Commit 2e65a9ab authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

Provide a better implementation of linsolve for Octave

Closes: #273
parent a400305f
......@@ -93,11 +93,6 @@ if (exist('OCTAVE_VERSION') && ~user_has_octave_forge_package('statistics')) ...
addpath([dynareroot '/missing/nanmean'])
end
% linsolve is missing in Octave
if (exist('OCTAVE_VERSION'))
addpath([dynareroot '/missing/linsolve'])
end
% Add path to MEX files
if exist('OCTAVE_VERSION')
addpath([dynareroot '../mex/octave/']);
......
function [x,c] = linsolve(A,B,opts)
% (very imperfect) Clone of Matlab's linsolve.
% Copyright (C) 2010-2011 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 <http://www.gnu.org/licenses/>.
c = [];
x = [];
if nargin == 3
if isfield(opts,'TRANSA')
A = A';
end
end
if nargout == 2
c = rcond(A);
end
x = A\B;
......@@ -2,7 +2,7 @@ ACLOCAL_AMFLAGS = -I ../../../m4
# libdynare++ must come before gensylv, k_order_perturbation, dynare_simul_
if DO_SOMETHING
SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv k_order_perturbation dynare_simul_ qzcomplex ordschur block_kalman_filter sobol local_state_space_iterations
SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv k_order_perturbation dynare_simul_ qzcomplex ordschur block_kalman_filter sobol local_state_space_iterations linsolve
if HAVE_GSL
if HAVE_MATIO
......
......@@ -132,6 +132,7 @@ AC_CONFIG_FILES([Makefile
ms_sbvar/Makefile
block_kalman_filter/Makefile
sobol/Makefile
local_state_space_iterations/Makefile])
local_state_space_iterations/Makefile
linsolve/Makefile])
AC_OUTPUT
EXEEXT = .oct
include ../mex.am
noinst_PROGRAMS = linsolve
nodist_linsolve_SOURCES = $(top_srcdir)/../../sources/linsolve/linsolve.cc
......@@ -15,7 +15,8 @@ EXTRA_DIST = \
ms-sbvar \
block_kalman_filter \
sobol \
local_state_space_iterations
local_state_space_iterations \
linsolve
clean-local:
rm -rf `find mex/sources -name *.o`
......
/*
* Oct-file for bringing MATLAB's linsolve function to Octave.
*
* The implementation is incomplete:
* - it only knows about the TRANSA, LT, UT and SYM options
* - it only works with square matrices
* - it only works on double matrices (no single precision or complex)
*
* Written by Sebastien Villemot <sebastien.villemot@ens.fr>.
*/
/*
* Copyright (C) 2012 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 <http://www.gnu.org/licenses/>.
*/
#include <octave/oct.h>
#include <octave/ov-struct.h>
DEFUN_DLD(linsolve, args, nargout, "-*- texinfo -*-\n\
@deftypefn {Loadable Function} @var{x} = linsolve (@var{a}, @var{b})\n\
@deftypefnx {Loadable Function} [ @var{x}, @var{r} ] = linsolve (@var{a}, @var{b})\n\
@deftypefnx {Loadable Function} @var{x} = linsolve (@var{a}, @var{b}, @var{options})\n\
@deftypefnx {Loadable Function} [ @var{x}, @var{r} ] = linsolve (@var{a}, @var{b}, @var{options})\n\
\n\
Solves the linear system @math{A*X = B} and returns @var{X}.\n\
\n\
Alternatively, if @var{options} is provided and has a field @code{TRANSA} equal \
to @code{true}, then it solves the system @math{A'*X = B}.\n\
\n\
\n\Also, the @code{LT} field of @var{options} (resp. the @code{UT} field) can be set \
to @code{true} to indicate that the matrix @var{a} is lower (resp. upper) \
triangular; similarly, the @code{SYM} field can be set to @code{true} to \
indicate that the matrix is symmetric.\n\
\n\
If requested, @var{r} will contain the reciprocal condition number.\n\
@end deftypefn\n\
")
{
int nargin = args.length();
octave_value_list retval;
if (nargin > 3 || nargin < 2 || nargout > 2)
{
print_usage();
return retval;
}
Matrix A = args(0).matrix_value();
Matrix B = args(1).matrix_value();
if (error_state)
return retval;
dim_vector dimA = A.dims();
dim_vector dimB = B.dims();
if (dimA(0) != dimB(0))
{
error("linsolve: must have same number of lines in A and B");
return retval;
}
if (dimA(0) != dimA(1))
{
error("linsolve: rectangular A not yet supported");
return retval;
}
MatrixType typA;
typA.mark_as_full();
bool transa = false;
if (nargin == 3)
{
octave_scalar_map opts = args(2).scalar_map_value();
if (error_state)
return retval;
octave_value tmp = opts.contents("TRANSA");
transa = tmp.is_defined() && tmp.bool_matrix_value().elem(0);
tmp = opts.contents("UT");
if (tmp.is_defined() && tmp.bool_matrix_value().elem(0))
typA.mark_as_upper_triangular();
tmp = opts.contents("LT");
if (tmp.is_defined() && tmp.bool_matrix_value().elem(0))
typA.mark_as_lower_triangular();
tmp = opts.contents("SYM");
if (tmp.is_defined() && tmp.bool_matrix_value().elem(0))
typA.mark_as_symmetric();
}
double rcond;
octave_idx_type info;
retval(0) = A.solve(typA, B, info, rcond, NULL, true, transa ? blas_trans : blas_no_trans);
if (nargout == 2)
retval(1) = rcond;
return retval;
}
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