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+/* linalg/lu.c
+ *
+ * Copyright (C) 1996, 1997, 1998, 1999, 2000 Gerard Jungman, Brian Gough
+ *
+ * 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 2 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.
+ */
+
+/* Author: G. Jungman */
+
+#include <config.h>
+#include <stdlib.h>
+#include <string.h>
+#include <gsl/gsl_math.h>
+#include <gsl/gsl_vector.h>
+#include <gsl/gsl_matrix.h>
+#include <gsl/gsl_permute_vector.h>
+#include <gsl/gsl_blas.h>
+
+#include <gsl/gsl_linalg.h>
+
+#define REAL double
+
+/* Factorise a general N x N matrix A into,
+ *
+ * P A = L U
+ *
+ * where P is a permutation matrix, L is unit lower triangular and U
+ * is upper triangular.
+ *
+ * L is stored in the strict lower triangular part of the input
+ * matrix. The diagonal elements of L are unity and are not stored.
+ *
+ * U is stored in the diagonal and upper triangular part of the
+ * input matrix.
+ *
+ * P is stored in the permutation p. Column j of P is column k of the
+ * identity matrix, where k = permutation->data[j]
+ *
+ * signum gives the sign of the permutation, (-1)^n, where n is the
+ * number of interchanges in the permutation.
+ *
+ * See Golub & Van Loan, Matrix Computations, Algorithm 3.4.1 (Gauss
+ * Elimination with Partial Pivoting).
+ */
+
+int
+gsl_linalg_LU_decomp (gsl_matrix * A, gsl_permutation * p, int *signum)
+{
+ if (A->size1 != A->size2)
+ {
+ GSL_ERROR ("LU decomposition requires square matrix", GSL_ENOTSQR);
+ }
+ else if (p->size != A->size1)
+ {
+ GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN);
+ }
+ else
+ {
+ const size_t N = A->size1;
+ size_t i, j, k;
+
+ *signum = 1;
+ gsl_permutation_init (p);
+
+ for (j = 0; j < N - 1; j++)
+ {
+ /* Find maximum in the j-th column */
+
+ REAL ajj, max = fabs (gsl_matrix_get (A, j, j));
+ size_t i_pivot = j;
+
+ for (i = j + 1; i < N; i++)
+ {
+ REAL aij = fabs (gsl_matrix_get (A, i, j));
+
+ if (aij > max)
+ {
+ max = aij;
+ i_pivot = i;
+ }
+ }
+
+ if (i_pivot != j)
+ {
+ gsl_matrix_swap_rows (A, j, i_pivot);
+ gsl_permutation_swap (p, j, i_pivot);
+ *signum = -(*signum);
+ }
+
+ ajj = gsl_matrix_get (A, j, j);
+
+ if (ajj != 0.0)
+ {
+ for (i = j + 1; i < N; i++)
+ {
+ REAL aij = gsl_matrix_get (A, i, j) / ajj;
+ gsl_matrix_set (A, i, j, aij);
+
+ for (k = j + 1; k < N; k++)
+ {
+ REAL aik = gsl_matrix_get (A, i, k);
+ REAL ajk = gsl_matrix_get (A, j, k);
+ gsl_matrix_set (A, i, k, aik - aij * ajk);
+ }
+ }
+ }
+ }
+
+ return GSL_SUCCESS;
+ }
+}
+
+int
+gsl_linalg_LU_solve (const gsl_matrix * LU, const gsl_permutation * p, const gsl_vector * b, gsl_vector * x)
+{
+ if (LU->size1 != LU->size2)
+ {
+ GSL_ERROR ("LU matrix must be square", GSL_ENOTSQR);
+ }
+ else if (LU->size1 != p->size)
+ {
+ GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN);
+ }
+ else if (LU->size1 != b->size)
+ {
+ GSL_ERROR ("matrix size must match b size", GSL_EBADLEN);
+ }
+ else if (LU->size2 != x->size)
+ {
+ GSL_ERROR ("matrix size must match solution size", GSL_EBADLEN);
+ }
+ else
+ {
+ /* Copy x <- b */
+
+ gsl_vector_memcpy (x, b);
+
+ /* Solve for x */
+
+ gsl_linalg_LU_svx (LU, p, x);
+
+ return GSL_SUCCESS;
+ }
+}
+
+
+int
+gsl_linalg_LU_svx (const gsl_matrix * LU, const gsl_permutation * p, gsl_vector * x)
+{
+ if (LU->size1 != LU->size2)
+ {
+ GSL_ERROR ("LU matrix must be square", GSL_ENOTSQR);
+ }
+ else if (LU->size1 != p->size)
+ {
+ GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN);
+ }
+ else if (LU->size1 != x->size)
+ {
+ GSL_ERROR ("matrix size must match solution/rhs size", GSL_EBADLEN);
+ }
+ else
+ {
+ /* Apply permutation to RHS */
+
+ gsl_permute_vector (p, x);
+
+ /* Solve for c using forward-substitution, L c = P b */
+
+ gsl_blas_dtrsv (CblasLower, CblasNoTrans, CblasUnit, LU, x);
+
+ /* Perform back-substitution, U x = c */
+
+ gsl_blas_dtrsv (CblasUpper, CblasNoTrans, CblasNonUnit, LU, x);
+
+ return GSL_SUCCESS;
+ }
+}
+
+
+int
+gsl_linalg_LU_refine (const gsl_matrix * A, const gsl_matrix * LU, const gsl_permutation * p, const gsl_vector * b, gsl_vector * x, gsl_vector * residual)
+{
+ if (A->size1 != A->size2)
+ {
+ GSL_ERROR ("matrix a must be square", GSL_ENOTSQR);
+ }
+ if (LU->size1 != LU->size2)
+ {
+ GSL_ERROR ("LU matrix must be square", GSL_ENOTSQR);
+ }
+ else if (A->size1 != LU->size2)
+ {
+ GSL_ERROR ("LU matrix must be decomposition of a", GSL_ENOTSQR);
+ }
+ else if (LU->size1 != p->size)
+ {
+ GSL_ERROR ("permutation length must match matrix size", GSL_EBADLEN);
+ }
+ else if (LU->size1 != b->size)
+ {
+ GSL_ERROR ("matrix size must match b size", GSL_EBADLEN);
+ }
+ else if (LU->size1 != x->size)
+ {
+ GSL_ERROR ("matrix size must match solution size", GSL_EBADLEN);
+ }
+ else
+ {
+ /* Compute residual, residual = (A * x - b) */
+
+ gsl_vector_memcpy (residual, b);
+ gsl_blas_dgemv (CblasNoTrans, 1.0, A, x, -1.0, residual);
+
+ /* Find correction, delta = - (A^-1) * residual, and apply it */
+
+ gsl_linalg_LU_svx (LU, p, residual);
+ gsl_blas_daxpy (-1.0, residual, x);
+
+ return GSL_SUCCESS;
+ }
+}
+
+int
+gsl_linalg_LU_invert (const gsl_matrix * LU, const gsl_permutation * p, gsl_matrix * inverse)
+{
+ size_t i, n = LU->size1;
+
+ int status = GSL_SUCCESS;
+
+ gsl_matrix_set_identity (inverse);
+
+ for (i = 0; i < n; i++)
+ {
+ gsl_vector_view c = gsl_matrix_column (inverse, i);
+ int status_i = gsl_linalg_LU_svx (LU, p, &(c.vector));
+
+ if (status_i)
+ status = status_i;
+ }
+
+ return status;
+}
+
+double
+gsl_linalg_LU_det (gsl_matrix * LU, int signum)
+{
+ size_t i, n = LU->size1;
+
+ double det = (double) signum;
+
+ for (i = 0; i < n; i++)
+ {
+ det *= gsl_matrix_get (LU, i, i);
+ }
+
+ return det;
+}
+
+
+double
+gsl_linalg_LU_lndet (gsl_matrix * LU)
+{
+ size_t i, n = LU->size1;
+
+ double lndet = 0.0;
+
+ for (i = 0; i < n; i++)
+ {
+ lndet += log (fabs (gsl_matrix_get (LU, i, i)));
+ }
+
+ return lndet;
+}
+
+
+int
+gsl_linalg_LU_sgndet (gsl_matrix * LU, int signum)
+{
+ size_t i, n = LU->size1;
+
+ int s = signum;
+
+ for (i = 0; i < n; i++)
+ {
+ double u = gsl_matrix_get (LU, i, i);
+
+ if (u < 0)
+ {
+ s *= -1;
+ }
+ else if (u == 0)
+ {
+ s = 0;
+ break;
+ }
+ }
+
+ return s;
+}