// // 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; namespace IStation.Numerics.LinearAlgebra.Double.Factorization { /// /// A class which encapsulates the functionality of the QR decomposition Modified Gram-Schmidt Orthogonalization. /// Any real square matrix A may be decomposed as A = QR where Q is an orthogonal 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 UserGramSchmidt : GramSchmidt { /// /// Initializes a new instance of the class. This object creates an orthogonal 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 UserGramSchmidt Create(Matrix matrix) { if (matrix.RowCount < matrix.ColumnCount) { throw Matrix.DimensionsDontMatch(matrix); } var q = matrix.Clone(); var r = Matrix.Build.SameAs(matrix, matrix.ColumnCount, matrix.ColumnCount, fullyMutable: true); for (var k = 0; k < q.ColumnCount; k++) { var norm = q.Column(k).L2Norm(); if (norm == 0.0) { throw new ArgumentException("Matrix must not be rank deficient."); } r.At(k, k, norm); for (var i = 0; i < q.RowCount; i++) { q.At(i, k, q.At(i, k) / norm); } for (var j = k + 1; j < q.ColumnCount; j++) { var dot = q.Column(k).DotProduct(q.Column(j)); r.At(k, j, dot); for (var i = 0; i < q.RowCount; i++) { var value = q.At(i, j) - (q.At(i, k) * dot); q.At(i, j, value); } } } return new UserGramSchmidt(q, r); } UserGramSchmidt(Matrix q, Matrix rFull) : base(q, rFull) { } /// /// 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."); } var inputCopy = input.Clone(); // Compute Y = transpose(Q)*B var column = new double[Q.RowCount]; for (var j = 0; j < input.ColumnCount; j++) { for (var k = 0; k < Q.RowCount; k++) { column[k] = inputCopy.At(k, j); } for (var i = 0; i < Q.ColumnCount; i++) { double s = 0; for (var k = 0; k < Q.RowCount; k++) { s += Q.At(k, i) * column[k]; } inputCopy.At(i, j, s); } } // Solve R*X = Y; for (var k = Q.ColumnCount - 1; k >= 0; k--) { for (var j = 0; j < input.ColumnCount; j++) { inputCopy.At(k, j, inputCopy.At(k, j) / FullR.At(k, k)); } for (var i = 0; i < k; i++) { for (var j = 0; j < input.ColumnCount; j++) { inputCopy.At(i, j, inputCopy.At(i, j) - (inputCopy.At(k, j) * FullR.At(i, k))); } } } for (var i = 0; i < FullR.ColumnCount; i++) { for (var j = 0; j < input.ColumnCount; j++) { result.At(i, j, inputCopy.At(i, j)); } } } /// /// 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); } var inputCopy = input.Clone(); // Compute Y = transpose(Q)*B var column = new double[Q.RowCount]; for (var k = 0; k < Q.RowCount; k++) { column[k] = inputCopy[k]; } for (var i = 0; i < Q.ColumnCount; i++) { double s = 0; for (var k = 0; k < Q.RowCount; k++) { s += Q.At(k, i) * column[k]; } inputCopy[i] = s; } // Solve R*X = Y; for (var k = Q.ColumnCount - 1; k >= 0; k--) { inputCopy[k] /= FullR.At(k, k); for (var i = 0; i < k; i++) { inputCopy[i] -= inputCopy[k] * FullR.At(i, k); } } for (var i = 0; i < FullR.ColumnCount; i++) { result[i] = inputCopy[i]; } } } }