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Linear Algebra utilities for Java
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/**
* Copyright (c) 2011, The University of Southampton and the individual contributors.
* All rights reserved.
*
* Redistribution and use in source and binary forms, with or without modification,
* are permitted provided that the following conditions are met:
*
* * Redistributions of source code must retain the above copyright notice,
* this list of conditions and the following disclaimer.
*
* * Redistributions in binary form must reproduce the above copyright notice,
* this list of conditions and the following disclaimer in the documentation
* and/or other materials provided with the distribution.
*
* * Neither the name of the University of Southampton nor the names of its
* contributors may be used to endorse or promote products derived from this
* software without specific prior written permission.
*
* THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
* ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
* WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
* DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
* ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
* (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
* LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON
* ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
* (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
* SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
*/
package no.uib.cipr.matrix;
import org.netlib.util.intW;
import com.github.fommil.netlib.LAPACK;
/**
* Computes economy singular value decompositions. Uses DGESDD internally.
*/
public class EconomySVD {
/**
* Work array
*/
private final double[] work;
/**
* Work array
*/
private final int[] iwork;
/**
* Matrix dimension
*/
private final int m, n;
/**
* The singular values
*/
private final double[] S;
/**
* Singular vectors
*/
private final DenseMatrix U, Vt;
/**
* Creates an empty SVD
*
* @param m
* Number of rows
* @param n
* Number of columns
*/
public EconomySVD(int m, int n) {
this.m = m;
this.n = n;
// Allocate space for the decomposition
S = new double[Math.min(m, n)];
U = new DenseMatrix(Matrices.ld(m), Math.min(m, n));
Vt = new DenseMatrix(Matrices.ld(Math.min(m, n)), n);
// Find workspace requirements
iwork = new int[8 * Math.min(m, n)];
// Query optimal workspace
double[] worksize = new double[1];
intW info = new intW(0);
LAPACK.getInstance().dgesdd(JobSVD.Part.netlib(), m, n, new double[0],
Matrices.ld(m), new double[0], new double[0], U.numRows,
new double[0], Vt.numRows, worksize, -1, iwork, info);
// Allocate workspace
int lwork = -1;
if (info.val != 0) {
// 'S' => LWORK >= min(M,N)*(6+4*min(M,N))+max(M,N)
lwork = Math.min(m, n) * (6 + 4 * Math.min(m, n)) + Math.max(m, n);
} else {
lwork = (int) worksize[0];
}
lwork = Math.max(lwork, 1);
work = new double[lwork];
}
/**
* Convenience method for computing a full SVD
*
* @param A
* Matrix to decompose, not modified
* @return Newly allocated factorization
* @throws NotConvergedException
*/
public static EconomySVD factorize(Matrix A) throws NotConvergedException {
return new EconomySVD(A.numRows(), A.numColumns()).factor(new DenseMatrix(A));
}
/**
* Computes an SVD
*
* @param A
* Matrix to decompose. Size must conform, and it will be
* overwritten on return. Pass a copy to avoid this
* @return The current decomposition
* @throws NotConvergedException
*/
public EconomySVD factor(DenseMatrix A) throws NotConvergedException {
if (A.numRows() != m) {
throw new IllegalArgumentException("A.numRows() != m");
} else if (A.numColumns() != n) {
throw new IllegalArgumentException("A.numColumns() != n");
}
intW info = new intW(0);
LAPACK.getInstance().dgesdd(JobSVD.Part.netlib(), m, n,
A.getData(), A.numRows,
S,
U.getData(), U.numRows,
Vt.getData(), Vt.numRows,
work, work.length, iwork, info);
if (info.val > 0) {
throw new NotConvergedException(
NotConvergedException.Reason.Iterations);
} else if (info.val < 0) {
throw new IllegalArgumentException();
}
return this;
}
/**
* Returns the left singular vectors, column-wise. Not available for partial
* decompositions
*
* @return Matrix of size m*m
*/
public DenseMatrix getU() {
return U;
}
/**
* Returns the right singular vectors, row-wise. Not available for partial
* decompositions
*
* @return Matrix of size n*n
*/
public DenseMatrix getVt() {
return Vt;
}
/**
* Returns the singular values (stored in descending order)
*
* @return Array of size min(m,n)
*/
public double[] getS() {
return S;
}
}
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