// 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 sym_helper //! @{ namespace sym_helper { // computationally inexpensive algorithm to guess whether a matrix is positive definite: // (1) ensure the matrix is symmetric/hermitian (within a tolerance) // (2) ensure the diagonal entries are real and greater than zero // (3) ensure that the value with largest modulus is on the main diagonal // (4) ensure rudimentary diagonal dominance: (real(A_ii) + real(A_jj)) > 2*abs(real(A_ij)) // the above conditions are necessary, but not sufficient; // doing it properly would be too computationally expensive for our purposes // more info: // http://mathworld.wolfram.com/PositiveDefiniteMatrix.html // http://mathworld.wolfram.com/DiagonallyDominantMatrix.html template inline typename enable_if2::no, bool>::result guess_sympd_worker(const Mat& A) { arma_extra_debug_sigprint(); // NOTE: assuming A is square-sized const eT tol = eT(100) * std::numeric_limits::epsilon(); // allow some leeway const uword N = A.n_rows; const eT* A_mem = A.memptr(); const eT* A_col = A_mem; eT max_diag = eT(0); for(uword j=0; j < N; ++j) { const eT A_jj = A_col[j]; if(A_jj <= eT(0)) { return false; } max_diag = (A_jj > max_diag) ? A_jj : max_diag; A_col += N; } A_col = A_mem; const uword Nm1 = N-1; const uword Np1 = N+1; for(uword j=0; j < Nm1; ++j) { const eT A_jj = A_col[j]; const uword jp1 = j+1; const eT* A_ji_ptr = &(A_mem[j + jp1*N]); // &(A.at(j,jp1)); const eT* A_ii_ptr = &(A_mem[jp1 + jp1*N]); for(uword i=jp1; i < N; ++i) { const eT A_ij = A_col[i]; const eT A_ji = (*A_ji_ptr); const eT A_ij_abs = (std::abs)(A_ij); const eT A_ji_abs = (std::abs)(A_ji); // if( (A_ij_abs >= max_diag) || (A_ji_abs >= max_diag) ) { return false; } if(A_ij_abs >= max_diag) { return false; } const eT A_delta = (std::abs)(A_ij - A_ji); const eT A_abs_max = (std::max)(A_ij_abs, A_ji_abs); if( (A_delta > tol) && (A_delta > (A_abs_max*tol)) ) { return false; } const eT A_ii = (*A_ii_ptr); if( (A_ij_abs + A_ij_abs) >= (A_ii + A_jj) ) { return false; } A_ji_ptr += N; A_ii_ptr += Np1; } A_col += N; } return true; } template inline typename enable_if2::yes, bool>::result guess_sympd_worker(const Mat& A) { arma_extra_debug_sigprint(); // NOTE: assuming A is square-sized typedef typename get_pod_type::result T; const T tol = T(100) * std::numeric_limits::epsilon(); // allow some leeway const uword N = A.n_rows; const eT* A_mem = A.memptr(); const eT* A_col = A_mem; T max_diag = T(0); for(uword j=0; j < N; ++j) { const eT& A_jj = A_col[j]; const T A_jj_real = std::real(A_jj); const T A_jj_imag = std::imag(A_jj); if( (A_jj_real <= T(0)) || (std::abs(A_jj_imag) > tol) ) { return false; } max_diag = (A_jj_real > max_diag) ? A_jj_real : max_diag; A_col += N; } const T square_max_diag = max_diag * max_diag; if(arma_isfinite(square_max_diag) == false) { return false; } A_col = A_mem; const uword Nm1 = N-1; const uword Np1 = N+1; for(uword j=0; j < Nm1; ++j) { const uword jp1 = j+1; const eT* A_ji_ptr = &(A_mem[j + jp1*N]); // &(A.at(j,jp1)); const eT* A_ii_ptr = &(A_mem[jp1 + jp1*N]); const T A_jj_real = std::real(A_col[j]); for(uword i=jp1; i < N; ++i) { const eT& A_ij = A_col[i]; const T A_ij_real = std::real(A_ij); const T A_ij_imag = std::imag(A_ij); // avoid using std::abs(), as that is time consuming due to division and std::sqrt() const T square_A_ij_abs = (A_ij_real * A_ij_real) + (A_ij_imag * A_ij_imag); if(arma_isfinite(square_A_ij_abs) == false) { return false; } if(square_A_ij_abs >= square_max_diag) { return false; } const T A_ij_real_abs = (std::abs)(A_ij_real); const T A_ij_imag_abs = (std::abs)(A_ij_imag); const eT& A_ji = (*A_ji_ptr); const T A_ji_real = std::real(A_ji); const T A_ji_imag = std::imag(A_ji); const T A_ji_real_abs = (std::abs)(A_ji_real); const T A_ji_imag_abs = (std::abs)(A_ji_imag); const T A_real_delta = (std::abs)(A_ij_real - A_ji_real); const T A_real_abs_max = (std::max)(A_ij_real_abs, A_ji_real_abs); if( (A_real_delta > tol) && (A_real_delta > (A_real_abs_max*tol)) ) { return false; } const T A_imag_delta = (std::abs)(A_ij_imag + A_ji_imag); // take into account complex conjugate const T A_imag_abs_max = (std::max)(A_ij_imag_abs, A_ji_imag_abs); if( (A_imag_delta > tol) && (A_imag_delta > (A_imag_abs_max*tol)) ) { return false; } const T A_ii_real = std::real(*A_ii_ptr); if( (A_ij_real_abs + A_ij_real_abs) >= (A_ii_real + A_jj_real) ) { return false; } A_ji_ptr += N; A_ii_ptr += Np1; } A_col += N; } return true; } template inline bool guess_sympd(const Mat& A) { arma_extra_debug_sigprint(); // analyse matrices with size >= 4x4 if((A.n_rows != A.n_cols) || (A.n_rows < uword(4))) { return false; } return guess_sympd_worker(A); } template inline bool guess_sympd(const Mat& A, const uword min_n_rows) { arma_extra_debug_sigprint(); if((A.n_rows != A.n_cols) || (A.n_rows < min_n_rows)) { return false; } return guess_sympd_worker(A); } // template inline typename enable_if2::no, void>::result analyse_matrix_worker(bool& is_approx_sym, bool& is_approx_sympd, const Mat& A) { arma_extra_debug_sigprint(); is_approx_sym = true; is_approx_sympd = true; const eT tol = eT(100) * std::numeric_limits::epsilon(); // allow some leeway const uword N = A.n_rows; const eT* A_mem = A.memptr(); const eT* A_col = A_mem; eT max_diag = eT(0); for(uword j=0; j < N; ++j) { const eT A_jj = A_col[j]; if(A_jj <= eT(0)) { is_approx_sympd = false; } max_diag = (A_jj > max_diag) ? A_jj : max_diag; A_col += N; } A_col = A_mem; const uword Nm1 = N-1; const uword Np1 = N+1; for(uword j=0; j < Nm1; ++j) { const eT A_jj = A_col[j]; const uword jp1 = j+1; const eT* A_ji_ptr = &(A_mem[j + jp1*N]); // &(A.at(j,jp1)); const eT* A_ii_ptr = &(A_mem[jp1 + jp1*N]); for(uword i=jp1; i < N; ++i) { const eT A_ij = A_col[i]; const eT A_ji = (*A_ji_ptr); const eT A_ij_abs = (std::abs)(A_ij); const eT A_ji_abs = (std::abs)(A_ji); const eT A_delta = (std::abs)(A_ij - A_ji); const eT A_abs_max = (std::max)(A_ij_abs, A_ji_abs); if( (A_delta > tol) && (A_delta > (A_abs_max*tol)) ) { is_approx_sym = false; return; } if(is_approx_sympd) { // if( (A_ij_abs >= max_diag) || (A_ji_abs >= max_diag) ) { is_approx_sympd = false; } if(A_ij_abs >= max_diag) { is_approx_sympd = false; } const eT A_ii = (*A_ii_ptr); if( (A_ij_abs + A_ij_abs) >= (A_ii + A_jj) ) { is_approx_sympd = false; } } A_ji_ptr += N; A_ii_ptr += Np1; } A_col += N; } } template inline typename enable_if2::yes, void>::result analyse_matrix_worker(bool& is_approx_sym, bool& is_approx_sympd, const Mat& A) { arma_extra_debug_sigprint(); typedef typename get_pod_type::result T; is_approx_sym = true; is_approx_sympd = true; const T tol = T(100) * std::numeric_limits::epsilon(); // allow some leeway const uword N = A.n_rows; const eT* A_mem = A.memptr(); const eT* A_col = A_mem; T max_diag = T(0); for(uword j=0; j < N; ++j) { const eT& A_jj = A_col[j]; const T A_jj_real = std::real(A_jj); const T A_jj_imag = std::imag(A_jj); if( (A_jj_real <= T(0)) || (std::abs(A_jj_imag) > tol) ) { is_approx_sympd = false; } max_diag = (A_jj_real > max_diag) ? A_jj_real : max_diag; A_col += N; } const T square_max_diag = max_diag * max_diag; if(arma_isfinite(square_max_diag) == false) { is_approx_sympd = false; } A_col = A_mem; const uword Nm1 = N-1; const uword Np1 = N+1; for(uword j=0; j < Nm1; ++j) { const uword jp1 = j+1; const eT* A_ji_ptr = &(A_mem[j + jp1*N]); // &(A.at(j,jp1)); const eT* A_ii_ptr = &(A_mem[jp1 + jp1*N]); const T A_jj_real = std::real(A_col[j]); for(uword i=jp1; i < N; ++i) { const eT& A_ij = A_col[i]; const T A_ij_real = std::real(A_ij); const T A_ij_imag = std::imag(A_ij); const T A_ij_real_abs = (std::abs)(A_ij_real); const T A_ij_imag_abs = (std::abs)(A_ij_imag); const eT& A_ji = (*A_ji_ptr); const T A_ji_real = std::real(A_ji); const T A_ji_imag = std::imag(A_ji); const T A_ji_real_abs = (std::abs)(A_ji_real); const T A_ji_imag_abs = (std::abs)(A_ji_imag); const T A_real_delta = (std::abs)(A_ij_real - A_ji_real); const T A_real_abs_max = (std::max)(A_ij_real_abs, A_ji_real_abs); if( (A_real_delta > tol) && (A_real_delta > (A_real_abs_max*tol)) ) { is_approx_sym = false; return; } const T A_imag_delta = (std::abs)(A_ij_imag + A_ji_imag); // take into account complex conjugate const T A_imag_abs_max = (std::max)(A_ij_imag_abs, A_ji_imag_abs); if( (A_imag_delta > tol) && (A_imag_delta > (A_imag_abs_max*tol)) ) { is_approx_sym = false; return; } if(is_approx_sympd) { // avoid using std::abs(), as that is time consuming due to division and std::sqrt() const T square_A_ij_abs = (A_ij_real * A_ij_real) + (A_ij_imag * A_ij_imag); if(arma_isfinite(square_A_ij_abs) == false) { is_approx_sympd = false; } else { const T A_ii_real = std::real(*A_ii_ptr); if( (A_ij_real_abs + A_ij_real_abs) >= (A_ii_real + A_jj_real) ) { is_approx_sympd = false; } if(square_A_ij_abs >= square_max_diag) { is_approx_sympd = false; } } } A_ji_ptr += N; A_ii_ptr += Np1; } A_col += N; } } template inline void analyse_matrix(bool& is_approx_sym, bool& is_approx_sympd, const Mat& A) { arma_extra_debug_sigprint(); if((A.n_rows != A.n_cols) || (A.n_rows < uword(4))) { is_approx_sym = false; is_approx_sympd = false; return; } analyse_matrix_worker(is_approx_sym, is_approx_sympd, A); if(is_approx_sym == false) { is_approx_sympd = false; } } template inline bool check_diag_imag(const Mat& A) { arma_extra_debug_sigprint(); // NOTE: assuming matrix A is square-sized typedef typename get_pod_type::result T; const T tol = T(10000) * std::numeric_limits::epsilon(); // allow some leeway const eT* colmem = A.memptr(); const uword N = A.n_rows; for(uword i=0; i tol) { return false; } colmem += N; } return true; } } // end of namespace sym_helper //! @}