/*
* Copyright (C) 2010 Dynare Team
*
* This file is part of Dynare.
*
* Dynare 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 3 of the License, or
* (at your option) any later version.
*
* Dynare 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 Dynare. If not, see .
*/
#include // For std::min()
#include
#include "Vector.hh"
#include "Matrix.hh"
#include "BlasBindings.hh"
class QRDecomposition
{
private:
const size_t rows, cols, mind;
//! Number of columns of the matrix to be left-multiplied by Q
const size_t cols2;
lapack_int lwork, lwork2;
double *work, *work2, *tau;
public:
/*!
\todo Replace heuristic choice for workspace size by a query to determine the optimal size
\param[in] rows_arg Number of rows of the matrix to decompose
\param[in] cols_arg Number of columns of the matrix to decompose
\param[in] cols2_arg Number of columns of the matrix to be multiplied by Q
*/
QRDecomposition(size_t rows_arg, size_t cols_arg, size_t cols2_arg);
virtual ~QRDecomposition();
//! Performs the QR decomposition of a matrix, and left-multiplies another matrix by Q
/*!
\param[in,out] A On input, the matrix to be decomposed. On output, equals to the output of dgeqrf
\param[in] trans Specifies whether Q should be transposed before the multiplication, either "T" or "N"
\param[in,out] C The matrix to be left-multiplied by Q, modified in place
*/
template
void computeAndLeftMultByQ(Mat1 &A, const char *trans, Mat2 &C);
};
template
void
QRDecomposition::computeAndLeftMultByQ(Mat1 &A, const char *trans, Mat2 &C)
{
assert(A.getRows() == rows && A.getCols() == cols);
assert(C.getRows() == rows && C.getCols() == cols2);
lapack_int m = rows, n = cols, lda = A.getLd();
lapack_int info;
dgeqrf(&m, &n, A.getData(), &lda, tau, work, &lwork, &info);
assert(info == 0);
n = cols2;
lapack_int k = mind, ldc = C.getLd();
dormqr("L", trans, &m, &n, &k, A.getData(), &lda, tau, C.getData(), &ldc,
work2, &lwork2, &info);
assert(info == 0);
}