// // Math.NET Numerics, part of the Math.NET Project // http://numerics.mathdotnet.com // http://github.com/mathnet/mathnet-numerics // // Copyright (c) 2009-2013 Math.NET // // Permission is hereby granted, free of charge, to any person // obtaining a copy of this software and associated documentation // files (the "Software"), to deal in the Software without // restriction, including without limitation the rights to use, // copy, modify, merge, publish, distribute, sublicense, and/or sell // copies of the Software, and to permit persons to whom the // Software is furnished to do so, subject to the following // conditions: // // The above copyright notice and this permission notice shall be // included in all copies or substantial portions of the Software. // // THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, // EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES // OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND // NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT // HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, // WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING // FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR // OTHER DEALINGS IN THE SOFTWARE. // using System; using IStation.Numerics.LinearAlgebra.Factorization; using IStation.Numerics.Providers.LinearAlgebra; namespace IStation.Numerics.LinearAlgebra.Complex.Factorization { using Complex = System.Numerics.Complex; /// /// A class which encapsulates the functionality of the QR decomposition Modified Gram-Schmidt Orthogonalization. /// Any complex square matrix A may be decomposed as A = QR where Q is an unitary mxn matrix and R is an nxn upper triangular matrix. /// /// /// The computation of the QR decomposition is done at construction time by modified Gram-Schmidt Orthogonalization. /// internal sealed class DenseGramSchmidt : GramSchmidt { /// /// Initializes a new instance of the class. This object creates an unitary matrix /// using the modified Gram-Schmidt method. /// /// The matrix to factor. /// If is null. /// If row count is less then column count /// If is rank deficient public static DenseGramSchmidt Create(Matrix matrix) { if (matrix.RowCount < matrix.ColumnCount) { throw Matrix.DimensionsDontMatch(matrix); } var q = (DenseMatrix)matrix.Clone(); var r = new DenseMatrix(matrix.ColumnCount, matrix.ColumnCount); Factorize(q.Values, q.RowCount, q.ColumnCount, r.Values); return new DenseGramSchmidt(q, r); } DenseGramSchmidt(Matrix q, Matrix rFull) : base(q, rFull) { } /// /// Factorize matrix using the modified Gram-Schmidt method. /// /// Initial matrix. On exit is replaced by Q. /// Number of rows in Q. /// Number of columns in Q. /// On exit is filled by R. private static void Factorize(Complex[] q, int rowsQ, int columnsQ, Complex[] r) { for (var k = 0; k < columnsQ; k++) { var norm = 0.0; for (var i = 0; i < rowsQ; i++) { norm += q[(k * rowsQ) + i].Magnitude * q[(k * rowsQ) + i].Magnitude; } norm = Math.Sqrt(norm); if (norm == 0.0) { throw new ArgumentException("Matrix must not be rank deficient."); } r[(k * columnsQ) + k] = norm; for (var i = 0; i < rowsQ; i++) { q[(k * rowsQ) + i] /= norm; } for (var j = k + 1; j < columnsQ; j++) { var k1 = k; var j1 = j; var dot = Complex.Zero; for (var index = 0; index < rowsQ; index++) { dot += q[(k1 * rowsQ) + index].Conjugate() * q[(j1 * rowsQ) + index]; } r[(j * columnsQ) + k] = dot; for (var i = 0; i < rowsQ; i++) { var value = q[(j * rowsQ) + i] - (q[(k * rowsQ) + i] * dot); q[(j * rowsQ) + i] = value; } } } } /// /// Solves a system of linear equations, AX = B, with A QR factorized. /// /// The right hand side , B. /// The left hand side , X. public override void Solve(Matrix input, Matrix result) { // The solution X should have the same number of columns as B if (input.ColumnCount != result.ColumnCount) { throw new ArgumentException("Matrix column dimensions must agree."); } // The dimension compatibility conditions for X = A\B require the two matrices A and B to have the same number of rows if (Q.RowCount != input.RowCount) { throw new ArgumentException("Matrix row dimensions must agree."); } // The solution X row dimension is equal to the column dimension of A if (Q.ColumnCount != result.RowCount) { throw new ArgumentException("Matrix column dimensions must agree."); } if (input is DenseMatrix dinput && result is DenseMatrix dresult) { LinearAlgebraControl.Provider.QRSolveFactored(((DenseMatrix) Q).Values, ((DenseMatrix) FullR).Values, Q.RowCount, FullR.ColumnCount, null, dinput.Values, input.ColumnCount, dresult.Values, QRMethod.Thin); } else { throw new NotSupportedException("Can only do GramSchmidt factorization for dense matrices at the moment."); } } /// /// Solves a system of linear equations, Ax = b, with A QR factorized. /// /// The right hand side vector, b. /// The left hand side , x. public override void Solve(Vector input, Vector result) { // Ax=b where A is an m x n matrix // Check that b is a column vector with m entries if (Q.RowCount != input.Count) { throw new ArgumentException("All vectors must have the same dimensionality."); } // Check that x is a column vector with n entries if (Q.ColumnCount != result.Count) { throw Matrix.DimensionsDontMatch(Q, result); } if (input is DenseVector dinput && result is DenseVector dresult) { LinearAlgebraControl.Provider.QRSolveFactored(((DenseMatrix) Q).Values, ((DenseMatrix) FullR).Values, Q.RowCount, FullR.ColumnCount, null, dinput.Values, 1, dresult.Values, QRMethod.Thin); } else { throw new NotSupportedException("Can only do GramSchmidt factorization for dense vectors at the moment."); } } } }