Merge pull request #1067 from metric-space/qz-decomposition-lapack
QZ-decomposition
This commit is contained in:
Sébastien Crozet
GitHub
commit
a850592f7b
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@ -0,0 +1,350 @@
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#[cfg(feature = "serde-serialize")]
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use serde::{Deserialize, Serialize};
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use num::Zero;
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use num_complex::Complex;
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use simba::scalar::RealField;
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use crate::ComplexHelper;
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use na::allocator::Allocator;
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use na::dimension::{Const, Dim};
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use na::{DefaultAllocator, Matrix, OMatrix, OVector, Scalar};
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use lapack;
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/// Generalized eigenvalues and generalized eigenvectors (left and right) of a pair of N*N real square matrices.
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///
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/// Each generalized eigenvalue (lambda) satisfies determinant(A - lambda*B) = 0
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///
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/// The right eigenvector v(j) corresponding to the eigenvalue lambda(j)
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/// of (A,B) satisfies
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///
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/// A * v(j) = lambda(j) * B * v(j).
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///
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/// The left eigenvector u(j) corresponding to the eigenvalue lambda(j)
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/// of (A,B) satisfies
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///
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/// u(j)**H * A = lambda(j) * u(j)**H * B .
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/// where u(j)**H is the conjugate-transpose of u(j).
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#[cfg_attr(feature = "serde-serialize", derive(Serialize, Deserialize))]
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#[cfg_attr(
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feature = "serde-serialize",
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serde(
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bound(serialize = "DefaultAllocator: Allocator<T, D, D> + Allocator<T, D>,
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OVector<T, D>: Serialize,
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OMatrix<T, D, D>: Serialize")
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)
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)]
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#[cfg_attr(
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feature = "serde-serialize",
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serde(
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bound(deserialize = "DefaultAllocator: Allocator<T, D, D> + Allocator<T, D>,
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OVector<T, D>: Deserialize<'de>,
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OMatrix<T, D, D>: Deserialize<'de>")
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)
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)]
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#[derive(Clone, Debug)]
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pub struct GeneralizedEigen<T: Scalar, D: Dim>
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where
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DefaultAllocator: Allocator<T, D> + Allocator<T, D, D>,
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{
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alphar: OVector<T, D>,
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alphai: OVector<T, D>,
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beta: OVector<T, D>,
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vsl: OMatrix<T, D, D>,
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vsr: OMatrix<T, D, D>,
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}
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impl<T: Scalar + Copy, D: Dim> Copy for GeneralizedEigen<T, D>
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where
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DefaultAllocator: Allocator<T, D, D> + Allocator<T, D>,
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OMatrix<T, D, D>: Copy,
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OVector<T, D>: Copy,
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{
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}
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impl<T: GeneralizedEigenScalar + RealField + Copy, D: Dim> GeneralizedEigen<T, D>
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where
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DefaultAllocator: Allocator<T, D, D> + Allocator<T, D>,
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{
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/// Attempts to compute the generalized eigenvalues, and left and right associated eigenvectors
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/// via the raw returns from LAPACK's dggev and sggev routines
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///
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/// Panics if the method did not converge.
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pub fn new(a: OMatrix<T, D, D>, b: OMatrix<T, D, D>) -> Self {
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Self::try_new(a, b).expect("Calculation of generalized eigenvalues failed.")
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}
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/// Attempts to compute the generalized eigenvalues (and eigenvectors) via the raw returns from LAPACK's
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/// dggev and sggev routines
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///
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/// Returns `None` if the method did not converge.
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pub fn try_new(mut a: OMatrix<T, D, D>, mut b: OMatrix<T, D, D>) -> Option<Self> {
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assert!(
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a.is_square() && b.is_square(),
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"Unable to compute the generalized eigenvalues of non-square matrices."
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);
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assert!(
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a.shape_generic() == b.shape_generic(),
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"Unable to compute the generalized eigenvalues of two square matrices of different dimensions."
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);
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let (nrows, ncols) = a.shape_generic();
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let n = nrows.value();
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let mut info = 0;
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let mut alphar = Matrix::zeros_generic(nrows, Const::<1>);
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let mut alphai = Matrix::zeros_generic(nrows, Const::<1>);
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let mut beta = Matrix::zeros_generic(nrows, Const::<1>);
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let mut vsl = Matrix::zeros_generic(nrows, ncols);
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let mut vsr = Matrix::zeros_generic(nrows, ncols);
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let lwork = T::xggev_work_size(
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b'V',
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b'V',
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n as i32,
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a.as_mut_slice(),
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n as i32,
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b.as_mut_slice(),
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n as i32,
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alphar.as_mut_slice(),
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alphai.as_mut_slice(),
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beta.as_mut_slice(),
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vsl.as_mut_slice(),
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n as i32,
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vsr.as_mut_slice(),
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n as i32,
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&mut info,
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);
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lapack_check!(info);
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let mut work = vec![T::zero(); lwork as usize];
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T::xggev(
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b'V',
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b'V',
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n as i32,
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a.as_mut_slice(),
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n as i32,
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b.as_mut_slice(),
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n as i32,
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alphar.as_mut_slice(),
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alphai.as_mut_slice(),
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beta.as_mut_slice(),
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vsl.as_mut_slice(),
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n as i32,
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vsr.as_mut_slice(),
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n as i32,
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&mut work,
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lwork,
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&mut info,
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);
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lapack_check!(info);
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Some(GeneralizedEigen {
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alphar,
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alphai,
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beta,
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vsl,
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vsr,
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})
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}
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/// Calculates the generalized eigenvectors (left and right) associated with the generalized eigenvalues
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///
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/// Outputs two matrices.
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/// The first output matrix contains the left eigenvectors of the generalized eigenvalues
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/// as columns.
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/// The second matrix contains the right eigenvectors of the generalized eigenvalues
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/// as columns.
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pub fn eigenvectors(&self) -> (OMatrix<Complex<T>, D, D>, OMatrix<Complex<T>, D, D>)
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where
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DefaultAllocator:
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Allocator<Complex<T>, D, D> + Allocator<Complex<T>, D> + Allocator<(Complex<T>, T), D>,
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{
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/*
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How the eigenvectors are built up:
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Since the input entries are all real, the generalized eigenvalues if complex come in pairs
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as a consequence of the [complex conjugate root thorem](https://en.wikipedia.org/wiki/Complex_conjugate_root_theorem)
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The Lapack routine output reflects this by expecting the user to unpack the real and complex eigenvalues associated
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eigenvectors from the real matrix output via the following procedure
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(Note: VL stands for the lapack real matrix output containing the left eigenvectors as columns,
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VR stands for the lapack real matrix output containing the right eigenvectors as columns)
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If the j-th and (j+1)-th eigenvalues form a complex conjugate pair,
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then
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u(j) = VL(:,j)+i*VL(:,j+1)
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u(j+1) = VL(:,j)-i*VL(:,j+1)
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and
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u(j) = VR(:,j)+i*VR(:,j+1)
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v(j+1) = VR(:,j)-i*VR(:,j+1).
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*/
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let n = self.vsl.shape().0;
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let mut l = self.vsl.map(|x| Complex::new(x, T::RealField::zero()));
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let mut r = self.vsr.map(|x| Complex::new(x, T::RealField::zero()));
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let eigenvalues = self.raw_eigenvalues();
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let mut c = 0;
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while c < n {
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if eigenvalues[c].0.im.abs() != T::RealField::zero() && c + 1 < n {
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// taking care of the left eigenvector matrix
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l.column_mut(c).zip_apply(&self.vsl.column(c + 1), |r, i| {
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*r = Complex::new(r.re.clone(), i.clone());
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});
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l.column_mut(c + 1).zip_apply(&self.vsl.column(c), |i, r| {
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*i = Complex::new(r.clone(), -i.re.clone());
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});
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// taking care of the right eigenvector matrix
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r.column_mut(c).zip_apply(&self.vsr.column(c + 1), |r, i| {
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*r = Complex::new(r.re.clone(), i.clone());
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});
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r.column_mut(c + 1).zip_apply(&self.vsr.column(c), |i, r| {
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*i = Complex::new(r.clone(), -i.re.clone());
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});
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c += 2;
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} else {
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c += 1;
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}
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}
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(l, r)
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}
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/// Outputs the unprocessed (almost) version of generalized eigenvalues ((alphar, alphai), beta)
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/// straight from LAPACK
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#[must_use]
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pub fn raw_eigenvalues(&self) -> OVector<(Complex<T>, T), D>
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where
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DefaultAllocator: Allocator<(Complex<T>, T), D>,
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{
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let mut out = Matrix::from_element_generic(
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self.vsl.shape_generic().0,
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Const::<1>,
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(Complex::zero(), T::RealField::zero()),
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);
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for i in 0..out.len() {
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out[i] = (Complex::new(self.alphar[i], self.alphai[i]), self.beta[i])
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}
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out
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}
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}
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/*
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*
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* Lapack functions dispatch.
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*
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*/
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/// Trait implemented by scalars for which Lapack implements the RealField GeneralizedEigen decomposition.
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pub trait GeneralizedEigenScalar: Scalar {
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#[allow(missing_docs)]
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fn xggev(
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jobvsl: u8,
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jobvsr: u8,
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n: i32,
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a: &mut [Self],
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lda: i32,
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b: &mut [Self],
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ldb: i32,
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alphar: &mut [Self],
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alphai: &mut [Self],
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beta: &mut [Self],
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vsl: &mut [Self],
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ldvsl: i32,
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vsr: &mut [Self],
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ldvsr: i32,
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work: &mut [Self],
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lwork: i32,
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info: &mut i32,
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);
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#[allow(missing_docs)]
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fn xggev_work_size(
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jobvsl: u8,
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jobvsr: u8,
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n: i32,
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a: &mut [Self],
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lda: i32,
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b: &mut [Self],
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ldb: i32,
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alphar: &mut [Self],
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alphai: &mut [Self],
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beta: &mut [Self],
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vsl: &mut [Self],
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ldvsl: i32,
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vsr: &mut [Self],
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ldvsr: i32,
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info: &mut i32,
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) -> i32;
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}
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macro_rules! generalized_eigen_scalar_impl (
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($N: ty, $xggev: path) => (
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impl GeneralizedEigenScalar for $N {
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#[inline]
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fn xggev(jobvsl: u8,
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jobvsr: u8,
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n: i32,
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a: &mut [$N],
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lda: i32,
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b: &mut [$N],
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ldb: i32,
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alphar: &mut [$N],
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alphai: &mut [$N],
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beta : &mut [$N],
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vsl: &mut [$N],
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ldvsl: i32,
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vsr: &mut [$N],
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ldvsr: i32,
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work: &mut [$N],
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lwork: i32,
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info: &mut i32) {
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unsafe { $xggev(jobvsl, jobvsr, n, a, lda, b, ldb, alphar, alphai, beta, vsl, ldvsl, vsr, ldvsr, work, lwork, info); }
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}
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#[inline]
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fn xggev_work_size(jobvsl: u8,
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jobvsr: u8,
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n: i32,
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a: &mut [$N],
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lda: i32,
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b: &mut [$N],
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ldb: i32,
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alphar: &mut [$N],
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alphai: &mut [$N],
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beta : &mut [$N],
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vsl: &mut [$N],
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ldvsl: i32,
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vsr: &mut [$N],
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ldvsr: i32,
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info: &mut i32)
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-> i32 {
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let mut work = [ Zero::zero() ];
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let lwork = -1 as i32;
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unsafe { $xggev(jobvsl, jobvsr, n, a, lda, b, ldb, alphar, alphai, beta, vsl, ldvsl, vsr, ldvsr, &mut work, lwork, info); }
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ComplexHelper::real_part(work[0]) as i32
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}
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}
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)
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);
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generalized_eigen_scalar_impl!(f32, lapack::sggev);
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generalized_eigen_scalar_impl!(f64, lapack::dggev);
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@ -83,9 +83,11 @@ mod lapack_check;
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mod cholesky;
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mod eigen;
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mod generalized_eigenvalues;
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mod hessenberg;
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mod lu;
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mod qr;
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mod qz;
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mod schur;
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mod svd;
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mod symmetric_eigen;
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@ -94,9 +96,11 @@ use num_complex::Complex;
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pub use self::cholesky::{Cholesky, CholeskyScalar};
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pub use self::eigen::Eigen;
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pub use self::generalized_eigenvalues::GeneralizedEigen;
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pub use self::hessenberg::Hessenberg;
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pub use self::lu::{LUScalar, LU};
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pub use self::qr::QR;
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pub use self::qz::QZ;
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pub use self::schur::Schur;
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pub use self::svd::SVD;
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pub use self::symmetric_eigen::SymmetricEigen;
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|
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@ -0,0 +1,321 @@
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#[cfg(feature = "serde-serialize")]
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use serde::{Deserialize, Serialize};
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use num::Zero;
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use num_complex::Complex;
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use simba::scalar::RealField;
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use crate::ComplexHelper;
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use na::allocator::Allocator;
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use na::dimension::{Const, Dim};
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use na::{DefaultAllocator, Matrix, OMatrix, OVector, Scalar};
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use lapack;
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/// QZ decomposition of a pair of N*N square matrices.
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///
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/// Retrieves the left and right matrices of Schur Vectors (VSL and VSR)
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/// the upper-quasitriangular matrix `S` and upper triangular matrix `T` such that the
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/// decomposed input matrix `a` equals `VSL * S * VSL.transpose()` and
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/// decomposed input matrix `b` equals `VSL * T * VSL.transpose()`.
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#[cfg_attr(feature = "serde-serialize", derive(Serialize, Deserialize))]
|
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#[cfg_attr(
|
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feature = "serde-serialize",
|
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serde(
|
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bound(serialize = "DefaultAllocator: Allocator<T, D, D> + Allocator<T, D>,
|
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OVector<T, D>: Serialize,
|
||||
OMatrix<T, D, D>: Serialize")
|
||||
)
|
||||
)]
|
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#[cfg_attr(
|
||||
feature = "serde-serialize",
|
||||
serde(
|
||||
bound(deserialize = "DefaultAllocator: Allocator<T, D, D> + Allocator<T, D>,
|
||||
OVector<T, D>: Deserialize<'de>,
|
||||
OMatrix<T, D, D>: Deserialize<'de>")
|
||||
)
|
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)]
|
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#[derive(Clone, Debug)]
|
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pub struct QZ<T: Scalar, D: Dim>
|
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where
|
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DefaultAllocator: Allocator<T, D> + Allocator<T, D, D>,
|
||||
{
|
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alphar: OVector<T, D>,
|
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alphai: OVector<T, D>,
|
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beta: OVector<T, D>,
|
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vsl: OMatrix<T, D, D>,
|
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s: OMatrix<T, D, D>,
|
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vsr: OMatrix<T, D, D>,
|
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t: OMatrix<T, D, D>,
|
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}
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|
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impl<T: Scalar + Copy, D: Dim> Copy for QZ<T, D>
|
||||
where
|
||||
DefaultAllocator: Allocator<T, D, D> + Allocator<T, D>,
|
||||
OMatrix<T, D, D>: Copy,
|
||||
OVector<T, D>: Copy,
|
||||
{
|
||||
}
|
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|
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impl<T: QZScalar + RealField, D: Dim> QZ<T, D>
|
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where
|
||||
DefaultAllocator: Allocator<T, D, D> + Allocator<T, D>,
|
||||
{
|
||||
/// Attempts to compute the QZ decomposition of input real square matrices `a` and `b`.
|
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///
|
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/// i.e retrieves the left and right matrices of Schur Vectors (VSL and VSR)
|
||||
/// the upper-quasitriangular matrix `S` and upper triangular matrix `T` such that the
|
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/// decomposed matrix `a` equals `VSL * S * VSL.transpose()` and
|
||||
/// decomposed matrix `b` equals `VSL * T * VSL.transpose()`.
|
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///
|
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/// Panics if the method did not converge.
|
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pub fn new(a: OMatrix<T, D, D>, b: OMatrix<T, D, D>) -> Self {
|
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Self::try_new(a, b).expect("QZ decomposition: convergence failed.")
|
||||
}
|
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|
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/// Computes the decomposition of input matrices `a` and `b` into a pair of matrices of Schur vectors
|
||||
/// , a quasi-upper triangular matrix and an upper-triangular matrix .
|
||||
///
|
||||
/// Returns `None` if the method did not converge.
|
||||
pub fn try_new(mut a: OMatrix<T, D, D>, mut b: OMatrix<T, D, D>) -> Option<Self> {
|
||||
assert!(
|
||||
a.is_square() && b.is_square(),
|
||||
"Unable to compute the qz decomposition of non-square matrices."
|
||||
);
|
||||
|
||||
assert!(
|
||||
a.shape_generic() == b.shape_generic(),
|
||||
"Unable to compute the qz decomposition of two square matrices of different dimensions."
|
||||
);
|
||||
|
||||
let (nrows, ncols) = a.shape_generic();
|
||||
let n = nrows.value();
|
||||
|
||||
let mut info = 0;
|
||||
|
||||
let mut alphar = Matrix::zeros_generic(nrows, Const::<1>);
|
||||
let mut alphai = Matrix::zeros_generic(nrows, Const::<1>);
|
||||
let mut beta = Matrix::zeros_generic(nrows, Const::<1>);
|
||||
let mut vsl = Matrix::zeros_generic(nrows, ncols);
|
||||
let mut vsr = Matrix::zeros_generic(nrows, ncols);
|
||||
// Placeholders:
|
||||
let mut bwork = [0i32];
|
||||
let mut unused = 0;
|
||||
|
||||
let lwork = T::xgges_work_size(
|
||||
b'V',
|
||||
b'V',
|
||||
b'N',
|
||||
n as i32,
|
||||
a.as_mut_slice(),
|
||||
n as i32,
|
||||
b.as_mut_slice(),
|
||||
n as i32,
|
||||
&mut unused,
|
||||
alphar.as_mut_slice(),
|
||||
alphai.as_mut_slice(),
|
||||
beta.as_mut_slice(),
|
||||
vsl.as_mut_slice(),
|
||||
n as i32,
|
||||
vsr.as_mut_slice(),
|
||||
n as i32,
|
||||
&mut bwork,
|
||||
&mut info,
|
||||
);
|
||||
lapack_check!(info);
|
||||
|
||||
let mut work = vec![T::zero(); lwork as usize];
|
||||
|
||||
T::xgges(
|
||||
b'V',
|
||||
b'V',
|
||||
b'N',
|
||||
n as i32,
|
||||
a.as_mut_slice(),
|
||||
n as i32,
|
||||
b.as_mut_slice(),
|
||||
n as i32,
|
||||
&mut unused,
|
||||
alphar.as_mut_slice(),
|
||||
alphai.as_mut_slice(),
|
||||
beta.as_mut_slice(),
|
||||
vsl.as_mut_slice(),
|
||||
n as i32,
|
||||
vsr.as_mut_slice(),
|
||||
n as i32,
|
||||
&mut work,
|
||||
lwork,
|
||||
&mut bwork,
|
||||
&mut info,
|
||||
);
|
||||
lapack_check!(info);
|
||||
|
||||
Some(QZ {
|
||||
alphar,
|
||||
alphai,
|
||||
beta,
|
||||
vsl,
|
||||
s: a,
|
||||
vsr,
|
||||
t: b,
|
||||
})
|
||||
}
|
||||
|
||||
/// Retrieves the left and right matrices of Schur Vectors (VSL and VSR)
|
||||
/// the upper-quasitriangular matrix `S` and upper triangular matrix `T` such that the
|
||||
/// decomposed input matrix `a` equals `VSL * S * VSL.transpose()` and
|
||||
/// decomposed input matrix `b` equals `VSL * T * VSL.transpose()`.
|
||||
pub fn unpack(
|
||||
self,
|
||||
) -> (
|
||||
OMatrix<T, D, D>,
|
||||
OMatrix<T, D, D>,
|
||||
OMatrix<T, D, D>,
|
||||
OMatrix<T, D, D>,
|
||||
) {
|
||||
(self.vsl, self.s, self.t, self.vsr)
|
||||
}
|
||||
|
||||
/// outputs the unprocessed (almost) version of generalized eigenvalues ((alphar, alpai), beta)
|
||||
/// straight from LAPACK
|
||||
#[must_use]
|
||||
pub fn raw_eigenvalues(&self) -> OVector<(Complex<T>, T), D>
|
||||
where
|
||||
DefaultAllocator: Allocator<(Complex<T>, T), D>,
|
||||
{
|
||||
let mut out = Matrix::from_element_generic(
|
||||
self.vsl.shape_generic().0,
|
||||
Const::<1>,
|
||||
(Complex::zero(), T::RealField::zero()),
|
||||
);
|
||||
|
||||
for i in 0..out.len() {
|
||||
out[i] = (
|
||||
Complex::new(self.alphar[i].clone(), self.alphai[i].clone()),
|
||||
self.beta[i].clone(),
|
||||
)
|
||||
}
|
||||
|
||||
out
|
||||
}
|
||||
}
|
||||
|
||||
/*
|
||||
*
|
||||
* Lapack functions dispatch.
|
||||
*
|
||||
*/
|
||||
/// Trait implemented by scalars for which Lapack implements the RealField QZ decomposition.
|
||||
pub trait QZScalar: Scalar {
|
||||
#[allow(missing_docs)]
|
||||
fn xgges(
|
||||
jobvsl: u8,
|
||||
jobvsr: u8,
|
||||
sort: u8,
|
||||
// select: ???
|
||||
n: i32,
|
||||
a: &mut [Self],
|
||||
lda: i32,
|
||||
b: &mut [Self],
|
||||
ldb: i32,
|
||||
sdim: &mut i32,
|
||||
alphar: &mut [Self],
|
||||
alphai: &mut [Self],
|
||||
beta: &mut [Self],
|
||||
vsl: &mut [Self],
|
||||
ldvsl: i32,
|
||||
vsr: &mut [Self],
|
||||
ldvsr: i32,
|
||||
work: &mut [Self],
|
||||
lwork: i32,
|
||||
bwork: &mut [i32],
|
||||
info: &mut i32,
|
||||
);
|
||||
|
||||
#[allow(missing_docs)]
|
||||
fn xgges_work_size(
|
||||
jobvsl: u8,
|
||||
jobvsr: u8,
|
||||
sort: u8,
|
||||
// select: ???
|
||||
n: i32,
|
||||
a: &mut [Self],
|
||||
lda: i32,
|
||||
b: &mut [Self],
|
||||
ldb: i32,
|
||||
sdim: &mut i32,
|
||||
alphar: &mut [Self],
|
||||
alphai: &mut [Self],
|
||||
beta: &mut [Self],
|
||||
vsl: &mut [Self],
|
||||
ldvsl: i32,
|
||||
vsr: &mut [Self],
|
||||
ldvsr: i32,
|
||||
bwork: &mut [i32],
|
||||
info: &mut i32,
|
||||
) -> i32;
|
||||
}
|
||||
|
||||
macro_rules! qz_scalar_impl (
|
||||
($N: ty, $xgges: path) => (
|
||||
impl QZScalar for $N {
|
||||
#[inline]
|
||||
fn xgges(jobvsl: u8,
|
||||
jobvsr: u8,
|
||||
sort: u8,
|
||||
// select: ???
|
||||
n: i32,
|
||||
a: &mut [$N],
|
||||
lda: i32,
|
||||
b: &mut [$N],
|
||||
ldb: i32,
|
||||
sdim: &mut i32,
|
||||
alphar: &mut [$N],
|
||||
alphai: &mut [$N],
|
||||
beta : &mut [$N],
|
||||
vsl: &mut [$N],
|
||||
ldvsl: i32,
|
||||
vsr: &mut [$N],
|
||||
ldvsr: i32,
|
||||
work: &mut [$N],
|
||||
lwork: i32,
|
||||
bwork: &mut [i32],
|
||||
info: &mut i32) {
|
||||
unsafe { $xgges(jobvsl, jobvsr, sort, None, n, a, lda, b, ldb, sdim, alphar, alphai, beta, vsl, ldvsl, vsr, ldvsr, work, lwork, bwork, info); }
|
||||
}
|
||||
|
||||
|
||||
#[inline]
|
||||
fn xgges_work_size(jobvsl: u8,
|
||||
jobvsr: u8,
|
||||
sort: u8,
|
||||
// select: ???
|
||||
n: i32,
|
||||
a: &mut [$N],
|
||||
lda: i32,
|
||||
b: &mut [$N],
|
||||
ldb: i32,
|
||||
sdim: &mut i32,
|
||||
alphar: &mut [$N],
|
||||
alphai: &mut [$N],
|
||||
beta : &mut [$N],
|
||||
vsl: &mut [$N],
|
||||
ldvsl: i32,
|
||||
vsr: &mut [$N],
|
||||
ldvsr: i32,
|
||||
bwork: &mut [i32],
|
||||
info: &mut i32)
|
||||
-> i32 {
|
||||
let mut work = [ Zero::zero() ];
|
||||
let lwork = -1 as i32;
|
||||
|
||||
unsafe { $xgges(jobvsl, jobvsr, sort, None, n, a, lda, b, ldb, sdim, alphar, alphai, beta, vsl, ldvsl, vsr, ldvsr, &mut work, lwork, bwork, info); }
|
||||
ComplexHelper::real_part(work[0]) as i32
|
||||
}
|
||||
}
|
||||
)
|
||||
);
|
||||
|
||||
qz_scalar_impl!(f32, lapack::sgges);
|
||||
qz_scalar_impl!(f64, lapack::dgges);
|
||||
|
|
@ -0,0 +1,72 @@
|
|||
use na::dimension::Const;
|
||||
use na::{DMatrix, OMatrix};
|
||||
use nl::GeneralizedEigen;
|
||||
use num_complex::Complex;
|
||||
use simba::scalar::ComplexField;
|
||||
|
||||
use crate::proptest::*;
|
||||
use proptest::{prop_assert, prop_compose, proptest};
|
||||
|
||||
prop_compose! {
|
||||
fn f64_dynamic_dim_squares()
|
||||
(n in PROPTEST_MATRIX_DIM)
|
||||
(a in matrix(PROPTEST_F64,n,n), b in matrix(PROPTEST_F64,n,n)) -> (DMatrix<f64>, DMatrix<f64>){
|
||||
(a,b)
|
||||
}}
|
||||
|
||||
proptest! {
|
||||
#[test]
|
||||
fn ge((a,b) in f64_dynamic_dim_squares()){
|
||||
|
||||
let a_c = a.clone().map(|x| Complex::new(x, 0.0));
|
||||
let b_c = b.clone().map(|x| Complex::new(x, 0.0));
|
||||
let n = a.shape_generic().0;
|
||||
|
||||
let ge = GeneralizedEigen::new(a.clone(), b.clone());
|
||||
let (vsl,vsr) = ge.clone().eigenvectors();
|
||||
|
||||
|
||||
for (i,(alpha,beta)) in ge.raw_eigenvalues().iter().enumerate() {
|
||||
let l_a = a_c.clone() * Complex::new(*beta, 0.0);
|
||||
let l_b = b_c.clone() * *alpha;
|
||||
|
||||
prop_assert!(
|
||||
relative_eq!(
|
||||
((&l_a - &l_b)*vsr.column(i)).map(|x| x.modulus()),
|
||||
OMatrix::zeros_generic(n, Const::<1>),
|
||||
epsilon = 1.0e-5));
|
||||
|
||||
prop_assert!(
|
||||
relative_eq!(
|
||||
(vsl.column(i).adjoint()*(&l_a - &l_b)).map(|x| x.modulus()),
|
||||
OMatrix::zeros_generic(Const::<1>, n),
|
||||
epsilon = 1.0e-5))
|
||||
};
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn ge_static(a in matrix4(), b in matrix4()) {
|
||||
|
||||
let ge = GeneralizedEigen::new(a.clone(), b.clone());
|
||||
let a_c =a.clone().map(|x| Complex::new(x, 0.0));
|
||||
let b_c = b.clone().map(|x| Complex::new(x, 0.0));
|
||||
let (vsl,vsr) = ge.eigenvectors();
|
||||
let eigenvalues = ge.raw_eigenvalues();
|
||||
|
||||
for (i,(alpha,beta)) in eigenvalues.iter().enumerate() {
|
||||
let l_a = a_c.clone() * Complex::new(*beta, 0.0);
|
||||
let l_b = b_c.clone() * *alpha;
|
||||
|
||||
prop_assert!(
|
||||
relative_eq!(
|
||||
((&l_a - &l_b)*vsr.column(i)).map(|x| x.modulus()),
|
||||
OMatrix::zeros_generic(Const::<4>, Const::<1>),
|
||||
epsilon = 1.0e-5));
|
||||
prop_assert!(
|
||||
relative_eq!((vsl.column(i).adjoint()*(&l_a - &l_b)).map(|x| x.modulus()),
|
||||
OMatrix::zeros_generic(Const::<1>, Const::<4>),
|
||||
epsilon = 1.0e-5))
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
|
|
@ -1,6 +1,8 @@
|
|||
mod cholesky;
|
||||
mod generalized_eigenvalues;
|
||||
mod lu;
|
||||
mod qr;
|
||||
mod qz;
|
||||
mod real_eigensystem;
|
||||
mod schur;
|
||||
mod svd;
|
||||
|
|
|
|||
|
|
@ -0,0 +1,34 @@
|
|||
use na::DMatrix;
|
||||
use nl::QZ;
|
||||
|
||||
use crate::proptest::*;
|
||||
use proptest::{prop_assert, prop_compose, proptest};
|
||||
|
||||
prop_compose! {
|
||||
fn f64_dynamic_dim_squares()
|
||||
(n in PROPTEST_MATRIX_DIM)
|
||||
(a in matrix(PROPTEST_F64,n,n), b in matrix(PROPTEST_F64,n,n)) -> (DMatrix<f64>, DMatrix<f64>){
|
||||
(a,b)
|
||||
}}
|
||||
|
||||
proptest! {
|
||||
#[test]
|
||||
fn qz((a,b) in f64_dynamic_dim_squares()) {
|
||||
|
||||
let qz = QZ::new(a.clone(), b.clone());
|
||||
let (vsl,s,t,vsr) = qz.clone().unpack();
|
||||
|
||||
prop_assert!(relative_eq!(&vsl * s * vsr.transpose(), a, epsilon = 1.0e-7));
|
||||
prop_assert!(relative_eq!(vsl * t * vsr.transpose(), b, epsilon = 1.0e-7));
|
||||
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn qz_static(a in matrix4(), b in matrix4()) {
|
||||
let qz = QZ::new(a.clone(), b.clone());
|
||||
let (vsl,s,t,vsr) = qz.unpack();
|
||||
|
||||
prop_assert!(relative_eq!(&vsl * s * vsr.transpose(), a, epsilon = 1.0e-7));
|
||||
prop_assert!(relative_eq!(vsl * t * vsr.transpose(), b, epsilon = 1.0e-7));
|
||||
}
|
||||
}
|
||||
Loading…
Reference in New Issue