aboutsummaryrefslogtreecommitdiff
path: root/src/mtx_cholesky.c
diff options
context:
space:
mode:
authorIOhannes m zmölnig <zmoelnig@users.sourceforge.net>2005-04-27 16:51:59 +0000
committerIOhannes m zmölnig <zmoelnig@users.sourceforge.net>2005-04-27 16:51:59 +0000
commitef2bda92941a71ea418c4eb01f9e95cd0d96ad9a (patch)
treeaebdd664e312c04dfae7e9b81b29bd5f02190f5b /src/mtx_cholesky.c
parenteca989eb11d9f22ad1acddd182523f98a12f25d4 (diff)
cholesky decomposition
svn path=/trunk/externals/iem/iemmatrix/; revision=2836
Diffstat (limited to 'src/mtx_cholesky.c')
-rw-r--r--src/mtx_cholesky.c117
1 files changed, 117 insertions, 0 deletions
diff --git a/src/mtx_cholesky.c b/src/mtx_cholesky.c
new file mode 100644
index 0000000..b9e97b8
--- /dev/null
+++ b/src/mtx_cholesky.c
@@ -0,0 +1,117 @@
+/*
+ * iemmatrix
+ *
+ * objects for manipulating simple matrices
+ * mostly refering to matlab/octave matrix functions
+ *
+ * Copyright (c) IOhannes m zmlnig, forum::fr::umlute
+ * IEM, Graz, Austria
+ *
+ * For information on usage and redistribution, and for a DISCLAIMER OF ALL
+ * WARRANTIES, see the file, "LICENSE.txt," in this distribution.
+ *
+ */
+#include "iemmatrix.h"
+
+/* mtx_cholesky */
+
+/*
+ * calculate the "Cholesky Decomposition" of a "symmetric and positive definite matrix "
+ * no check is done, whether the input matrix is really symmetric and positive definite.
+ */
+
+static t_class *mtx_cholesky_class;
+
+static void mtx_cholesky_matrix(t_matrix *x, t_symbol *s, int argc, t_atom *argv)
+{
+ /* maybe we should do this in double or long double ? */
+ int row=atom_getfloat(argv);
+ int col=atom_getfloat(argv+1);
+ int i, j, k, row2=row*row;
+
+ t_matrixfloat *original, *cholesky;
+ t_matrixfloat *a1, *b1; // dummy pointers
+
+ int ok = 0;
+
+ if(row*col+2>argc){
+ post("mtx_print : sparse matrices not yet supported : use \"mtx_check\"");
+ return;
+ }
+ if (row!=col){
+ post("mtx_cholesky: only symmetric and positive definite matrices can be cholesky-decomposed");
+ return;
+ }
+
+ // reserve memory for outputting afterwards
+ adjustsize(x, row, row);
+ // 1. get the 2 matrices : orig; invert (create as eye, but will be orig^(-1))
+ cholesky = (t_matrixfloat *)getbytes(sizeof(t_matrixfloat)*row2);
+ // 1a extract values of A to float-buf
+ original=matrix2float(argv);
+
+ // 2 set the cholesky matrix to zero
+ for(i=0; i<row2; i++)cholesky[i]=0.;
+
+ // 3 do the cholesky decomposition
+ for(i=0; i<col; i++){
+ // 3a get the diagonal element
+ // l_ii=sqrt(a_ii-sum(k=1..i-1)((l_ik)^2))
+ t_matrixfloat sum=0.;
+ t_matrixfloat result=0.f;
+
+ for(k=0; k<i; k++){
+ t_matrixfloat lik=cholesky[k*col+i];
+ sum+=lik*lik;
+ }
+ if((result=original[i*(col+1)]-sum)<0){
+ post("[mtx_cholesky]: only symmetric and positive definite matrices can be cholesky-decomposed");
+ return;
+ }
+ result=sqrtf(result); // LATER check whether this is real
+ cholesky[i*(col+1)]=result;
+ // 3b get the other elements within this row/col
+ // l_ji=(a_ji-sum(k=1..i-1)(l_jk*l_ik))/l_ii
+ for(j=i+1; j<row; j++){
+ sum=0.;
+ for(k=0; k<i; k++){
+ t_matrixfloat ljk=cholesky[k*col+j];
+ t_matrixfloat lik=cholesky[k*col+i];
+
+ sum+=ljk*lik;
+ }
+ cholesky[i*row+j]=(original[i*col+j]-sum)/result;
+ }
+ }
+
+ // 4. output the matrix
+ // 4a convert the floatbuf to an atombuf;
+ float2matrix(x->atombuffer, cholesky);
+ // 4b destroy the buffers
+ freebytes(original, sizeof(t_matrixfloat)*row2);
+
+ // 4c output the atombuf;
+ matrix_bang(x);
+}
+
+static void *mtx_cholesky_new(t_symbol *s, int argc, t_atom *argv)
+{
+ t_matrix *x = (t_matrix *)pd_new(mtx_cholesky_class);
+ outlet_new(&x->x_obj, 0);
+ x->col=x->row=0;
+ x->atombuffer=0;
+
+ return (x);
+}
+void mtx_cholesky_setup(void)
+{
+ mtx_cholesky_class = class_new(gensym("mtx_cholesky"), (t_newmethod)mtx_cholesky_new,
+ (t_method)matrix_free, sizeof(t_matrix), 0, A_GIMME, 0);
+ class_addbang (mtx_cholesky_class, matrix_bang);
+ class_addmethod(mtx_cholesky_class, (t_method)mtx_cholesky_matrix, gensym("matrix"), A_GIMME, 0);
+ class_sethelpsymbol(mtx_cholesky_class, gensym("iemmatrix/mtx_cholesky"));
+}
+
+void iemtx_cholesky_setup(void){
+ mtx_cholesky_setup();
+}