Unverified Commit ea184312 authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

Various improvements to mjdgges MEX

parent f4a31a0d
! Wrapper around LAPACK’s dgges (generalized Schur decomposition) that gives a
! better access to error conditions than does MATLAB’s qz.
!
! Syntax:
! [ss, tt, zz, sdim, eigval, info] = mjdgges(e, d, qz_criterium, zhreshold)
!
! Inputs:
! e [double] real square (n×n) matrix
! d [double] real square (n×n) matrix
! qz_criterium [double] scalar (of the form 1+ε)
! zhreshold [double] used for detecting eigenvalues too close to 0÷0
!
! Outputs:
! ss [double] (n×n) quasi-triangular matrix
! tt [double] (n×n) quasi-triangular matrix
! zz [double] (n×n) orthogonal matrix
! sdim [integer] scalar, number of stable eigenvalues
! eigval [complex] (n×1) vector of generalized eigenvalues
! info [integer] scalar, error code of dgges (or 30 if eigenvalue close to 0÷0)
! Copyright © 2006-2020 Dynare Team
!
! This file is part of Dynare.
......@@ -44,7 +64,7 @@ subroutine mexFunction(nlhs, plhs, nrhs, prhs) bind(c, name='mexFunction')
type(c_ptr), dimension(*), intent(out) :: plhs
integer(c_int), intent(in), value :: nlhs, nrhs
integer(c_size_t) :: m1, n1, m2, n2
integer(c_size_t) :: n
real(real64) :: zhreshold
integer(blint) :: n_bl, lwork, info_bl, sdim_bl
real(real64), dimension(:), allocatable :: alpha_r, alpha_i, beta, work
......@@ -61,41 +81,41 @@ subroutine mexFunction(nlhs, plhs, nrhs, prhs) bind(c, name='mexFunction')
return
end if
m1 = mxGetM(prhs(1))
n1 = mxGetN(prhs(1))
m2 = mxGetM(prhs(2))
n2 = mxGetN(prhs(2))
n = mxGetM(prhs(1))
if (.not. mxIsDouble(prhs(1)) .or. mxIsComplex(prhs(1)) &
.or. .not. mxIsDouble(prhs(2)) .or. mxIsComplex(prhs(2)) &
.or. m1 /= n1 .or. m2 /= n1 .or. m2 /= n2) then
call mexErrMsgTxt("MJDGGES requires two square real matrices of the same dimension.")
.or. mxGetN(prhs(1)) /= n .or. mxGetM(prhs(2)) /= n .or. mxGetN(prhs(2)) /= n) then
call mexErrMsgTxt("MJDGGES: first two arguments should be real matrices of the same dimension")
return
end if
! Set criterium for stable eigenvalues
if (nrhs >= 3 .and. mxGetM(prhs(3)) > 0) then
associate (crit_arg => mxGetPr(prhs(3)))
criterium = crit_arg(1)
end associate
if (.not. (mxIsScalar(prhs(3)) .and. mxIsNumeric(prhs(3)))) then
call mexErrMsgTxt("MJDGGES: third argument (qz_criterium) should be a numeric scalar")
return
end if
criterium = mxGetScalar(prhs(3))
else
criterium = 1_real64 + 1e-6_real64
end if
! set criterium for 0/0 generalized eigenvalues */
if (nrhs == 4 .and. mxGetM(prhs(4)) > 0) then
associate (zhresh_arg => mxGetPr(prhs(4)))
zhreshold = zhresh_arg(1)
end associate
if (.not. (mxIsScalar(prhs(4)) .and. mxIsNumeric(prhs(4)))) then
call mexErrMsgTxt("MJDGGES: fourth argument (zhreshold) should be a numeric scalar")
return
end if
zhreshold = mxGetScalar(prhs(4))
else
zhreshold = 1e-6_real64
end if
plhs(1) = mxCreateDoubleMatrix(n1, n1, mxREAL)
plhs(2) = mxCreateDoubleMatrix(n1, n1, mxREAL)
plhs(3) = mxCreateDoubleMatrix(n1, n1, mxREAL)
plhs(1) = mxCreateDoubleMatrix(n, n, mxREAL)
plhs(2) = mxCreateDoubleMatrix(n, n, mxREAL)
plhs(3) = mxCreateDoubleMatrix(n, n, mxREAL)
plhs(4) = mxCreateDoubleMatrix(1_mwSize, 1_mwSize, mxREAL)
plhs(5) = mxCreateDoubleMatrix(n1, 1_mwSize, mxCOMPLEX)
plhs(5) = mxCreateDoubleMatrix(n, 1_mwSize, mxCOMPLEX)
plhs(6) = mxCreateDoubleMatrix(1_mwSize, 1_mwSize, mxREAL)
s => mxGetPr(plhs(1))
......@@ -117,7 +137,7 @@ subroutine mexFunction(nlhs, plhs, nrhs, prhs) bind(c, name='mexFunction')
t = b
end associate
n_bl = int(n1, blint)
n_bl = int(n, blint)
lwork = 16*n_bl + 16
allocate(alpha_r(n_bl), alpha_i(n_bl), beta(n_bl), bwork(n_bl), work(lwork))
......
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