Add LQ factorization to cgo and tests

Responded to PR comments

cgo/lapack.go

@@ -77,6 +77,60 @@ func (impl Implementation) Dpotrf(ul blas.Uplo, n int, a []float64, lda int) (ok
 	return clapack.Dpotrf(ul, n, a, lda)
 }
 
+// Dgelq2 computes the LQ factorization of the m×n matrix A.
+//
+// In an LQ factorization, L is a lower triangular m×n matrix, and Q is an n×n
+// orthornormal matrix.
+//
+// a is modified to contain the information to construct L and Q.
+// The lower triangle of a contains the matrix L. The upper triangular elements
+// (not including the diagonal) contain the elementary reflectors. Tau is modified
+// to contain the reflector scales. tau must have length of at least k = min(m,n)
+// and this function will panic otherwise.
+//
+// See Dgeqr2 for a description of the elementary reflectors and orthonormal
+// matrix Q. Q is constructed as a product of these elementary reflectors,
+// Q = H_k ... H_2*H_1.
+//
+// Work is temporary storage of length at least m and this function will panic otherwise.
+func (impl Implementation) Dgelq2(m, n int, a []float64, lda int, tau, work []float64) {
+	checkMatrix(m, n, a, lda)
+	if len(tau) < min(m, n) {
+		panic(badTau)
+	}
+	if len(work) < m {
+		panic(badWork)
+	}
+	clapack.Dgelq2(m, n, a, lda, tau)
+}
+
+// Dgelqf computes the LQ factorization of the m×n matrix A using a blocked
+// algorithm. See the documentation for Dgelq2 for a description of the
+// parameters at entry and exit.
+//
+// The C interface does not support providing temporary storage. To provide compatibility
+// with native, lwork == -1 will not run Dgeqrf but will instead write the minimum
+// work necessary to work[0]. If len(work) < lwork, Dgeqrf will panic.
+//
+// tau must have length at least min(m,n), and this function will panic otherwise.
+func (impl Implementation) Dgelqf(m, n int, a []float64, lda int, tau, work []float64, lwork int) {
+	if lwork == -1 {
+		work[0] = float64(m)
+		return
+	}
+	checkMatrix(m, n, a, lda)
+	if len(work) < lwork {
+		panic(shortWork)
+	}
+	if lwork < m {
+		panic(badWork)
+	}
+	if len(tau) < min(m, n) {
+		panic(badTau)
+	}
+	clapack.Dgelqf(m, n, a, lda, tau)
+}
+
 // Dgeqr2 computes a QR factorization of the m×n matrix A.
 //
 // In a QR factorization, Q is an m×m orthonormal matrix, and R is an
@@ -100,9 +154,6 @@ func (impl Implementation) Dpotrf(ul blas.Uplo, n int, a []float64, lda int) (ok
 //
 // Work is temporary storage of length at least n and this function will panic otherwise.
 func (impl Implementation) Dgeqr2(m, n int, a []float64, lda int, tau, work []float64) {
-	// TODO(btracey): This is oriented such that columns of a are eliminated.
-	// This likely could be re-arranged to take better advantage of row-major
-	// storage.
 	checkMatrix(m, n, a, lda)
 	if len(work) < n {
 		panic(badWork)
@@ -120,7 +171,7 @@ func (impl Implementation) Dgeqr2(m, n int, a []float64, lda int, tau, work []fl
 //
 // The C interface does not support providing temporary storage. To provide compatibility
 // with native, lwork == -1 will not run Dgeqrf but will instead write the minimum
-// work necessary to work[0]. If len(work) < lwork, Dgels will panic.
+// work necessary to work[0]. If len(work) < lwork, Dgeqrf will panic.
 //
 // tau must have length at least min(m,n), and this function will panic otherwise.
 func (impl Implementation) Dgeqrf(m, n int, a []float64, lda int, tau, work []float64, lwork int) {

cgo/lapack_test.go

@@ -16,6 +16,14 @@ func TestDpotrf(t *testing.T) {
 	testlapack.DpotrfTest(t, impl)
 }
 
+func TestDgelq2(t *testing.T) {
+	testlapack.Dgelq2Test(t, impl)
+}
+
+func TestDgelqf(t *testing.T) {
+	testlapack.DgelqfTest(t, impl)
+}
+
 func TestDgeqr2(t *testing.T) {
 	testlapack.Dgeqr2Test(t, impl)
 }

lapack.go

@@ -23,6 +23,7 @@ type Complex128 interface{}
 
 // Float64 defines the public float64 LAPACK API supported by gonum/lapack.
 type Float64 interface {
+	Dgelqf(m, n int, a []float64, lda int, tau, work []float64, lwork int)
 	Dgeqrf(m, n int, a []float64, lda int, tau, work []float64, lwork int)
 	Dpotrf(ul blas.Uplo, n int, a []float64, lda int) (ok bool)
 }

lapack64/lapack64.go

@@ -67,9 +67,29 @@ func Potrf(a blas64.Symmetric) (t blas64.Triangular, ok bool) {
 //
 // Work is temporary storage, and lwork specifies the usable memory length.
 // At minimum, lwork >= m and this function will panic otherwise.
-// Dgeqrf is a blocked LQ factorization, but the block size is limited
+// Dgeqrf is a blocked QR factorization, but the block size is limited
-// by the temporary space available. If lwork == -1, instead of performing Dgelqf,
+// by the temporary space available. If lwork == -1, instead of performing Geqrf,
 // the optimal work length will be stored into work[0].
 func Geqrf(a blas64.General, tau, work []float64, lwork int) {
 	lapack64.Dgeqrf(a.Rows, a.Cols, a.Data, a.Stride, tau, work, lwork)
 }
+
+// Gelqf computes the QR factorization of the m×n matrix A using a blocked
+// algorithm. A is modified to contain the information to construct L and Q.
+// The lower triangle of a contains the matrix L. The lower triangular elements
+// (not including the diagonal) contain the elementary reflectors. Tau is modified
+// to contain the reflector scales. Tau must have length at least min(m,n), and
+// this function will panic otherwise.
+//
+// See Geqrf for a description of the elementary reflectors and orthonormal
+// matrix Q. Q is constructed as a product of these elementary reflectors,
+// Q = H_k ... H_2*H_1.
+//
+// Work is temporary storage, and lwork specifies the usable memory length.
+// At minimum, lwork >= m and this function will panic otherwise.
+// Dgeqrf is a blocked LQ factorization, but the block size is limited
+// by the temporary space available. If lwork == -1, instead of performing Gelqf,
+// the optimal work length will be stored into work[0].
+func Gelqf(a blas64.General, tau, work []float64, lwork int) {
+	lapack64.Dgelqf(a.Rows, a.Cols, a.Data, a.Stride, tau, work, lwork)
+}

native/dgelq2.go

@@ -6,9 +6,12 @@ package native
 
 import "github.com/gonum/blas"
 
-// Dgelq2 computes the LQ factorization of the m×n matrix a.
+// Dgelq2 computes the LQ factorization of the m×n matrix A.
 //
-// During Dgelq2, a is modified to contain the information to construct Q and L.
+// In an LQ factorization, L is a lower triangular m×n matrix, and Q is an n×n
+// orthornormal matrix.
+//
+// a is modified to contain the information to construct L and Q.
 // The lower triangle of a contains the matrix L. The upper triangular elements
 // (not including the diagonal) contain the elementary reflectors. Tau is modified
 // to contain the reflector scales. Tau must have length of at least k = min(m,n)

native/dgelqf.go

@@ -9,7 +9,7 @@ import (
 	"github.com/gonum/lapack"
 )
 
-// Dgelqf computes the LQ factorization of the m×n matrix a using a blocked
+// Dgelqf computes the LQ factorization of the m×n matrix A using a blocked
 // algorithm. Please see the documentation for Dgelq2 for a description of the
 // parameters at entry and exit.
 //

testlapack/dgelqf.go

@@ -69,7 +69,7 @@ func DgelqfTest(t *testing.T, impl Dgelqfer) {
 		impl.Dgelq2(m, n, ans, lda, tau, work)
 		// Compute blocked QR with small work.
 		impl.Dgelqf(m, n, a, lda, tau, work, len(work))
-		if !floats.EqualApprox(ans, a, 1e-14) {
+		if !floats.EqualApprox(ans, a, 1e-12) {
 			t.Errorf("Case %v, mismatch small work.", c)
 		}
 		// Try the full length of work.
@@ -83,6 +83,9 @@ func DgelqfTest(t *testing.T, impl Dgelqfer) {
 		}
 
 		// Try a slightly smaller version of work to test blocking code.
+		if len(work) <= m {
+			continue
+		}
 		work = work[1:]
 		lwork--
 		copy(a, aCopy)

testlapack/dgetrs.go

@@ -20,19 +20,19 @@ func DgetrsTest(t *testing.T, impl Dgetrser) {
 			n, nrhs, lda, ldb int
 			tol               float64
 		}{
-			{3, 3, 0, 0, 1e-14},
+			{3, 3, 0, 0, 1e-12},
-			{3, 3, 0, 0, 1e-14},
+			{3, 3, 0, 0, 1e-12},
-			{3, 5, 0, 0, 1e-14},
+			{3, 5, 0, 0, 1e-12},
-			{3, 5, 0, 0, 1e-14},
+			{3, 5, 0, 0, 1e-12},
-			{5, 3, 0, 0, 1e-14},
+			{5, 3, 0, 0, 1e-12},
-			{5, 3, 0, 0, 1e-14},
+			{5, 3, 0, 0, 1e-12},
 
-			{3, 3, 8, 10, 1e-14},
+			{3, 3, 8, 10, 1e-12},
-			{3, 3, 8, 10, 1e-14},
+			{3, 3, 8, 10, 1e-12},
-			{3, 5, 8, 10, 1e-14},
+			{3, 5, 8, 10, 1e-12},
-			{3, 5, 8, 10, 1e-14},
+			{3, 5, 8, 10, 1e-12},
-			{5, 3, 8, 10, 1e-14},
+			{5, 3, 8, 10, 1e-12},
-			{5, 3, 8, 10, 1e-14},
+			{5, 3, 8, 10, 1e-12},
 
 			{300, 300, 0, 0, 1e-10},
 			{300, 300, 0, 0, 1e-10},
@@ -45,7 +45,7 @@ func DgetrsTest(t *testing.T, impl Dgetrser) {
 			{300, 300, 700, 600, 1e-10},
 			{300, 500, 700, 600, 1e-10},
 			{300, 500, 700, 600, 1e-10},
-			{500, 300, 700, 600, 1e-10},
+			{500, 300, 700, 600, 1e-8},
 			{500, 300, 700, 600, 1e-10},
 		} {
 			n := test.n