From ef2bda92941a71ea418c4eb01f9e95cd0d96ad9a Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?IOhannes=20m=20zm=C3=B6lnig?=
 <zmoelnig@users.sourceforge.net>
Date: Wed, 27 Apr 2005 16:51:59 +0000
Subject: cholesky decomposition

svn path=/trunk/externals/iem/iemmatrix/; revision=2836
---
 src/mtx_cholesky.c | 117 +++++++++++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 117 insertions(+)
 create mode 100644 src/mtx_cholesky.c

(limited to 'src/mtx_cholesky.c')

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 zmölnig, forum::für::umläute
+ * 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();
+}
-- 
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