// // Math.NET Numerics, part of the Math.NET Project // http://numerics.mathdotnet.com // http://github.com/mathnet/mathnet-numerics // // Copyright (c) 2009-2020 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.Providers.LinearAlgebra; namespace IStation.Numerics.LinearAlgebra.Double.Factorization { using Complex = System.Numerics.Complex; /// /// Eigenvalues and eigenvectors of a real matrix. /// /// /// If A is symmetric, then A = V*D*V' where the eigenvalue matrix D is /// diagonal and the eigenvector matrix V is orthogonal. /// I.e. A = V*D*V' and V*VT=I. /// If A is not symmetric, then the eigenvalue matrix D is block diagonal /// with the real eigenvalues in 1-by-1 blocks and any complex eigenvalues, /// lambda + i*mu, in 2-by-2 blocks, [lambda, mu; -mu, lambda]. The /// columns of V represent the eigenvectors in the sense that A*V = V*D, /// i.e. A.Multiply(V) equals V.Multiply(D). The matrix V may be badly /// conditioned, or even singular, so the validity of the equation /// A = V*D*Inverse(V) depends upon V.Condition(). /// internal sealed class DenseEvd : Evd { /// /// Initializes a new instance of the class. This object will compute the /// the eigenvalue decomposition when the constructor is called and cache it's decomposition. /// /// The matrix to factor. /// If it is known whether the matrix is symmetric or not the routine can skip checking it itself. /// If is null. /// If EVD algorithm failed to converge with matrix . public static DenseEvd Create(DenseMatrix matrix, Symmetricity symmetricity) { if (matrix.RowCount != matrix.ColumnCount) { throw new ArgumentException("Matrix must be square."); } var order = matrix.RowCount; // Initialize matrices for eigenvalues and eigenvectors var eigenVectors = new DenseMatrix(order); var blockDiagonal = new DenseMatrix(order); var eigenValues = new LinearAlgebra.Complex.DenseVector(order); bool isSymmetric; switch (symmetricity) { case Symmetricity.Symmetric: case Symmetricity.Hermitian: isSymmetric = true; break; case Symmetricity.Asymmetric: isSymmetric = false; break; default: isSymmetric = matrix.IsSymmetric(); break; } LinearAlgebraControl.Provider.EigenDecomp(isSymmetric, order, matrix.Values, eigenVectors.Values, eigenValues.Values, blockDiagonal.Values); return new DenseEvd(eigenVectors, eigenValues, blockDiagonal, isSymmetric); } DenseEvd(Matrix eigenVectors, Vector eigenValues, Matrix blockDiagonal, bool isSymmetric) : base(eigenVectors, eigenValues, blockDiagonal, isSymmetric) { } /// /// Solves a system of linear equations, AX = B, with A SVD 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 (EigenValues.Count != input.RowCount) { throw new ArgumentException("Matrix row dimensions must agree."); } // The solution X row dimension is equal to the column dimension of A if (EigenValues.Count != result.RowCount) { throw new ArgumentException("Matrix column dimensions must agree."); } if (IsSymmetric) { var order = EigenValues.Count; var tmp = new double[order]; for (var k = 0; k < order; k++) { for (var j = 0; j < order; j++) { double value = 0; if (j < order) { for (var i = 0; i < order; i++) { value += ((DenseMatrix) EigenVectors).Values[(j*order) + i]*input.At(i, k); } value /= EigenValues[j].Real; } tmp[j] = value; } for (var j = 0; j < order; j++) { double value = 0; for (var i = 0; i < order; i++) { value += ((DenseMatrix) EigenVectors).Values[(i*order) + j]*tmp[i]; } result.At(j, k, value); } } } else { throw new ArgumentException("Matrix must be symmetric."); } } /// /// Solves a system of linear equations, Ax = b, with A EVD 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 m matrix // Check that b is a column vector with m entries if (EigenValues.Count != input.Count) { throw new ArgumentException("All vectors must have the same dimensionality."); } // Check that x is a column vector with n entries if (EigenValues.Count != result.Count) { throw new ArgumentException("Matrix dimensions must agree."); } if (IsSymmetric) { // Symmetric case -> x = V * inv(λ) * VT * b; var order = EigenValues.Count; var tmp = new double[order]; double value; for (var j = 0; j < order; j++) { value = 0; if (j < order) { for (var i = 0; i < order; i++) { value += ((DenseMatrix) EigenVectors).Values[(j*order) + i]*input[i]; } value /= EigenValues[j].Real; } tmp[j] = value; } for (var j = 0; j < order; j++) { value = 0; for (var i = 0; i < order; i++) { value += ((DenseMatrix) EigenVectors).Values[(i*order) + j]*tmp[i]; } result[j] = value; } } else { throw new ArgumentException("Matrix must be symmetric."); } } } }