/* Copyright (C) 1998 A. S. Hodel This file is part of Octave. Octave 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, or (at your option) any later version. Octave 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 Octave; see the file COPYING. If not, write to the Free Software Foundation, 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. */ // Generalized eigenvalue balancing via LAPACK // Written by A. S. Hodel #undef DEBUG #undef DEBUG_SORT #undef DEBUG_EIG #include "config.h" #include #include #include #include #include #include #include "CmplxQRP.h" #include "dbleQR.h" #include "defun-dld.h" #include "error.h" #include "f77-fcn.h" #include "gripes.h" #include "oct-obj.h" #include "oct-map.h" #include "ov.h" #include "pager.h" #if defined (DEBUG) || defined (DEBUG_SORT) #include "pr-output.h" #endif #include "symtab.h" #include "utils.h" #include "variables.h" typedef int (*sort_function) (const int& LSIZE, const double& ALPHA, const double& BETA, const double& S, const double& P); extern "C" { int F77_FCN (dggbal, DGGBAL) (const char* JOB, const int& N, double* A, const int& LDA, double* B, const int& LDB, int& ILO, int& IHI, double* LSCALE, double* RSCALE, double* WORK, int& INFO, long); int F77_FCN (dggbak, DGGBAK) (const char* JOB, const char* SIDE, const int& N, const int& ILO, const int& IHI, double* LSCALE, double* RSCALE, int& M, double* V, const int& LDV, int& INFO, long, long); int F77_FCN (dgghrd, DGGHRD) (const char* COMPQ, const char* COMPZ, const int& N, const int& ILO, const int& IHI, double* A, const int& LDA, double* B, const int& LDB, double* Q, const int& LDQ, double* Z, const int& LDZ, int& INFO, long, long); int F77_FCN (dhgeqz, DHGEQZ) (const char* JOB, const char* COMPQ, const char* COMPZ, const int& N, const int& ILO, const int& IHI, double* A, const int& LDA, double* B, const int& LDB, double* ALPHAR, double* ALPHAI, double* BETA, double* Q, const int& LDQ, double* Z, const int& LDZ, double* WORK, const int& LWORK, int& INFO, long, long, long); int F77_FCN (dlag2, DLAG2) (double* A, const int& LDA, double* B, const int& LDB, const double& SAFMIN, double& SCALE1, double& SCALE2, double& WR1, double& WR2, double& WI); // Van Dooren's code (netlib.org: toms/590) for reordering // GEP. Only processes Z, not Q. int F77_FCN (dsubsp, DSUBSP) (const int& NMAX, const int& N, double* A, double* B, double* Z, sort_function, const double& EPS, int& NDIM, int& FAIL, int* IND); // documentation for DTGEVC incorrectly states that VR, VL are // complex*16; they are declared in DTGEVC as double precision // (probably a cut and paste problem fro ZTGEVC) int F77_FCN (dtgevc, DTGEVC) (const char* SIDE, const char* HOWMNY, int* SELECT, const int& N, double* A, const int& LDA, double* B, const int& LDB, double* VL, const int& LDVL, double* VR, const int& LDVR, const int& MM, int& M, double* WORK, int& INFO, long, long); int F77_FCN (xdlamch, XDLAMCH) (const char* cmach, double& retval, long); int F77_FCN (xdlange, XDLANGE) (const char*, const int&, const int&, const double*, const int&, double*, double&); } // fcrhp, fin, fout, folhp: // routines for ordering of generalized eigenvalues // return 1 if test is passed, 0 otherwise // fin: |lambda| < 1 // fout: |lambda| >= 1 // fcrhp: real(lambda) >= 0 // folhp: real(lambda) < 0 static int fcrhp (const int& lsize, const double& alpha, const double& beta, const double& s, const double&) { if (lsize == 1) return (alpha*beta >= 0 ? 1 : -1); else return (s >= 0 ? 1 : -1); } static int fin (const int& lsize, const double& alpha, const double& beta, const double&, const double& p) { int retval; if (lsize == 1) retval = (fabs (alpha) < fabs (beta) ? 1 : -1); else retval = (fabs (p) < 1 ? 1 : -1); #ifdef DEBUG cout << "qz: fin: retval=" << retval << endl; #endif return retval; } static int folhp (const int& lsize, const double& alpha, const double& beta, const double& s, const double&) { if (lsize == 1) return (alpha*beta < 0 ? 1 : -1); else return (s < 0 ? 1 : -1); } static int fout (const int& lsize, const double& alpha, const double& beta, const double&, const double& p) { if (lsize == 1) return (fabs (alpha) >= fabs (beta) ? 1 : -1); else return (fabs (p) >= 1 ? 1 : -1); } DEFUN_DLD (qz, args, nargout, "Usage:\n\ lambda = qz (A, B) form [1]\n\ [AA, BB, Q, Z {, V, W, lambda}] = qz (A, B) form [2]\n\ [AA, BB, Z{, lambda}] = qz (A, B, opt) form [3]\n\ \n\ Generalized eigenvalue problem A x = s B x \n\ \n\ Form [1]: Computes the generalized eigenvalues lambda of (A - sB).\n\ \n\ Form [2]: Computes qz decomposition, generalized eigenvectors, and \n\ generalized eigenvalues of (A - sB)\n\ A V = B V diag (lambda)\n\ W' A = diag (lambda) W' B\n\ AA = Q'*A*Z, BB = Q'*B*Z with Q, Z orthogonal (unitary)= I\n\ \n\ Form [3]: As in form [2], but allows ordering of generalized eigenpairs\n\ for (e.g.) solution of discrete time algebraic Riccati equations.\n\ Form 3 is not available for complex matrices and does not compute\n\ the generalized eigenvectors V, W, nor the orthogonal matrix Q.\n\ \n\ opt: for ordering eigenvalues of the GEP pencil. The leading block\n\ of the revised pencil contains all eigenvalues that satisfy:\n\ \n\ \"N\" = unordered (default) \n\ \"S\" = small: leading block has all |lambda| <=1 \n\ \"B\" = big: leading block has all |lambda >= 1 \n\ \"-\" = negative real part: leading block has all eigenvalues\n\ in the open left half-plant\n\ \"+\" = nonnegative real part: leading block has all eigenvalues\n\ in the closed right half-plane\n\ \n\ Note: Permutation balancing is performed, but not scaling (see balance)\n\ Order of output arguments was selected for compatibility with MATLAB\n\ \n\ See also: balance, dare, eig, schur") { octave_value_list retval; int nargin = args.length (); #ifdef DEBUG cout << "qz: nargin = " << nargin << ", nargout = " << nargout << endl; #endif if (nargin < 2 || nargin > 3 || nargout > 7) { print_usage ("qz"); return retval; } else if (nargin == 3 && (nargout < 3 || nargout > 4)) { error ("qz: Illegal number of output arguments for form [3] call"); return retval; } #ifdef DEBUG cout << "qz: determine ordering option" << endl; #endif // Determine ordering option string ord_job; static double safmin; if (nargin == 2) ord_job = "N"; else if (!args(2).is_string ()) { error ("qz: argument 3 must be a string"); return retval; } else { ord_job = args(2).string_value (); if (ord_job[0] != 'N' && ord_job[0] != 'S' && ord_job[0] != 'B' && ord_job[0] != '+' && ord_job[0] != '-') { error ("qz: illegal order option"); return retval; } // overflow constant required by dlag2 F77_FCN (xdlamch, XDLAMCH) ("S", safmin, 1L); #ifdef DEBUG_EIG cout << "qz: initial value of safmin=" << setiosflags (ios::scientific) << safmin << endl; #endif // some machines (e.g., DEC alpha) get safmin = 0; // for these, use eps instead to avoid problems in dlag2 if (safmin == 0) { #ifdef DEBUG_EIG cout << "qz: DANGER WILL ROBINSON: safmin is 0!" << endl; #endif F77_FCN (xdlamch, XDLAMCH) ("E", safmin, 1L); #ifdef DEBUG_EIG cout << "qz: safmin set to " << setiosflags (ios::scientific) << safmin << endl; #endif } } #ifdef DEBUG cout << "qz: check argument 1" << endl; #endif // Argument 1: check if it's o.k. dimensioned int nn = args(0).rows (); #ifdef DEBUG cout << "argument 1 dimensions: (" << nn << "," << args(0).columns () << ")" << endl; #endif int arg_is_empty = empty_arg ("qz", nn, args(0).columns ()); if (arg_is_empty < 0) { gripe_empty_arg ("qz: parameter 1", 0); return retval; } else if (arg_is_empty > 0) { gripe_empty_arg ("qz: parameter 1; continuing", 0); return octave_value_list (2, Matrix ()); } else if (args(0).columns () != nn) { gripe_square_matrix_required ("qz"); return retval; } // Argument 1: dimensions look good; get the value Matrix aa; ComplexMatrix caa; if (args(0).is_complex_type ()) caa = args(0).complex_matrix_value (); else aa = args(0).matrix_value (); if (error_state) return retval; #ifdef DEBUG cout << "qz: check argument 2" << endl; #endif // Extract argument 2 (bb, or cbb if complex) if ((nn != args(1).columns ()) || (nn != args(1).rows ())) { gripe_nonconformant (); return retval; } Matrix bb; ComplexMatrix cbb; if (args(1).is_complex_type ()) cbb = args(1).complex_matrix_value (); else bb = args(1).matrix_value (); if (error_state) return retval; // Both matrices loaded, now let's check what kind of arithmetic: //declared static to avoid compiler warnings about long jumps, vforks. static int complex_case = (args(0).is_complex_type () || args(1).is_complex_type ()); if (nargin == 3 && complex_case) { error ("qz: cannot re-order complex qz decomposition."); return retval; } // first, declare variables used in both the real and complex case Matrix QQ(nn,nn), ZZ(nn,nn), VR(nn,nn), VL(nn,nn); RowVector alphar(nn), alphai(nn), betar(nn); ComplexMatrix CQ(nn,nn), CZ(nn,nn), CVR(nn,nn), CVL(nn,nn); int ilo, ihi, info; char compq = (nargout >= 3 ? 'V' : 'N'); char compz = (nargout >= 4 ? 'V' : 'N'); // initialize Q, Z to identity if we need either of them if (compq == 'V' || compz == 'V') for (int ii = 0; ii < nn; ii++) for (int jj = 0; jj < nn; jj++) QQ(ii,jj) = ZZ(ii,jj) = (ii == jj ? 1.0 : 0.0); // always perform permutation balancing char bal_job = 'P'; RowVector lscale(nn), rscale(nn), work(6*nn); if (complex_case) { error ("Complex case not implemented yet"); return retval; } else { #ifdef DEBUG if (compq == 'V') cout << "qz: performing balancing; QQ=" << endl << QQ << endl; #endif F77_XFCN (dggbal, DGGBAL, (&bal_job, nn, aa.fortran_vec(), nn, bb.fortran_vec(), nn, ilo, ihi, lscale.fortran_vec(), rscale.fortran_vec(), work.fortran_vec(), info, 1L)); if (f77_exception_encountered) { error ("unrecoverable error in qz (bal)"); return retval; } } // Since we just want the balancing matrices, we can use dggbal // for both the real and complex cases; // left first if (compq == 'V') { F77_XFCN (dggbak, DGGBAK, (&bal_job, "L", nn, ilo, ihi, lscale.fortran_vec(), rscale.fortran_vec(), nn, QQ.fortran_vec(), nn, info, 1L, 1L)); #ifdef DEBUG if (compq == 'V') cout << "qz: balancing done; QQ=" << endl << QQ << endl; #endif if (f77_exception_encountered) { error ("unrecoverable error in qz (bal-L)"); return retval; } } // then right if (compz == 'V') { F77_XFCN (dggbak, DGGBAK, (&bal_job, "R", nn, ilo, ihi, lscale.fortran_vec(), rscale.fortran_vec(), nn, ZZ.fortran_vec(), nn, info, 1L, 1L)); #ifdef DEBUG if (compz == 'V') cout << "qz: balancing done; ZZ=" << endl << ZZ << endl; #endif if (f77_exception_encountered) { error ("unrecoverable error in qz (bal-R)"); return retval; } } static char qz_job; qz_job = (nargout < 2 ? 'E' : 'S'); if (complex_case) { // complex case if (args(0).is_real_type ()) caa = aa; if (args(1).is_real_type ()) cbb = bb; if (compq == 'V') CQ = QQ; if (compz == 'V') CZ = ZZ; error ("complex case not done yet"); return retval; } else // real matrices case { #ifdef DEBUG cout << "qz: peforming qr decomposition of bb" << endl; #endif // compute the QR factorization of bb QR bqr (bb); #ifdef DEBUG cout << "qz: qr (bb) done; now peforming qz decomposition" << endl; #endif bb = bqr.R (); #ifdef DEBUG cout << "qz: extracted bb" << endl; #endif aa = (bqr.Q ()).transpose ()*aa; #ifdef DEBUG cout << "qz: updated aa " << endl; cout << "bqr.Q () = " << endl << bqr.Q () << endl; if (compq == 'V') cout << "QQ =" << QQ << endl; #endif if (compq == 'V') QQ = QQ*bqr.Q (); #ifdef DEBUG cout << "qz: precursors done..." << endl; #endif #ifdef DEBUG cout << "qz: compq = " << compq << ", compz = " << compz << endl; #endif // reduce to generalized hessenberg form F77_XFCN (dgghrd, DGGHRD, (&compq, &compz, nn, ilo, ihi, aa.fortran_vec(), nn, bb.fortran_vec(), nn, QQ.fortran_vec(), nn, ZZ.fortran_vec(), nn, info, 1L, 1L)); if (f77_exception_encountered) { error ("unrecoverable error in qz (dgghrd)"); return retval; } // check if just computing generalized eigenvalues or if we're // actually computing the decomposition // reduce to generalized Schur form F77_XFCN (dhgeqz, DHGEQZ, (&qz_job, &compq, &compz, nn, ilo, ihi, aa.fortran_vec(), nn, bb.fortran_vec(), nn, alphar.fortran_vec(), alphai.fortran_vec(), betar.fortran_vec(), QQ.fortran_vec(), nn, ZZ.fortran_vec(), nn, work.fortran_vec(), nn, info, 1L, 1L, 1L)); if (f77_exception_encountered) { error ("unrecoverable error in qz (dhgeqz)"); return retval; } } // order the QZ decomposition? if (ord_job[0] != 'N') { if (complex_case) { // probably not needed, but better be safe error ("qz: cannot re-order complex qz decomposition."); return retval; } else { #ifdef DEBUG_SORT cout << "qz: ordering eigenvalues: ord_job = " << ord_job[0] << endl; #endif // declared static to avoid vfork/long jump compiler complaints static sort_function sort_test; sort_test = NULL; switch (ord_job[0]) { case 'S': sort_test = &fin; break; case 'B': sort_test = &fout; break; case '+': sort_test = &fcrhp; break; case '-': sort_test = &folhp; break; default: // illegal order option (should never happen, since we // checked the options at the top). panic_impossible (); break; } int ndim, fail, ind[nn]; double inf_norm; F77_XFCN (xdlange, XDLANGE, ("I", nn, nn, aa.fortran_vec (), nn, work.fortran_vec (), inf_norm)); double eps = DBL_EPSILON*inf_norm*nn; #ifdef DEBUG_SORT cout << "qz: calling dsubsp: aa=" << endl; octave_print_internal (cout, aa, 0); cout << endl << "bb=" << endl; octave_print_internal (cout, bb, 0); if (compz == 'V') { cout << endl << "ZZ=" << endl; octave_print_internal (cout, ZZ, 0); } cout << endl; cout << "alphar = " << endl; octave_print_internal (cout, (Matrix) alphar, 0); cout << endl << "alphai = " << endl; octave_print_internal (cout, (Matrix) alphai, 0); cout << endl << "beta = " << endl; octave_print_internal (cout, (Matrix) betar, 0); cout << endl; #endif F77_XFCN (dsubsp, DSUBSP, (nn, nn, aa.fortran_vec(), bb.fortran_vec(), ZZ.fortran_vec(), sort_test, eps, ndim, fail, ind)); #ifdef DEBUG cout << "qz: back from dsubsp: aa=" << endl; octave_print_internal (cout, aa, 0); cout << endl << "bb=" << endl; octave_print_internal (cout, bb, 0); if (compz == 'V') { cout << endl << "ZZ=" << endl; octave_print_internal (cout, ZZ, 0); } cout << endl; #endif // manually update alphar, alphai, betar static int jj; jj=0; while (jj < nn) { #ifdef DEBUG_EIG cout << "computing gen eig #" << jj << endl; #endif static int zcnt; // number of zeros in this block if (jj == (nn-1)) zcnt = 1; else if (aa(jj+1,jj) == 0) zcnt = 1; else zcnt = 2; if (zcnt == 1) // real zero { #ifdef DEBUG_EIG cout << " single gen eig:" << endl; cout << " alphar(" << jj << ") = " << aa(jj,jj) << endl; cout << " betar( " << jj << ") = " << bb(jj,jj) << endl; cout << " alphai(" << jj << ") = 0" << endl; #endif alphar(jj) = aa(jj,jj); alphai(jj) = 0; betar(jj) = bb(jj,jj); } else { // complex conjugate pair #ifdef DEBUG_EIG cout << "qz: calling dlag2:" << endl; cout << "safmin=" << setiosflags (ios::scientific) << safmin << endl; for (int idr = jj; idr <= jj+1; idr++) { for (int idc = jj; idc <= jj+1; idc++) { cout << "aa(" << idr << "," << idc << ")=" << aa(idr,idc) << endl; cout << "bb(" << idr << "," << idc << ")=" << bb(idr,idc) << endl; } } #endif double scale1, scale2, wr1, wr2, wi; F77_XFCN (dlag2, DLAG2, (&aa(jj,jj), nn, &bb(jj,jj), nn, safmin, scale1, scale2, wr1, wr2, wi)); #ifdef DEBUG_EIG cout << "dlag2 returns: scale1=" << scale1 << "\tscale2=" << scale2 << endl << "\twr1=" << wr1 << "\twr2=" << wr2 << "\twi=" << wi << endl; #endif // just to be safe, check if it's a real pair if (wi == 0) { alphar(jj) = wr1; alphai(jj) = 0; betar(jj) = scale1; alphar(jj+1) = wr2; alphai(jj+1) = 0; betar(jj+1) = scale2; } else { alphar(jj) = alphar(jj+1)=wr1; alphai(jj) = -(alphai(jj+1) = wi); betar(jj) = betar(jj+1) = scale1; } } // advance past this block jj += zcnt; } #ifdef DEBUG_SORT cout << "qz: back from dsubsp: aa=" << endl; octave_print_internal (cout, aa, 0); cout << endl << "bb=" << endl; octave_print_internal (cout, bb, 0); if (compz == 'V') { cout << endl << "ZZ=" << endl; octave_print_internal (cout, ZZ, 0); } cout << endl << "qz: ndim=" << ndim << endl << "fail=" << fail << endl; cout << "alphar = " << endl; octave_print_internal (cout, (Matrix) alphar, 0); cout << endl << "alphai = " << endl; octave_print_internal (cout, (Matrix) alphai, 0); cout << endl << "beta = " << endl; octave_print_internal (cout, (Matrix) betar, 0); cout << endl; #endif } } // compute generalized eigenvalues? ComplexColumnVector gev; if (nargout < 2 || nargout == 7 || (nargin == 3 && nargout == 4)) { if (complex_case) { error ("complex case not yet implemented"); return retval; } else { #ifdef DEBUG cout << "qz: computing generalized eigenvalues" << endl; #endif // return finite generalized eigenvalues int cnt = 0; for (int ii = 0; ii < nn; ii++) if (betar(ii) != 0) cnt++; ComplexColumnVector tmp(cnt); for (int ii = 0; ii < nn; ii++) if (betar(ii) != 0) tmp(ii) = Complex(alphar(ii), alphai(ii))/betar(ii); gev = tmp; } } // right, left eigenvector matrices if (nargout >= 5) { char side = (nargout == 5 ? 'R' : 'B'); // which side to compute? char howmny = 'B'; // compute all of them and backtransform int *select = NULL; // dummy pointer; select is not used. int m; if (complex_case) { error ("complex type not yet implemented"); return retval; } else { #ifdef DEBUG cout << "qz: computing generalized eigenvectors" << endl; #endif VL = QQ; VR = ZZ; F77_XFCN (dtgevc, DTGEVC, (&side, &howmny, select, nn, aa.fortran_vec(), nn, bb.fortran_vec(), nn, VL.fortran_vec(), nn, VR.fortran_vec(), nn, nn, m, work.fortran_vec(), info, 1L, 1L)); if (f77_exception_encountered) { error ("unrecoverable error in qz (dtgevc)"); return retval; } // now construct the complex form of VV, WW int jj = 0; while (jj < nn) { // see if real or complex eigenvalue int cinc = 2; // column increment; assume complex eigenvalue if (jj == (nn-1)) cinc = 1; // single column else if (aa(jj+1,jj) == 0) cinc = 1; // now copy the eigenvector (s) to CVR, CVL if (cinc == 1) { for (int ii = 0; ii < nn; ii++) CVR(ii,jj) = VR(ii,jj); if (side == 'B') for (int ii = 0; ii < nn; ii++) CVL(ii,jj) = VL(ii,jj); } else { // double column; complex vector for (int ii = 0; ii < nn; ii++) { CVR(ii,jj) = Complex (VR(ii,jj), VR(ii,jj+1)); CVR(ii,jj+1) = Complex (VR(ii,jj), -VR(ii,jj+1)); } if (side == 'B') for (int ii = 0; ii < nn; ii++) { CVL(ii,jj) = Complex (VL(ii,jj), VL(ii,jj+1)); CVL(ii,jj+1) = Complex (VL(ii,jj), -VL(ii,jj+1)); } } // advance to next eigenvectors (if any) jj += cinc; } } } switch (nargout) { case 7: retval(6) = gev; case 6: // return eigenvectors retval(5) = CVL; case 5: // return eigenvectors retval(4) = CVR; case 4: if (nargin == 3) { #ifdef DEBUG cout << "qz: sort: retval(3) = gev = " << endl; octave_print_internal (cout, gev); cout << endl; #endif retval(3) = gev; } else retval(3) = ZZ; case 3: if (nargin == 3) retval(2) = ZZ; else retval(2) = QQ; case 2: #ifdef DEBUG cout << "qz: retval (1) = bb = " << endl; octave_print_internal (cout, bb, 0); cout << endl << "qz: retval(0) = aa = " <