmat_cx::apply_direct(out, in.m);
+
+ if(status == false)
+ {
+ arma_debug_warn_level(3, "sqrtmat(): given matrix is singular; may not have a square root");
+ }
+ }
+
+
+
+template<typename T1>
+inline
+bool
+op_sqrtmat_cx::apply_direct(Mat<typename T1::elem_type>& out, const Op<T1,op_diagmat>& expr)
+ {
+ arma_extra_debug_sigprint();
+
+ typedef typename T1::elem_type eT;
+
+ const diagmat_proxy<T1> P(expr.m);
+
+ bool status = false;
+
+ if(P.is_alias(out))
+ {
+ Mat<eT> tmp;
+
+ status = op_sqrtmat_cx::apply_direct_noalias(tmp, P);
+
+ out.steal_mem(tmp);
+ }
+ else
+ {
+ status = op_sqrtmat_cx::apply_direct_noalias(out, P);
+ }
+
+ return status;
+ }
+
+
+
+template<typename T1>
+inline
+bool
+op_sqrtmat_cx::apply_direct_noalias(Mat<typename T1::elem_type>& out, const diagmat_proxy<T1>& P)
+ {
+ arma_extra_debug_sigprint();
+
+ typedef typename T1::elem_type eT;
+
+ arma_debug_check( (P.n_rows != P.n_cols), "sqrtmat(): given matrix must be square sized" );
+
+ const uword N = P.n_rows;
+
+ out.zeros(N,N);
+
+ const eT zero = eT(0);
+
+ bool singular = false;
+
+ for(uword i=0; i<N; ++i)
+ {
+ const eT val = P[i];
+
+ singular = (singular || (val == zero));
+
+ out.at(i,i) = std::sqrt(val);
+ }
+
+ return (singular) ? false : true;
+ }
+
+
+
+template<typename T1>
+inline
+bool
+op_sqrtmat_cx::apply_direct(Mat<typename T1::elem_type>& out, const Base<typename T1::elem_type,T1>& expr)
+ {
+ arma_extra_debug_sigprint();
+
+ typedef typename T1::pod_type T;
+ typedef typename T1::elem_type eT;
+
+ Mat<eT> U;
+ Mat<eT> S = expr.get_ref();
+
+ arma_debug_check( (S.n_rows != S.n_cols), "sqrtmat(): given matrix must be square sized" );
+
+ if(S.n_elem == 0)
+ {
+ out.reset();
+ return true;
+ }
+ else
+ if(S.n_elem == 1)
+ {
+ out.set_size(1,1);
+ out[0] = std::sqrt(S[0]);
+ return true;
+ }
+
+ if(S.is_diagmat())
+ {
+ arma_extra_debug_print("op_sqrtmat_cx: detected diagonal matrix");
+
+ const uword N = S.n_rows;
+
+ out.zeros(N,N); // aliasing can't happen as S is generated
+
+ for(uword i=0; i<N; ++i) { out.at(i,i) = std::sqrt( S.at(i,i) ); }
+
+ return true;
+ }
+
+ const bool try_sympd = arma_config::optimise_sym && sym_helper::guess_sympd(S);
+
+ if(try_sympd)
+ {
+ arma_extra_debug_print("op_sqrtmat_cx: attempting sympd optimisation");
+
+ // if matrix S is sympd, all its eigenvalues are positive
+
+ Col< T> eigval;
+ Mat<eT> eigvec;
+
+ const bool eig_status = eig_sym_helper(eigval, eigvec, S, 'd', "sqrtmat()");
+
+ if(eig_status)
+ {
+ // ensure each eigenvalue is > 0
+
+ const uword N = eigval.n_elem;
+ const T* eigval_mem = eigval.memptr();
+
+ bool all_pos = true;
+
+ for(uword i=0; i<N; ++i) { all_pos = (eigval_mem[i] <= T(0)) ? false : all_pos; }
+
+ if(all_pos)
+ {
+ eigval = sqrt(eigval);
+
+ out = eigvec * diagmat(eigval) * eigvec.t();
+
+ return true;
+ }
+ }
+
+ arma_extra_debug_print("op_sqrtmat_cx: sympd optimisation failed");
+
+ // fallthrough if eigen decomposition failed or an eigenvalue is <= 0
+ }
+
+ const bool schur_ok = auxlib::schur(U, S);
+
+ if(schur_ok == false)
+ {
+ arma_extra_debug_print("sqrtmat(): schur decomposition failed");
+ out.soft_reset();
+ return false;
+ }
+
+ const bool status = op_sqrtmat_cx::helper(S);
+
+ const Mat<eT> X = U*S;
+
+ S.reset();
+
+ out = X*U.t();
+
+ return status;
+ }
+
+
+
+template<typename T>
+inline
+bool
+op_sqrtmat_cx::helper(Mat< std::complex<T> >& S)
+ {
+ typedef typename std::complex<T> eT;
+
+ if(S.is_empty()) { return true; }
+
+ const uword N = S.n_rows;
+
+ const eT zero = eT(0);
+
+ eT& S_00 = S[0];
+
+ bool singular = (S_00 == zero);
+
+ S_00 = std::sqrt(S_00);
+
+ for(uword j=1; j < N; ++j)
+ {
+ eT* S_j = S.colptr(j);
+
+ eT& S_jj = S_j[j];
+
+ singular = (singular || (S_jj == zero));
+
+ S_jj = std::sqrt(S_jj);
+
+ for(uword ii=0; ii <= (j-1); ++ii)
+ {
+ const uword i = (j-1) - ii;
+
+ const eT* S_i = S.colptr(i);
+
+ //S_j[i] /= (S_i[i] + S_j[j]);
+ S_j[i] /= (S_i[i] + S_jj);
+
+ for(uword k=0; k < i; ++k)
+ {
+ S_j[k] -= S_i[k] * S_j[i];
+ }
+ }
+ }
+
+ return (singular) ? false : true;
+ }
+
+
+
+template<typename T1>
+inline
+void
+op_sqrtmat_sympd::apply(Mat<typename T1::elem_type>& out, const Op<T1,op_sqrtmat_sympd>& in)
+ {
+ arma_extra_debug_sigprint();
+
+ const bool status = op_sqrtmat_sympd::apply_direct(out, in.m);
+
+ if(status == false)
+ {
+ out.soft_reset();
+ arma_stop_runtime_error("sqrtmat_sympd(): transformation failed");
+ }
+ }
+
+
+
+template<typename T1>
+inline
+bool
+op_sqrtmat_sympd::apply_direct(Mat<typename T1::elem_type>& out, const Base<typename T1::elem_type,T1>& expr)
+ {
+ arma_extra_debug_sigprint();
+
+ #if defined(ARMA_USE_LAPACK)
+ {
+ typedef typename T1::elem_type eT;
+ typedef typename T1::pod_type T;
+
+ const unwrap<T1> U(expr.get_ref());
+ const Mat<eT>& X = U.M;
+
+ arma_debug_check( (X.is_square() == false), "sqrtmat_sympd(): given matrix must be square sized" );
+
+ if((arma_config::debug) && (is_cx<eT>::yes) && (sym_helper::check_diag_imag(X) == false))
+ {
+ arma_debug_warn_level(1, "sqrtmat_sympd(): imaginary components on the diagonal are non-zero");
+ }
+
+ if(is_op_diagmat<T1>::value || X.is_diagmat())
+ {
+ arma_extra_debug_print("op_sqrtmat_sympd: detected diagonal matrix");
+
+ out = X;
+
+ eT* colmem = out.memptr();
+
+ const uword N = X.n_rows;
+
+ for(uword i=0; i<N; ++i)
+ {
+ eT& out_ii = colmem[i];
+ T out_ii_real = access::tmp_real(out_ii);
+
+ if(out_ii_real < T(0)) { return false; }
+
+ out_ii = std::sqrt(out_ii);
+
+ colmem += N;
+ }
+
+ return true;
+ }
+
+ Col< T> eigval;
+ Mat<eT> eigvec;
+
+ const bool status = eig_sym_helper(eigval, eigvec, X, 'd', "sqrtmat_sympd()");
+
+ if(status == false) { return false; }
+
+ const uword N = eigval.n_elem;
+ const T* eigval_mem = eigval.memptr();
+
+ bool all_pos = true;
+
+ for(uword i=0; i<N; ++i) { all_pos = (eigval_mem[i] < T(0)) ? false : all_pos; }
+
+ if(all_pos == false) { return false; }
+
+ eigval = sqrt(eigval);
+
+ out = eigvec * diagmat(eigval) * eigvec.t();
+
+ return true;
+ }
+ #else
+ {
+ arma_ignore(out);
+ arma_ignore(expr);
+ arma_stop_logic_error("sqrtmat_sympd(): use of LAPACK must be enabled");
+ return false;
+ }
+ #endif
+ }
+
+
+
+//! @}