// Copyright ©2013 The Gonum Authors. All rights reserved. // Use of this source code is governed by a BSD-style // license that can be found in the LICENSE file. package mat import ( "math" "gonum.org/v1/gonum/blas" "gonum.org/v1/gonum/blas/blas64" "gonum.org/v1/gonum/lapack" "gonum.org/v1/gonum/lapack/lapack64" ) // QR is a type for creating and using the QR factorization of a matrix. type QR struct { qr *Dense tau []float64 cond float64 } func (qr *QR) updateCond(norm lapack.MatrixNorm) { // Since A = Q*R, and Q is orthogonal, we get for the condition number κ // κ(A) := |A| |A^-1| = |Q*R| |(Q*R)^-1| = |R| |R^-1 * Q^T| // = |R| |R^-1| = κ(R), // where we used that fact that Q^-1 = Q^T. However, this assumes that // the matrix norm is invariant under orthogonal transformations which // is not the case for CondNorm. Hopefully the error is negligible: κ // is only a qualitative measure anyway. n := qr.qr.mat.Cols work := getFloats(3*n, false) iwork := getInts(n, false) r := qr.qr.asTriDense(n, blas.NonUnit, blas.Upper) v := lapack64.Trcon(norm, r.mat, work, iwork) putFloats(work) putInts(iwork) qr.cond = 1 / v } // Factorize computes the QR factorization of an m×n matrix a where m >= n. The QR // factorization always exists even if A is singular. // // The QR decomposition is a factorization of the matrix A such that A = Q * R. // The matrix Q is an orthonormal m×m matrix, and R is an m×n upper triangular matrix. // Q and R can be extracted using the QTo and RTo methods. func (qr *QR) Factorize(a Matrix) { qr.factorize(a, CondNorm) } func (qr *QR) factorize(a Matrix, norm lapack.MatrixNorm) { m, n := a.Dims() if m < n { panic(ErrShape) } k := min(m, n) if qr.qr == nil { qr.qr = &Dense{} } qr.qr.Clone(a) work := []float64{0} qr.tau = make([]float64, k) lapack64.Geqrf(qr.qr.mat, qr.tau, work, -1) work = getFloats(int(work[0]), false) lapack64.Geqrf(qr.qr.mat, qr.tau, work, len(work)) putFloats(work) qr.updateCond(norm) } // Cond returns the condition number for the factorized matrix. // Cond will panic if the receiver does not contain a successful factorization. func (qr *QR) Cond() float64 { if qr.qr == nil || qr.qr.IsZero() { panic("qr: no decomposition computed") } return qr.cond } // TODO(btracey): Add in the "Reduced" forms for extracting the n×n orthogonal // and upper triangular matrices. // RTo extracts the m×n upper trapezoidal matrix from a QR decomposition. // If dst is nil, a new matrix is allocated. The resulting dst matrix is returned. func (qr *QR) RTo(dst *Dense) *Dense { r, c := qr.qr.Dims() if dst == nil { dst = NewDense(r, c, nil) } else { dst.reuseAs(r, c) } // Disguise the QR as an upper triangular t := &TriDense{ mat: blas64.Triangular{ N: c, Stride: qr.qr.mat.Stride, Data: qr.qr.mat.Data, Uplo: blas.Upper, Diag: blas.NonUnit, }, cap: qr.qr.capCols, } dst.Copy(t) // Zero below the triangular. for i := r; i < c; i++ { zero(dst.mat.Data[i*dst.mat.Stride : i*dst.mat.Stride+c]) } return dst } // QTo extracts the m×m orthonormal matrix Q from a QR decomposition. // If dst is nil, a new matrix is allocated. The resulting Q matrix is returned. func (qr *QR) QTo(dst *Dense) *Dense { r, _ := qr.qr.Dims() if dst == nil { dst = NewDense(r, r, nil) } else { dst.reuseAsZeroed(r, r) } // Set Q = I. for i := 0; i < r*r; i += r + 1 { dst.mat.Data[i] = 1 } // Construct Q from the elementary reflectors. work := []float64{0} lapack64.Ormqr(blas.Left, blas.NoTrans, qr.qr.mat, qr.tau, dst.mat, work, -1) work = getFloats(int(work[0]), false) lapack64.Ormqr(blas.Left, blas.NoTrans, qr.qr.mat, qr.tau, dst.mat, work, len(work)) putFloats(work) return dst } // Solve finds a minimum-norm solution to a system of linear equations defined // by the matrices A and b, where A is an m×n matrix represented in its QR factorized // form. If A is singular or near-singular a Condition error is returned. // See the documentation for Condition for more information. // // The minimization problem solved depends on the input parameters. // If trans == false, find X such that ||A*X - b||_2 is minimized. // If trans == true, find the minimum norm solution of A^T * X = b. // The solution matrix, X, is stored in place into m. func (qr *QR) Solve(m *Dense, trans bool, b Matrix) error { r, c := qr.qr.Dims() br, bc := b.Dims() // The QR solve algorithm stores the result in-place into the right hand side. // The storage for the answer must be large enough to hold both b and x. // However, this method's receiver must be the size of x. Copy b, and then // copy the result into m at the end. if trans { if c != br { panic(ErrShape) } m.reuseAs(r, bc) } else { if r != br { panic(ErrShape) } m.reuseAs(c, bc) } // Do not need to worry about overlap between m and b because x has its own // independent storage. x := getWorkspace(max(r, c), bc, false) x.Copy(b) t := qr.qr.asTriDense(qr.qr.mat.Cols, blas.NonUnit, blas.Upper).mat if trans { ok := lapack64.Trtrs(blas.Trans, t, x.mat) if !ok { return Condition(math.Inf(1)) } for i := c; i < r; i++ { zero(x.mat.Data[i*x.mat.Stride : i*x.mat.Stride+bc]) } work := []float64{0} lapack64.Ormqr(blas.Left, blas.NoTrans, qr.qr.mat, qr.tau, x.mat, work, -1) work = getFloats(int(work[0]), false) lapack64.Ormqr(blas.Left, blas.NoTrans, qr.qr.mat, qr.tau, x.mat, work, len(work)) putFloats(work) } else { work := []float64{0} lapack64.Ormqr(blas.Left, blas.Trans, qr.qr.mat, qr.tau, x.mat, work, -1) work = getFloats(int(work[0]), false) lapack64.Ormqr(blas.Left, blas.Trans, qr.qr.mat, qr.tau, x.mat, work, len(work)) putFloats(work) ok := lapack64.Trtrs(blas.NoTrans, t, x.mat) if !ok { return Condition(math.Inf(1)) } } // M was set above to be the correct size for the result. m.Copy(x) putWorkspace(x) if qr.cond > ConditionTolerance { return Condition(qr.cond) } return nil } // SolveVec finds a minimum-norm solution to a system of linear equations, // Ax = b. // See QR.Solve for the full documentation. func (qr *QR) SolveVec(v *VecDense, trans bool, b Vector) error { r, c := qr.qr.Dims() if _, bc := b.Dims(); bc != 1 { panic(ErrShape) } // The Solve implementation is non-trivial, so rather than duplicate the code, // instead recast the VecDenses as Dense and call the matrix code. bm := Matrix(b) if rv, ok := b.(RawVectorer); ok { bmat := rv.RawVector() if v != b { v.checkOverlap(bmat) } b := VecDense{mat: bmat, n: b.Len()} bm = b.asDense() } if trans { v.reuseAs(r) } else { v.reuseAs(c) } return qr.Solve(v.asDense(), trans, bm) }