/* linalg/lu.c

 * 

 * Copyright (C) 1996, 1997, 1998, 1999, 2000, 2007, 2009 Gerard Jungman, Brian Gough

 * 

 * This program is free software; you can redistribute it and/or modify

 * it under the terms of the GNU General Public License as published by

 * the Free Software Foundation; either version 3 of the License, or (at

 * your option) any later version.

 * 

 * This program is distributed in the hope that it will be useful, but

 * WITHOUT ANY WARRANTY; without even the implied warranty of

 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU

 * General Public License for more details.

 * 

 * You should have received a copy of the GNU General Public License

 * along with this program; if not, write to the Free Software

 * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.

 */

/* Author:  G. Jungman */

#include <config.h>

#include <stdlib.h>

#include <string.h>

#include <gsl/gsl_math.h>

#include <gsl/gsl_vector.h>

#include <gsl/gsl_matrix.h>

#include <gsl/gsl_permute_vector.h>

#include <gsl/gsl_blas.h>

#include <gsl/gsl_linalg.h>

#define REAL double

static int singular (const gsl_matrix * LU);

/* Factorise a general N x N matrix A into,

 *

 *   P A = L U

 *

 * where P is a permutation matrix, L is unit lower triangular and U

 * is upper triangular.

 *

 * L is stored in the strict lower triangular part of the input

 * matrix. The diagonal elements of L are unity and are not stored.

 *

 * U is stored in the diagonal and upper triangular part of the

 * input matrix.  

 * 

 * P is stored in the permutation p. Column j of P is column k of the

 * identity matrix, where k = permutation->data[j]

 *

 * signum gives the sign of the permutation, (-1)^n, where n is the

 * number of interchanges in the permutation. 

 *

 * See Golub & Van Loan, Matrix Computations, Algorithm 3.4.1 (Gauss

 * Elimination with Partial Pivoting).

 */

int

gsl_linalg_LU_decomp (gsl_matrix * A, gsl_permutation * p, int *signum)

{

  if (A->size1 != A->size2)

    {

      GSL_ERROR ("LU decomposition requires square matrix", GSL_ENOTSQR);

    }

  else if (p->size != A->size1)

    {

      GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN);

    }

  else

    {

      const size_t N = A->size1;

      size_t i, j, k;

      *signum = 1;

      gsl_permutation_init (p);

      for (j = 0; j < N - 1; j++)

        {

          /* Find maximum in the j-th column */

          REAL ajj, max = fabs (gsl_matrix_get (A, j, j));

          size_t i_pivot = j;

          for (i = j + 1; i < N; i++)

            {

              REAL aij = fabs (gsl_matrix_get (A, i, j));

              if (aij > max)

                {

                  max = aij;

                  i_pivot = i;

                }

            }

          if (i_pivot != j)

            {

              gsl_matrix_swap_rows (A, j, i_pivot);

              gsl_permutation_swap (p, j, i_pivot);

              *signum = -(*signum);

            }

          ajj = gsl_matrix_get (A, j, j);

          if (ajj != 0.0)

            {

              for (i = j + 1; i < N; i++)

                {

                  REAL aij = gsl_matrix_get (A, i, j) / ajj;

                  gsl_matrix_set (A, i, j, aij);

                  for (k = j + 1; k < N; k++)

                    {

                      REAL aik = gsl_matrix_get (A, i, k);

                      REAL ajk = gsl_matrix_get (A, j, k);

                      gsl_matrix_set (A, i, k, aik - aij * ajk);

                    }

                }

            }

        }

      return GSL_SUCCESS;

    }

}

int

gsl_linalg_LU_solve (const gsl_matrix * LU, const gsl_permutation * p, const gsl_vector * b, gsl_vector * x)

{

  if (LU->size1 != LU->size2)

    {

      GSL_ERROR ("LU matrix must be square", GSL_ENOTSQR);

    }

  else if (LU->size1 != p->size)

    {

      GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN);

    }

  else if (LU->size1 != b->size)

    {

      GSL_ERROR ("matrix size must match b size", GSL_EBADLEN);

    }

  else if (LU->size2 != x->size)

    {

      GSL_ERROR ("matrix size must match solution size", GSL_EBADLEN);

    }

  else if (singular (LU)) 

    {

      GSL_ERROR ("matrix is singular", GSL_EDOM);

    }

  else

    {

      int status;

      /* Copy x <- b */

      gsl_vector_memcpy (x, b);

      /* Solve for x */

      status = gsl_linalg_LU_svx (LU, p, x);

      return status;

    }

}

int

gsl_linalg_LU_svx (const gsl_matrix * LU, const gsl_permutation * p, gsl_vector * x)

{

  if (LU->size1 != LU->size2)

    {

      GSL_ERROR ("LU matrix must be square", GSL_ENOTSQR);

    }

  else if (LU->size1 != p->size)

    {

      GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN);

    }

  else if (LU->size1 != x->size)

    {

      GSL_ERROR ("matrix size must match solution/rhs size", GSL_EBADLEN);

    }

  else if (singular (LU)) 

    {

      GSL_ERROR ("matrix is singular", GSL_EDOM);

    }

  else

    {

      /* Apply permutation to RHS */

      gsl_permute_vector (p, x);

      /* Solve for c using forward-substitution, L c = P b */

      gsl_blas_dtrsv (CblasLower, CblasNoTrans, CblasUnit, LU, x);

      /* Perform back-substitution, U x = c */

      gsl_blas_dtrsv (CblasUpper, CblasNoTrans, CblasNonUnit, LU, x);

      return GSL_SUCCESS;

    }

}

int

gsl_linalg_LU_refine (const gsl_matrix * A, const gsl_matrix * LU, const gsl_permutation * p, const gsl_vector * b, gsl_vector * x, gsl_vector * work)

{

  if (A->size1 != A->size2)

    {

      GSL_ERROR ("matrix a must be square", GSL_ENOTSQR);

    }

  if (LU->size1 != LU->size2)

    {

      GSL_ERROR ("LU matrix must be square", GSL_ENOTSQR);

    }

  else if (A->size1 != LU->size2)

    {

      GSL_ERROR ("LU matrix must be decomposition of a", GSL_ENOTSQR);

    }

  else if (LU->size1 != p->size)

    {

      GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN);

    }

  else if (LU->size1 != b->size)

    {

      GSL_ERROR ("matrix size must match b size", GSL_EBADLEN);

    }

  else if (LU->size1 != x->size)

    {

      GSL_ERROR ("matrix size must match solution size", GSL_EBADLEN);

    }

  else if (LU->size1 != work->size)

    {

      GSL_ERROR ("matrix size must match workspace size", GSL_EBADLEN);

    }

  else if (singular (LU)) 

    {

      GSL_ERROR ("matrix is singular", GSL_EDOM);

    }

  else

    {

      int status;

      /* Compute residual = (A * x  - b) */

      gsl_vector_memcpy (work, b);

      gsl_blas_dgemv (CblasNoTrans, 1.0, A, x, -1.0, work);

      /* Find correction, delta = - (A^-1) * residual, and apply it */

      status = gsl_linalg_LU_svx (LU, p, work);

      gsl_blas_daxpy (-1.0, work, x);

      return status;

    }

}

int

gsl_linalg_LU_invert (const gsl_matrix * LU, const gsl_permutation * p, gsl_matrix * inverse)

{

  size_t i, n = LU->size1;

  int status = GSL_SUCCESS;

  if (singular (LU)) 

    {

      GSL_ERROR ("matrix is singular", GSL_EDOM);

    }

  gsl_matrix_set_identity (inverse);

  for (i = 0; i < n; i++)

    {

      gsl_vector_view c = gsl_matrix_column (inverse, i);

      int status_i = gsl_linalg_LU_svx (LU, p, &(c.vector));

      if (status_i)

        status = status_i;

    }

  return status;

}

double

gsl_linalg_LU_det (gsl_matrix * LU, int signum)

{

  size_t i, n = LU->size1;

  double det = (double) signum;

  for (i = 0; i < n; i++)

    {

      det *= gsl_matrix_get (LU, i, i);

    }

  return det;

}

double

gsl_linalg_LU_lndet (gsl_matrix * LU)

{

  size_t i, n = LU->size1;

  double lndet = 0.0;

  for (i = 0; i < n; i++)

    {

      lndet += log (fabs (gsl_matrix_get (LU, i, i)));

    }

  return lndet;

}

int

gsl_linalg_LU_sgndet (gsl_matrix * LU, int signum)

{

  size_t i, n = LU->size1;

  int s = signum;

  for (i = 0; i < n; i++)

    {

      double u = gsl_matrix_get (LU, i, i);

      if (u < 0)

        {

          s *= -1;

        }

      else if (u == 0)

        {

          s = 0;

          break;

        }

    }

  return s;

}

static int

singular (const gsl_matrix * LU)

{

  size_t i, n = LU->size1;

  for (i = 0; i < n; i++)

    {

      double u = gsl_matrix_get (LU, i, i);

      if (u == 0) return 1;

    }

 return 0;

}