/* eigen/schur.c * * Copyright (C) 2006, 2007 Patrick Alken * * 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. */ #include #include #include #include #include #include #include #include #include /* * This module contains some routines related to manipulating the * Schur form of a matrix which are needed by the eigenvalue solvers * * This file contains routines based on original code from LAPACK * which is distributed under the modified BSD license. */ #define GSL_SCHUR_SMLNUM (2.0 * GSL_DBL_MIN) #define GSL_SCHUR_BIGNUM ((1.0 - GSL_DBL_EPSILON) / GSL_SCHUR_SMLNUM) /* gsl_schur_gen_eigvals() Compute the eigenvalues of a 2-by-2 generalized block. Inputs: A - 2-by-2 matrix B - 2-by-2 upper triangular matrix wr1 - (output) see notes wr2 - (output) see notes wi - (output) see notes scale1 - (output) see notes scale2 - (output) see notes Return: success Notes: 1) If the block contains real eigenvalues, then wi is set to 0, and wr1, wr2, scale1, and scale2 are set such that: eval1 = wr1 * scale1 eval2 = wr2 * scale2 If the block contains complex eigenvalues, then wr1, wr2, scale1, scale2, and wi are set such that: wr1 = wr2 = scale1 * Re(eval) wi = scale1 * Im(eval) wi is always non-negative 2) This routine is based on LAPACK DLAG2 */ int gsl_schur_gen_eigvals(const gsl_matrix *A, const gsl_matrix *B, double *wr1, double *wr2, double *wi, double *scale1, double *scale2) { const double safemin = GSL_DBL_MIN * 1.0e2; const double safemax = 1.0 / safemin; const double rtmin = sqrt(safemin); const double rtmax = 1.0 / rtmin; double anorm, bnorm; double ascale, bscale, bsize; double s1, s2; double A11, A12, A21, A22; double B11, B12, B22; double binv11, binv22; double bmin; double as11, as12, as22, abi22; double pp, qq, shift, ss, discr, r; /* scale A */ anorm = GSL_MAX(GSL_MAX(fabs(gsl_matrix_get(A, 0, 0)) + fabs(gsl_matrix_get(A, 1, 0)), fabs(gsl_matrix_get(A, 0, 1)) + fabs(gsl_matrix_get(A, 1, 1))), safemin); ascale = 1.0 / anorm; A11 = ascale * gsl_matrix_get(A, 0, 0); A12 = ascale * gsl_matrix_get(A, 0, 1); A21 = ascale * gsl_matrix_get(A, 1, 0); A22 = ascale * gsl_matrix_get(A, 1, 1); /* perturb B if necessary to ensure non-singularity */ B11 = gsl_matrix_get(B, 0, 0); B12 = gsl_matrix_get(B, 0, 1); B22 = gsl_matrix_get(B, 1, 1); bmin = rtmin * GSL_MAX(fabs(B11), GSL_MAX(fabs(B12), GSL_MAX(fabs(B22), rtmin))); if (fabs(B11) < bmin) B11 = GSL_SIGN(B11) * bmin; if (fabs(B22) < bmin) B22 = GSL_SIGN(B22) * bmin; /* scale B */ bnorm = GSL_MAX(fabs(B11), GSL_MAX(fabs(B12) + fabs(B22), safemin)); bsize = GSL_MAX(fabs(B11), fabs(B22)); bscale = 1.0 / bsize; B11 *= bscale; B12 *= bscale; B22 *= bscale; /* compute larger eigenvalue */ binv11 = 1.0 / B11; binv22 = 1.0 / B22; s1 = A11 * binv11; s2 = A22 * binv22; if (fabs(s1) <= fabs(s2)) { as12 = A12 - s1 * B12; as22 = A22 - s1 * B22; ss = A21 * (binv11 * binv22); abi22 = as22 * binv22 - ss * B12; pp = 0.5 * abi22; shift = s1; } else { as12 = A12 - s2 * B12; as11 = A11 - s2 * B11; ss = A21 * (binv11 * binv22); abi22 = -ss * B12; pp = 0.5 * (as11 * binv11 + abi22); shift = s2; } qq = ss * as12; if (fabs(pp * rtmin) >= 1.0) { discr = (rtmin * pp) * (rtmin * pp) + qq * safemin; r = sqrt(fabs(discr)) * rtmax; } else if (pp * pp + fabs(qq) <= safemin) { discr = (rtmax * pp) * (rtmax * pp) + qq * safemax; r = sqrt(fabs(discr)) * rtmin; } else { discr = pp * pp + qq; r = sqrt(fabs(discr)); } if (discr >= 0.0 || r == 0.0) { double sum = pp + GSL_SIGN(pp) * r; double diff = pp - GSL_SIGN(pp) * r; double wbig = shift + sum; double wsmall = shift + diff; /* compute smaller eigenvalue */ if (0.5 * fabs(wbig) > GSL_MAX(fabs(wsmall), safemin)) { double wdet = (A11*A22 - A12*A21) * (binv11 * binv22); wsmall = wdet / wbig; } /* choose (real) eigenvalue closest to 2,2 element of AB^{-1} for wr1 */ if (pp > abi22) { *wr1 = GSL_MIN(wbig, wsmall); *wr2 = GSL_MAX(wbig, wsmall); } else { *wr1 = GSL_MAX(wbig, wsmall); *wr2 = GSL_MIN(wbig, wsmall); } *wi = 0.0; } else { /* complex eigenvalues */ *wr1 = shift + pp; *wr2 = *wr1; *wi = r; } /* compute scaling */ { const double fuzzy1 = 1.0 + 1.0e-5; double c1, c2, c3, c4, c5; double wabs, wsize, wscale; c1 = bsize * (safemin * GSL_MAX(1.0, ascale)); c2 = safemin * GSL_MAX(1.0, bnorm); c3 = bsize * safemin; if (ascale <= 1.0 && bsize <= 1.0) c4 = GSL_MIN(1.0, (ascale / safemin) * bsize); else c4 = 1.0; if (ascale <= 1.0 || bsize <= 1.0) c5 = GSL_MIN(1.0, ascale * bsize); else c5 = 1.0; /* scale first eigenvalue */ wabs = fabs(*wr1) + fabs(*wi); wsize = GSL_MAX(safemin, GSL_MAX(c1, GSL_MAX(fuzzy1 * (wabs*c2 + c3), GSL_MIN(c4, 0.5 * GSL_MAX(wabs, c5))))); if (wsize != 1.0) { wscale = 1.0 / wsize; if (wsize > 1.0) { *scale1 = (GSL_MAX(ascale, bsize) * wscale) * GSL_MIN(ascale, bsize); } else { *scale1 = (GSL_MIN(ascale, bsize) * wscale) * GSL_MAX(ascale, bsize); } *wr1 *= wscale; if (*wi != 0.0) { *wi *= wscale; *wr2 = *wr1; *scale2 = *scale1; } } else { *scale1 = ascale * bsize; *scale2 = *scale1; } /* scale second eigenvalue if real */ if (*wi == 0.0) { wsize = GSL_MAX(safemin, GSL_MAX(c1, GSL_MAX(fuzzy1 * (fabs(*wr2) * c2 + c3), GSL_MIN(c4, 0.5 * GSL_MAX(fabs(*wr2), c5))))); if (wsize != 1.0) { wscale = 1.0 / wsize; if (wsize > 1.0) { *scale2 = (GSL_MAX(ascale, bsize) * wscale) * GSL_MIN(ascale, bsize); } else { *scale2 = (GSL_MIN(ascale, bsize) * wscale) * GSL_MAX(ascale, bsize); } *wr2 *= wscale; } else { *scale2 = ascale * bsize; } } } return GSL_SUCCESS; } /* gsl_schur_gen_eigvals() */ /* gsl_schur_solve_equation() Solve the equation which comes up in the back substitution when computing eigenvectors corresponding to real eigenvalues. The equation that is solved is: (ca*A - z*D)*x = s*b where A is n-by-n with n = 1 or 2 D is a n-by-n diagonal matrix b and x are n-by-1 real vectors s is a scaling factor set by this function to prevent overflow in x Inputs: ca - coefficient multiplying A A - square matrix (n-by-n) z - real scalar (eigenvalue) d1 - (1,1) element in diagonal matrix D d2 - (2,2) element in diagonal matrix D b - right hand side vector x - (output) where to store solution s - (output) scale factor xnorm - (output) infinity norm of X smin - lower bound on singular values of A - if ca*A - z*D is less than this value, we'll use smin*I instead. This value should be a safe distance above underflow. Return: success Notes: 1) A and b are not changed on output 2) Based on lapack routine DLALN2 */ int gsl_schur_solve_equation(double ca, const gsl_matrix *A, double z, double d1, double d2, const gsl_vector *b, gsl_vector *x, double *s, double *xnorm, double smin) { size_t N = A->size1; double bnorm; double scale = 1.0; if (N == 1) { double c, /* denominator */ cnorm; /* |c| */ /* we have a 1-by-1 (real) scalar system to solve */ c = ca * gsl_matrix_get(A, 0, 0) - z * d1; cnorm = fabs(c); if (cnorm < smin) { /* set c = smin*I */ c = smin; cnorm = smin; } /* check scaling for x = b / c */ bnorm = fabs(gsl_vector_get(b, 0)); if (cnorm < 1.0 && bnorm > 1.0) { if (bnorm > GSL_SCHUR_BIGNUM*cnorm) scale = 1.0 / bnorm; } /* compute x */ gsl_vector_set(x, 0, gsl_vector_get(b, 0) * scale / c); *xnorm = fabs(gsl_vector_get(x, 0)); } /* if (N == 1) */ else { double cr[2][2]; double *crv; double cmax; size_t icmax, j; double bval1, bval2; double ur11, ur12, ur22, ur11r; double cr21, cr22; double lr21; double b1, b2, bbnd; double x1, x2; double temp; size_t ipivot[4][4] = { { 0, 1, 2, 3 }, { 1, 0, 3, 2 }, { 2, 3, 0, 1 }, { 3, 2, 1, 0 } }; int rswap[4] = { 0, 1, 0, 1 }; int zswap[4] = { 0, 0, 1, 1 }; /* * we have a 2-by-2 real system to solve: * * ( ca * [ A11 A12 ] - z * [ D1 0 ] ) [ x1 ] = [ b1 ] * ( [ A21 A22 ] [ 0 D2 ] ) [ x2 ] [ b2 ] * * (z real) */ crv = (double *) cr; /* * compute the real part of C = ca*A - z*D - use column ordering * here since porting from lapack */ cr[0][0] = ca * gsl_matrix_get(A, 0, 0) - z * d1; cr[1][1] = ca * gsl_matrix_get(A, 1, 1) - z * d2; cr[0][1] = ca * gsl_matrix_get(A, 1, 0); cr[1][0] = ca * gsl_matrix_get(A, 0, 1); /* find the largest element in C */ cmax = 0.0; icmax = 0; for (j = 0; j < 4; ++j) { if (fabs(crv[j]) > cmax) { cmax = fabs(crv[j]); icmax = j; } } bval1 = gsl_vector_get(b, 0); bval2 = gsl_vector_get(b, 1); /* if norm(C) < smin, use smin*I */ if (cmax < smin) { bnorm = GSL_MAX(fabs(bval1), fabs(bval2)); if (smin < 1.0 && bnorm > 1.0) { if (bnorm > GSL_SCHUR_BIGNUM*smin) scale = 1.0 / bnorm; } temp = scale / smin; gsl_vector_set(x, 0, temp * bval1); gsl_vector_set(x, 1, temp * bval2); *xnorm = temp * bnorm; *s = scale; return GSL_SUCCESS; } /* gaussian elimination with complete pivoting */ ur11 = crv[icmax]; cr21 = crv[ipivot[1][icmax]]; ur12 = crv[ipivot[2][icmax]]; cr22 = crv[ipivot[3][icmax]]; ur11r = 1.0 / ur11; lr21 = ur11r * cr21; ur22 = cr22 - ur12 * lr21; /* if smaller pivot < smin, use smin */ if (fabs(ur22) < smin) ur22 = smin; if (rswap[icmax]) { b1 = bval2; b2 = bval1; } else { b1 = bval1; b2 = bval2; } b2 -= lr21 * b1; bbnd = GSL_MAX(fabs(b1 * (ur22 * ur11r)), fabs(b2)); if (bbnd > 1.0 && fabs(ur22) < 1.0) { if (bbnd >= GSL_SCHUR_BIGNUM * fabs(ur22)) scale = 1.0 / bbnd; } x2 = (b2 * scale) / ur22; x1 = (scale * b1) * ur11r - x2 * (ur11r * ur12); if (zswap[icmax]) { gsl_vector_set(x, 0, x2); gsl_vector_set(x, 1, x1); } else { gsl_vector_set(x, 0, x1); gsl_vector_set(x, 1, x2); } *xnorm = GSL_MAX(fabs(x1), fabs(x2)); /* further scaling if norm(A) norm(X) > overflow */ if (*xnorm > 1.0 && cmax > 1.0) { if (*xnorm > GSL_SCHUR_BIGNUM / cmax) { temp = cmax / GSL_SCHUR_BIGNUM; gsl_blas_dscal(temp, x); *xnorm *= temp; scale *= temp; } } } /* if (N == 2) */ *s = scale; return GSL_SUCCESS; } /* gsl_schur_solve_equation() */ /* gsl_schur_solve_equation_z() Solve the equation which comes up in the back substitution when computing eigenvectors corresponding to complex eigenvalues. The equation that is solved is: (ca*A - z*D)*x = s*b where A is n-by-n with n = 1 or 2 D is a n-by-n diagonal matrix b and x are n-by-1 complex vectors s is a scaling factor set by this function to prevent overflow in x Inputs: ca - coefficient multiplying A A - square matrix (n-by-n) z - complex scalar (eigenvalue) d1 - (1,1) element in diagonal matrix D d2 - (2,2) element in diagonal matrix D b - right hand side vector x - (output) where to store solution s - (output) scale factor xnorm - (output) infinity norm of X smin - lower bound on singular values of A - if ca*A - z*D is less than this value, we'll use smin*I instead. This value should be a safe distance above underflow. Notes: 1) A and b are not changed on output 2) Based on lapack routine DLALN2 */ int gsl_schur_solve_equation_z(double ca, const gsl_matrix *A, gsl_complex *z, double d1, double d2, const gsl_vector_complex *b, gsl_vector_complex *x, double *s, double *xnorm, double smin) { size_t N = A->size1; double scale = 1.0; double bnorm; if (N == 1) { double cr, /* denominator */ ci, cnorm; /* |c| */ gsl_complex bval, c, xval, tmp; /* we have a 1-by-1 (complex) scalar system to solve */ /* c = ca*a - z*d1 */ cr = ca * gsl_matrix_get(A, 0, 0) - GSL_REAL(*z) * d1; ci = -GSL_IMAG(*z) * d1; cnorm = fabs(cr) + fabs(ci); if (cnorm < smin) { /* set c = smin*I */ cr = smin; ci = 0.0; cnorm = smin; } /* check scaling for x = b / c */ bval = gsl_vector_complex_get(b, 0); bnorm = fabs(GSL_REAL(bval)) + fabs(GSL_IMAG(bval)); if (cnorm < 1.0 && bnorm > 1.0) { if (bnorm > GSL_SCHUR_BIGNUM*cnorm) scale = 1.0 / bnorm; } /* compute x */ GSL_SET_COMPLEX(&tmp, scale*GSL_REAL(bval), scale*GSL_IMAG(bval)); GSL_SET_COMPLEX(&c, cr, ci); xval = gsl_complex_div(tmp, c); gsl_vector_complex_set(x, 0, xval); *xnorm = fabs(GSL_REAL(xval)) + fabs(GSL_IMAG(xval)); } /* if (N == 1) */ else { double cr[2][2], ci[2][2]; double *civ, *crv; double cmax; gsl_complex bval1, bval2; gsl_complex xval1, xval2; double xr1, xi1; size_t icmax; size_t j; double temp; double ur11, ur12, ur22, ui11, ui12, ui22, ur11r, ui11r; double ur12s, ui12s; double u22abs; double lr21, li21; double cr21, cr22, ci21, ci22; double br1, bi1, br2, bi2, bbnd; gsl_complex b1, b2; size_t ipivot[4][4] = { { 0, 1, 2, 3 }, { 1, 0, 3, 2 }, { 2, 3, 0, 1 }, { 3, 2, 1, 0 } }; int rswap[4] = { 0, 1, 0, 1 }; int zswap[4] = { 0, 0, 1, 1 }; /* * complex 2-by-2 system: * * ( ca * [ A11 A12 ] - z * [ D1 0 ] ) [ X1 ] = [ B1 ] * ( [ A21 A22 ] [ 0 D2] ) [ X2 ] [ B2 ] * * (z complex) * * where the X and B values are complex. */ civ = (double *) ci; crv = (double *) cr; /* * compute the real part of C = ca*A - z*D - use column ordering * here since porting from lapack */ cr[0][0] = ca*gsl_matrix_get(A, 0, 0) - GSL_REAL(*z)*d1; cr[1][1] = ca*gsl_matrix_get(A, 1, 1) - GSL_REAL(*z)*d2; cr[0][1] = ca*gsl_matrix_get(A, 1, 0); cr[1][0] = ca*gsl_matrix_get(A, 0, 1); /* compute the imaginary part */ ci[0][0] = -GSL_IMAG(*z) * d1; ci[0][1] = 0.0; ci[1][0] = 0.0; ci[1][1] = -GSL_IMAG(*z) * d2; cmax = 0.0; icmax = 0; for (j = 0; j < 4; ++j) { if (fabs(crv[j]) + fabs(civ[j]) > cmax) { cmax = fabs(crv[j]) + fabs(civ[j]); icmax = j; } } bval1 = gsl_vector_complex_get(b, 0); bval2 = gsl_vector_complex_get(b, 1); /* if norm(C) < smin, use smin*I */ if (cmax < smin) { bnorm = GSL_MAX(fabs(GSL_REAL(bval1)) + fabs(GSL_IMAG(bval1)), fabs(GSL_REAL(bval2)) + fabs(GSL_IMAG(bval2))); if (smin < 1.0 && bnorm > 1.0) { if (bnorm > GSL_SCHUR_BIGNUM*smin) scale = 1.0 / bnorm; } temp = scale / smin; xval1 = gsl_complex_mul_real(bval1, temp); xval2 = gsl_complex_mul_real(bval2, temp); gsl_vector_complex_set(x, 0, xval1); gsl_vector_complex_set(x, 1, xval2); *xnorm = temp * bnorm; *s = scale; return GSL_SUCCESS; } /* gaussian elimination with complete pivoting */ ur11 = crv[icmax]; ui11 = civ[icmax]; cr21 = crv[ipivot[1][icmax]]; ci21 = civ[ipivot[1][icmax]]; ur12 = crv[ipivot[2][icmax]]; ui12 = civ[ipivot[2][icmax]]; cr22 = crv[ipivot[3][icmax]]; ci22 = civ[ipivot[3][icmax]]; if (icmax == 0 || icmax == 3) { /* off diagonals of pivoted C are real */ if (fabs(ur11) > fabs(ui11)) { temp = ui11 / ur11; ur11r = 1.0 / (ur11 * (1.0 + temp*temp)); ui11r = -temp * ur11r; } else { temp = ur11 / ui11; ui11r = -1.0 / (ui11 * (1.0 + temp*temp)); ur11r = -temp*ui11r; } lr21 = cr21 * ur11r; li21 = cr21 * ui11r; ur12s = ur12 * ur11r; ui12s = ur12 * ui11r; ur22 = cr22 - ur12 * lr21; ui22 = ci22 - ur12 * li21; } else { /* diagonals of pivoted C are real */ ur11r = 1.0 / ur11; ui11r = 0.0; lr21 = cr21 * ur11r; li21 = ci21 * ur11r; ur12s = ur12 * ur11r; ui12s = ui12 * ur11r; ur22 = cr22 - ur12 * lr21 + ui12 * li21; ui22 = -ur12 * li21 - ui12 * lr21; } u22abs = fabs(ur22) + fabs(ui22); /* if smaller pivot < smin, use smin */ if (u22abs < smin) { ur22 = smin; ui22 = 0.0; } if (rswap[icmax]) { br2 = GSL_REAL(bval1); bi2 = GSL_IMAG(bval1); br1 = GSL_REAL(bval2); bi1 = GSL_IMAG(bval2); } else { br1 = GSL_REAL(bval1); bi1 = GSL_IMAG(bval1); br2 = GSL_REAL(bval2); bi2 = GSL_IMAG(bval2); } br2 += li21*bi1 - lr21*br1; bi2 -= li21*br1 + lr21*bi1; bbnd = GSL_MAX((fabs(br1) + fabs(bi1)) * (u22abs * (fabs(ur11r) + fabs(ui11r))), fabs(br2) + fabs(bi2)); if (bbnd > 1.0 && u22abs < 1.0) { if (bbnd >= GSL_SCHUR_BIGNUM*u22abs) { scale = 1.0 / bbnd; br1 *= scale; bi1 *= scale; br2 *= scale; bi2 *= scale; } } GSL_SET_COMPLEX(&b1, br2, bi2); GSL_SET_COMPLEX(&b2, ur22, ui22); xval2 = gsl_complex_div(b1, b2); xr1 = ur11r*br1 - ui11r*bi1 - ur12s*GSL_REAL(xval2) + ui12s*GSL_IMAG(xval2); xi1 = ui11r*br1 + ur11r*bi1 - ui12s*GSL_REAL(xval2) - ur12s*GSL_IMAG(xval2); GSL_SET_COMPLEX(&xval1, xr1, xi1); if (zswap[icmax]) { gsl_vector_complex_set(x, 0, xval2); gsl_vector_complex_set(x, 1, xval1); } else { gsl_vector_complex_set(x, 0, xval1); gsl_vector_complex_set(x, 1, xval2); } *xnorm = GSL_MAX(fabs(GSL_REAL(xval1)) + fabs(GSL_IMAG(xval1)), fabs(GSL_REAL(xval2)) + fabs(GSL_IMAG(xval2))); /* further scaling if norm(A) norm(X) > overflow */ if (*xnorm > 1.0 && cmax > 1.0) { if (*xnorm > GSL_SCHUR_BIGNUM / cmax) { temp = cmax / GSL_SCHUR_BIGNUM; gsl_blas_zdscal(temp, x); *xnorm *= temp; scale *= temp; } } } /* if (N == 2) */ *s = scale; return GSL_SUCCESS; } /* gsl_schur_solve_equation_z() */