// // 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.Double.Factorization { /// /// A class which encapsulates the functionality of the QR decomposition. /// Any real square matrix A may be decomposed as A = QR where Q is an orthogonal matrix /// (its columns are orthogonal unit vectors meaning QTQ = I) and R is an upper triangular matrix /// (also called right triangular matrix). /// /// /// The computation of the QR decomposition is done at construction time by Householder transformation. /// internal sealed class DenseQR : QR { /// /// Gets or sets Tau vector. Contains additional information on Q - used for native solver. /// double[] Tau { get; set; } /// /// Initializes a new instance of the class. This object will compute the /// QR factorization when the constructor is called and cache it's factorization. /// /// The matrix to factor. /// The type of QR factorization to perform. /// If is null. /// If row count is less then column count public static DenseQR Create(DenseMatrix matrix, QRMethod method = QRMethod.Full) { if (matrix.RowCount < matrix.ColumnCount) { throw Matrix.DimensionsDontMatch(matrix); } var tau = new double[Math.Min(matrix.RowCount, matrix.ColumnCount)]; Matrix q; Matrix r; if (method == QRMethod.Full) { r = matrix.Clone(); q = new DenseMatrix(matrix.RowCount); LinearAlgebraControl.Provider.QRFactor(((DenseMatrix) r).Values, matrix.RowCount, matrix.ColumnCount, ((DenseMatrix) q).Values, tau); } else { q = matrix.Clone(); r = new DenseMatrix(matrix.ColumnCount); LinearAlgebraControl.Provider.ThinQRFactor(((DenseMatrix) q).Values, matrix.RowCount, matrix.ColumnCount, ((DenseMatrix) r).Values, tau); } return new DenseQR(q, r, method, tau); } DenseQR(Matrix q, Matrix rFull, QRMethod method, double[] tau) : base(q, rFull, method) { Tau = tau; } /// /// 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 (FullR.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, Tau, dinput.Values, input.ColumnCount, dresult.Values, Method); } else { throw new NotSupportedException("Can only do QR 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 (FullR.ColumnCount != result.Count) { throw Matrix.DimensionsDontMatch(FullR, result); } if (input is DenseVector dinput && result is DenseVector dresult) { LinearAlgebraControl.Provider.QRSolveFactored(((DenseMatrix) Q).Values, ((DenseMatrix) FullR).Values, Q.RowCount, FullR.ColumnCount, Tau, dinput.Values, 1, dresult.Values, Method); } else { throw new NotSupportedException("Can only do QR factorization for dense vectors at the moment."); } } } }