ufkc7e3d
/
mathnet-numerics
forked from tsai/mathnet-numerics
1
0
Fork 0
Code Issues Pull Requests Projects Releases Wiki Activity
Browse Source

added compound SVD and QR solve

la-knuth
Marcus Cuda 17 years ago
parent
3e4a31ec8a
commit
44c258e975
2 changed files with 80 additions and 6 deletions
Whitespace
Show all changes Ignore whitespace when comparing lines Ignore changes in amount of whitespace Ignore changes in whitespace at EOL
Split View
Diff Options
Show Stats Download Patch File Download Diff File
  1. 59
      src/Numerics/Algorithms/LinearAlgebra/ILinearAlgebraProvider.cs
  2. 27
      src/Numerics/Algorithms/LinearAlgebra/ManagedLinearAlgebraProvider.cs

59
src/Numerics/Algorithms/LinearAlgebra/ILinearAlgebraProvider.cs
View File

@ -331,6 +331,34 @@ namespace MathNet.Numerics.Algorithms.LinearAlgebra
/// <remarks>This is similar to the GEQRF and ORGQR LAPACK routines.</remarks>
void QRFactor(double[] r, double[] q, double[] work);
/// <summary>
/// Solves A*X=B for X using QR factorization of A.
/// </summary>
/// <param name="columnsOfB">The number of columns of B.</param>
/// <param name="r">On entry, it is the M by N A matrix to factor. On exit,
/// it is overwritten with the R matrix of the QR factorization. </param>
/// <param name="q">On exit, A M by M matrix that holds the Q matrix of the
/// QR factorization.</param>
/// <param name="b">The B matrix.</param>
/// <param name="x">On exit, the solution matrix.</param>
void QRSolve(int columnsOfB, double[] r, double[] q, double[] b, double[] x);
/// <summary>
/// Solves A*X=B for X using QR factorization of A.
/// </summary>
/// <param name="columnsOfB">The number of columns of B.</param>
/// <param name="r">On entry, it is the M by N A matrix to factor. On exit,
/// it is overwritten with the R matrix of the QR factorization. </param>
/// <param name="q">On exit, A M by M matrix that holds the Q matrix of the
/// QR factorization.</param>
/// <param name="b">The B matrix.</param>
/// <param name="x">On exit, the solution matrix.</param>
/// <param name="work">The work array. The array must have a length of at least N,
/// but should be N*blocksize. The blocksize is machine dependent. Use <see cref="QueryWorkspaceBlockSize"/>
/// to determine the optimal size of the work array. On exit, work[0] contains the optimal
/// work size value.</param>
void QRSolve(int columnsOfB, double[] r, double[] q, double[] b, double[] x, double[] work);
/// <summary>
/// Solves A*X=B for X using a previously QR factored matrix.
/// </summary>
@ -339,7 +367,7 @@ namespace MathNet.Numerics.Algorithms.LinearAlgebra
/// <param name="r">The R matrix obtained by calling <see cref="QRFactor(double[],double[])"/>. </param>
/// <param name="b">The B matrix.</param>
/// <param name="x">On exit, the solution matrix.</param>
void QRSolve(int columnsOfB, double[] q, double[] r, double[] b, double[] x);
void QRSolveFactored(int columnsOfB, double[] q, double[] r, double[] b, double[] x);
/// <summary>
/// Computes the singular value decomposition of A.
@ -371,14 +399,41 @@ namespace MathNet.Numerics.Algorithms.LinearAlgebra
/// <remarks>This is equivalent to the GESVD LAPACK routine.</remarks>
void SingularValueDecomposition(bool computeVectors, double[] a, double[] s, double[] u, double[] vt, double[] work);
/// <summary>
/// Solves A*X=B for X using the singular value decomposition of A.
/// </summary>
/// <param name="a">On entry, the M by N matrix to decompose. On exit, A may be overwritten.</param>
/// <param name="s">The singular values of A in ascending value. </param>
/// <param name="u">On exit U contains the left singular vectors.</param>
/// <param name="vt">On exit VT contains the transposed right singular vectors.</param>
/// <param name="b">The B matrix.</param>
/// <param name="x">On exit, the solution matrix.</param>
void SvdSolve(double[] a, double[] s, double[] u, double[] vt, double[] b, double[] x);
/// <summary>
/// Solves A*X=B for X using the singular value decomposition of A.
/// </summary>
/// <param name="a">On entry, the M by N matrix to decompose. On exit, A may be overwritten.</param>
/// <param name="s">The singular values of A in ascending value. </param>
/// <param name="u">On exit U contains the left singular vectors.</param>
/// <param name="vt">On exit VT contains the transposed right singular vectors.</param>
/// <param name="b">The B matrix.</param>
/// <param name="x">On exit, the solution matrix.</param>
/// <param name="work">The work array. The array must have a length of at least N,
/// but should be N*blocksize. The blocksize is machine dependent. Use <see cref="QueryWorkspaceBlockSize"/>
/// to determine the optimal size of the work array. On exit, work[0] contains the optimal
/// work size value.</param>
void SvdSolve(double[] a, double[] s, double[] u, double[] vt, double[] b, double[] x, double[] work);
/// <summary>
/// Solves A*X=B for X using a previously SVD decomposed matrix.
/// </summary>
/// <param name="columnsOfB">The number of columns of B.</param>
/// <param name="s">The s values returned by <see cref="SinguarValueDecomposition(bool,double[],double[],double[],double[])"/>.</param>
/// <param name="u">The left singular vectors returned by <see cref="SinguarValueDecomposition(bool,double[],double[],double[],double[])"/>.</param>
/// <param name="vt">The right singular vectors returned by <see cref="SinguarValueDecomposition(bool,double[],double[],double[],double[])"/>.</param>
/// <param name="b">The B matrix.</param>
/// <param name="x">On exit, the solution matrix.</param>
void SvdSolve(double[] s, double[] u, double[] vt, double[] b, double[] x);
void SvdSolveFactored(int columnsOfB, double[] s, double[] u, double[] vt, double[] b, double[] x);
}
}

27
src/Numerics/Algorithms/LinearAlgebra/ManagedLinearAlgebraProvider.cs
View File

@ -204,7 +204,17 @@ namespace MathNet.Numerics.Algorithms.LinearAlgebra
throw new NotImplementedException();
}
public void QRSolve(int columnsOfB, double[] q, double[] r, double[] b, double[] x)
public void QRSolve(int columnsOfB, double[] r, double[] q, double[] b, double[] x)
{
throw new NotImplementedException();
}
public void QRSolve(int columnsOfB, double[] r, double[] q, double[] b, double[] x, double[] work)
{
throw new NotImplementedException();
}
public void QRSolveFactored(int columnsOfB, double[] q, double[] r, double[] b, double[] x)
{
throw new NotImplementedException();
}
@ -214,13 +224,22 @@ namespace MathNet.Numerics.Algorithms.LinearAlgebra
throw new NotImplementedException();
}
public void SingularValueDecomposition(
bool computeVectors, double[] a, double[] s, double[] u, double[] vt, double[] work)
public void SingularValueDecomposition(bool computeVectors, double[] a, double[] s, double[] u, double[] vt, double[] work)
{
throw new NotImplementedException();
}
public void SvdSolve(double[] a, double[] s, double[] u, double[] vt, double[] b, double[] x)
{
throw new NotImplementedException();
}
public void SvdSolve(double[] a, double[] s, double[] u, double[] vt, double[] b, double[] x, double[] work)
{
throw new NotImplementedException();
}
public void SvdSolve(double[] s, double[] u, double[] vt, double[] b, double[] x)
public void SvdSolveFactored(int columnsOfB, double[] s, double[] u, double[] vt, double[] b, double[] x)
{
throw new NotImplementedException();
}

Write Preview
Loading…
Cancel
Save