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Setup the qr_decomposition to use LAPACK when available. Also removed the
qr_decomposition::get_householder() function since I don't currently have any way to test it or precisely define what it does. --HG-- extra : convert_revision : svn%3Afdd8eb12-d10e-0410-9acb-85c331704f74/trunk%403839
This commit is contained in:
Davis King
parent
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commit
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199
dlib/matrix/lapack/ormqr.h
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199
dlib/matrix/lapack/ormqr.h
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@ -0,0 +1,199 @@
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// Copyright (C) 2010 Davis E. King (davis@dlib.net)
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// License: Boost Software License See LICENSE.txt for the full license.
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#ifndef DLIB_LAPACk_ORMQR_H__
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#define DLIB_LAPACk_ORMQR_H__
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#include "fortran_id.h"
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#include "../matrix.h"
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namespace dlib
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{
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namespace lapack
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{
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namespace binding
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{
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extern "C"
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{
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void DLIB_FORTRAN_ID(dormqr) (char *side, char *trans, integer *m, integer *n,
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integer *k, const double *a, integer *lda, const double *tau,
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double * c__, integer *ldc, double *work, integer *lwork,
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integer *info);
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void DLIB_FORTRAN_ID(sormqr) (char *side, char *trans, integer *m, integer *n,
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integer *k, const float *a, integer *lda, const float *tau,
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float * c__, integer *ldc, float *work, integer *lwork,
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integer *info);
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}
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inline int ormqr (char side, char trans, integer m, integer n,
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integer k, const double *a, integer lda, const double *tau,
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double *c__, integer ldc, double *work, integer lwork)
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{
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integer info = 0;
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DLIB_FORTRAN_ID(dormqr)(&side, &trans, &m, &n,
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&k, a, &lda, tau,
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c__, &ldc, work, &lwork, &info);
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return info;
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}
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inline int ormqr (char side, char trans, integer m, integer n,
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integer k, const float *a, integer lda, const float *tau,
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float *c__, integer ldc, float *work, integer lwork)
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{
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integer info = 0;
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DLIB_FORTRAN_ID(sormqr)(&side, &trans, &m, &n,
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&k, a, &lda, tau,
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c__, &ldc, work, &lwork, &info);
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return info;
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}
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}
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// ------------------------------------------------------------------------------------
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/* -- LAPACK routine (version 3.1) -- */
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/* Univ. of Tennessee, Univ. of California Berkeley and NAG Ltd.. */
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/* November 2006 */
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/* .. Scalar Arguments .. */
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/* .. */
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/* .. Array Arguments .. */
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/* .. */
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/* Purpose */
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/* ======= */
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/* DORMQR overwrites the general real M-by-N matrix C with */
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/* SIDE = 'L' SIDE = 'R' */
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/* TRANS = 'N': Q * C C * Q */
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/* TRANS = 'T': Q**T * C C * Q**T */
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/* where Q is a real orthogonal matrix defined as the product of k */
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/* elementary reflectors */
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/* Q = H(1) H(2) . . . H(k) */
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/* as returned by DGEQRF. Q is of order M if SIDE = 'L' and of order N */
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/* if SIDE = 'R'. */
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/* Arguments */
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/* ========= */
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/* SIDE (input) CHARACTER*1 */
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/* = 'L': apply Q or Q**T from the Left; */
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/* = 'R': apply Q or Q**T from the Right. */
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/* TRANS (input) CHARACTER*1 */
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/* = 'N': No transpose, apply Q; */
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/* = 'T': Transpose, apply Q**T. */
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/* M (input) INTEGER */
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/* The number of rows of the matrix C. M >= 0. */
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/* N (input) INTEGER */
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/* The number of columns of the matrix C. N >= 0. */
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/* K (input) INTEGER */
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/* The number of elementary reflectors whose product defines */
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/* the matrix Q. */
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/* If SIDE = 'L', M >= K >= 0; */
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/* if SIDE = 'R', N >= K >= 0. */
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/* A (input) DOUBLE PRECISION array, dimension (LDA,K) */
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/* The i-th column must contain the vector which defines the */
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/* elementary reflector H(i), for i = 1,2,...,k, as returned by */
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/* DGEQRF in the first k columns of its array argument A. */
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/* A is modified by the routine but restored on exit. */
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/* LDA (input) INTEGER */
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/* The leading dimension of the array A. */
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/* If SIDE = 'L', LDA >= max(1,M); */
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/* if SIDE = 'R', LDA >= max(1,N). */
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/* TAU (input) DOUBLE PRECISION array, dimension (K) */
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/* TAU(i) must contain the scalar factor of the elementary */
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/* reflector H(i), as returned by DGEQRF. */
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/* C (input/output) DOUBLE PRECISION array, dimension (LDC,N) */
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/* On entry, the M-by-N matrix C. */
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/* On exit, C is overwritten by Q*C or Q**T*C or C*Q**T or C*Q. */
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/* LDC (input) INTEGER */
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/* The leading dimension of the array C. LDC >= max(1,M). */
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/* WORK (workspace/output) DOUBLE PRECISION array, dimension (MAX(1,LWORK)) */
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/* On exit, if INFO = 0, WORK(1) returns the optimal LWORK. */
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/* LWORK (input) INTEGER */
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/* The dimension of the array WORK. */
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/* If SIDE = 'L', LWORK >= max(1,N); */
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/* if SIDE = 'R', LWORK >= max(1,M). */
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/* For optimum performance LWORK >= N*NB if SIDE = 'L', and */
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/* LWORK >= M*NB if SIDE = 'R', where NB is the optimal */
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/* blocksize. */
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/* If LWORK = -1, then a workspace query is assumed; the routine */
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/* only calculates the optimal size of the WORK array, returns */
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/* this value as the first entry of the WORK array, and no error */
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/* message related to LWORK is issued by XERBLA. */
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/* INFO (output) INTEGER */
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/* = 0: successful exit */
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/* < 0: if INFO = -i, the i-th argument had an illegal value */
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// ------------------------------------------------------------------------------------
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template <
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typename T,
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long NR1, long NR2, long NR3,
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long NC1, long NC2, long NC3,
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typename MM
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>
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int ormqr (
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char side,
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char trans,
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const matrix<T,NR1,NC1,MM,column_major_layout>& a,
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const matrix<T,NR2,NC2,MM,column_major_layout>& tau,
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matrix<T,NR3,NC3,MM,column_major_layout>& c
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)
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{
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const long m = c.nr();
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const long n = c.nc();
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const long k = a.nc();
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matrix<T,0,1,MM,column_major_layout> work;
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// figure out how big the workspace needs to be.
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T work_size = 1;
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int info = binding::ormqr(side, trans, m, n,
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k, &a(0,0), a.nr(), &tau(0,0),
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&c(0,0), c.nr(), &work_size, -1);
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if (info != 0)
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return info;
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if (work.size() < work_size)
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work.set_size(static_cast<long>(work_size), 1);
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// compute the actual result
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info = binding::ormqr(side, trans, m, n,
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k, &a(0,0), a.nr(), &tau(0,0),
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&c(0,0), c.nr(), &work(0,0), work.size());
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return info;
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}
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// ------------------------------------------------------------------------------------
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}
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}
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// ----------------------------------------------------------------------------------------
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#endif // DLIB_LAPACk_ORMQR_H__
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@ -504,6 +504,9 @@ namespace dlib
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The Q and R factors can be retrieved via the get_q() and get_r()
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methods. Furthermore, a solve() method is provided to find the
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least squares solution of Ax=b using the QR factors.
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If DLIB_USE_LAPACK is #defined then the xGEQRF routine
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from LAPACK is used to compute the QR decomposition.
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!*/
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public:
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@ -515,7 +518,6 @@ namespace dlib
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typedef typename matrix_exp_type::layout_type layout_type;
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typedef matrix<type,0,0,mem_manager_type,layout_type> matrix_type;
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typedef matrix<type,0,1,mem_manager_type,layout_type> column_vector_type;
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template <typename EXP>
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qr_decomposition(
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@ -556,17 +558,6 @@ namespace dlib
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- returns the number of columns in the input matrix
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!*/
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const matrix_type get_householder (
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) const;
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/*!
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ensures
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- returns a matrix H such that:
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- H is the lower trapezoidal matrix whose columns define the
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Householder reflection vectors from QR factorization
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- H.nr() == nr()
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- H.nc() == nc()
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!*/
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const matrix_type get_r (
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) const;
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/*!
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@ -9,6 +9,13 @@
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#include "matrix_utilities.h"
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#include "matrix_subexp.h"
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#ifdef DLIB_USE_LAPACK
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#include "lapack/geqrf.h"
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#include "lapack/ormqr.h"
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#endif
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#include "matrix_trsm.h"
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namespace dlib
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{
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@ -27,7 +34,6 @@ namespace dlib
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typedef typename matrix_exp_type::layout_type layout_type;
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typedef matrix<type,0,0,mem_manager_type,layout_type> matrix_type;
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typedef matrix<type,0,1,mem_manager_type,layout_type> column_vector_type;
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// You have supplied an invalid type of matrix_exp_type. You have
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// to use this object with matrices that contain float or double type data.
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@ -50,9 +56,6 @@ namespace dlib
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long nc(
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) const;
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const matrix_type get_householder (
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) const;
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const matrix_type get_r (
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) const;
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@ -66,6 +69,7 @@ namespace dlib
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private:
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#ifndef DLIB_USE_LAPACK
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template <typename EXP>
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const matrix_type solve_mat (
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const matrix_exp<EXP>& B
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@ -75,12 +79,13 @@ namespace dlib
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const matrix_type solve_vect (
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const matrix_exp<EXP>& B
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) const;
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#endif
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/** Array for internal storage of decomposition.
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@serial internal array storage.
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*/
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matrix_type QR_;
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matrix<type,0,0,mem_manager_type,column_major_layout> QR_;
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/** Row and column dimensions.
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@serial column dimension.
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@ -91,6 +96,8 @@ namespace dlib
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/** Array for internal storage of diagonal of R.
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@serial diagonal of R.
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*/
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typedef matrix<type,0,1,mem_manager_type,column_major_layout> column_vector_type;
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column_vector_type tau;
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column_vector_type Rdiag;
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@ -125,6 +132,13 @@ namespace dlib
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QR_ = A;
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m = A.nr();
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n = A.nc();
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#ifdef DLIB_USE_LAPACK
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lapack::geqrf(QR_, tau);
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Rdiag = diag(QR_);
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#else
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Rdiag.set_size(n);
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long i=0, j=0, k=0;
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@ -168,6 +182,7 @@ namespace dlib
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}
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Rdiag(k) = -nrm;
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}
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#endif
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}
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// ----------------------------------------------------------------------------------------
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@ -207,16 +222,6 @@ namespace dlib
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return min(abs(Rdiag)) > eps;
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}
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// ----------------------------------------------------------------------------------------
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template <typename matrix_exp_type>
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const typename qr_decomposition<matrix_exp_type>::matrix_type qr_decomposition<matrix_exp_type>::
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get_householder (
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) const
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{
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return lowerm(QR_);
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}
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// ----------------------------------------------------------------------------------------
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template <typename matrix_exp_type>
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@ -253,6 +258,17 @@ namespace dlib
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get_q(
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) const
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{
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#ifdef DLIB_USE_LAPACK
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matrix<type,0,0,mem_manager_type,column_major_layout> X;
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// Take only the first n columns of an identity matrix. This way
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// X ends up being an m by n matrix.
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X = colm(identity_matrix<type>(m), range(0,n-1));
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// Compute Y = Q*X
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lapack::ormqr('L','N', QR_, tau, X);
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return X;
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#else
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long i=0, j=0, k=0;
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matrix_type Q(m,n);
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@ -281,6 +297,7 @@ namespace dlib
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}
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}
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return Q;
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#endif
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}
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// ----------------------------------------------------------------------------------------
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@ -303,11 +320,25 @@ namespace dlib
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<< "\n\tthis: " << this
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);
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#ifdef DLIB_USE_LAPACK
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using namespace blas_bindings;
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matrix<type,0,0,mem_manager_type,column_major_layout> X(B);
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// Compute Y = transpose(Q)*B
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lapack::ormqr('L','T',QR_, tau, X);
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// Solve R*X = Y;
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triangular_solver(CblasLeft, CblasUpper, CblasNoTrans, CblasNonUnit, QR_, X, n);
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/* return n x nx portion of X */
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return subm(X,0,0,n,B.nc());
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#else
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// just call the right version of the solve function
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if (B.nc() == 1)
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return solve_vect(B);
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else
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return solve_mat(B);
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#endif
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}
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// ----------------------------------------------------------------------------------------
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@ -316,6 +347,8 @@ namespace dlib
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// ----------------------------------------------------------------------------------------
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// ----------------------------------------------------------------------------------------
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#ifndef DLIB_USE_LAPACK
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template <typename matrix_exp_type>
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template <typename EXP>
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const typename qr_decomposition<matrix_exp_type>::matrix_type qr_decomposition<matrix_exp_type>::
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@ -407,6 +440,7 @@ namespace dlib
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// ----------------------------------------------------------------------------------------
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#endif // DLIB_USE_LAPACK not defined
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}
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@ -591,6 +591,29 @@ namespace dlib
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alpha, &A(0,0), A.nr(), &B(0,0), B.nr());
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}
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// ------------------------------------------------------------------------------------
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template <
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typename T,
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long NR1, long NR2,
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long NC1, long NC2,
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typename MM
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>
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inline void triangular_solver (
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const enum CBLAS_SIDE Side,
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const enum CBLAS_UPLO Uplo,
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const enum CBLAS_TRANSPOSE TransA,
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const enum CBLAS_DIAG Diag,
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const matrix<T,NR1,NC1,MM,column_major_layout>& A,
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matrix<T,NR2,NC2,MM,column_major_layout>& B,
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long rows_of_B
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)
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{
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const T alpha = 1;
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cblas_trsm(CblasColMajor, Side, Uplo, TransA, Diag, rows_of_B, B.nc(),
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alpha, &A(0,0), A.nr(), &B(0,0), B.nr());
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}
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// ------------------------------------------------------------------------------------
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template <
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