// Copyright ©2015 The gonum Authors. All rights reserved. // Use of this source code is governed by a BSD-style // license that can be found in the LICENSE file. package native import ( "math" "gonum.org/v1/gonum/blas" "gonum.org/v1/gonum/blas/blas64" "gonum.org/v1/gonum/lapack" ) // Dbdsqr performs a singular value decomposition of a real n×n bidiagonal matrix. // // The SVD of the bidiagonal matrix B is // B = Q * S * P^T // where S is a diagonal matrix of singular values, Q is an orthogonal matrix of // left singular vectors, and P is an orthogonal matrix of right singular vectors. // // Q and P are only computed if requested. If left singular vectors are requested, // this routine returns U * Q instead of Q, and if right singular vectors are // requested P^T * VT is returned instead of P^T. // // Frequently Dbdsqr is used in conjunction with Dgebrd which reduces a general // matrix A into bidiagonal form. In this case, the SVD of A is // A = (U * Q) * S * (P^T * VT) // // This routine may also compute Q^T * C. // // d and e contain the elements of the bidiagonal matrix b. d must have length at // least n, and e must have length at least n-1. Dbdsqr will panic if there is // insufficient length. On exit, D contains the singular values of B in decreasing // order. // // VT is a matrix of size n×ncvt whose elements are stored in vt. The elements // of vt are modified to contain P^T * VT on exit. VT is not used if ncvt == 0. // // U is a matrix of size nru×n whose elements are stored in u. The elements // of u are modified to contain U * Q on exit. U is not used if nru == 0. // // C is a matrix of size n×ncc whose elements are stored in c. The elements // of c are modified to contain Q^T * C on exit. C is not used if ncc == 0. // // work contains temporary storage and must have length at least 4*n. Dbdsqr // will panic if there is insufficient working memory. // // Dbdsqr returns whether the decomposition was successful. // // Dbdsqr is an internal routine. It is exported for testing purposes. func (impl Implementation) Dbdsqr(uplo blas.Uplo, n, ncvt, nru, ncc int, d, e, vt []float64, ldvt int, u []float64, ldu int, c []float64, ldc int, work []float64) (ok bool) { if uplo != blas.Upper && uplo != blas.Lower { panic(badUplo) } if ncvt != 0 { checkMatrix(n, ncvt, vt, ldvt) } if nru != 0 { checkMatrix(nru, n, u, ldu) } if ncc != 0 { checkMatrix(n, ncc, c, ldc) } if len(d) < n { panic(badD) } if len(e) < n-1 { panic(badE) } if len(work) < 4*n { panic(badWork) } var info int bi := blas64.Implementation() const ( maxIter = 6 ) if n == 0 { return true } if n != 1 { // If the singular vectors do not need to be computed, use qd algorithm. if !(ncvt > 0 || nru > 0 || ncc > 0) { info = impl.Dlasq1(n, d, e, work) // If info is 2 dqds didn't finish, and so try to. if info != 2 { return info == 0 } info = 0 } nm1 := n - 1 nm12 := nm1 + nm1 nm13 := nm12 + nm1 idir := 0 eps := dlamchE unfl := dlamchS lower := uplo == blas.Lower var cs, sn, r float64 if lower { for i := 0; i < n-1; i++ { cs, sn, r = impl.Dlartg(d[i], e[i]) d[i] = r e[i] = sn * d[i+1] d[i+1] *= cs work[i] = cs work[nm1+i] = sn } if nru > 0 { impl.Dlasr(blas.Right, lapack.Variable, lapack.Forward, nru, n, work, work[n-1:], u, ldu) } if ncc > 0 { impl.Dlasr(blas.Left, lapack.Variable, lapack.Forward, n, ncc, work, work[n-1:], c, ldc) } } // Compute singular values to a relative accuracy of tol. If tol is negative // the values will be computed to an absolute accuracy of math.Abs(tol) * norm(b) tolmul := math.Max(10, math.Min(100, math.Pow(eps, -1.0/8))) tol := tolmul * eps var smax float64 for i := 0; i < n; i++ { smax = math.Max(smax, math.Abs(d[i])) } for i := 0; i < n-1; i++ { smax = math.Max(smax, math.Abs(e[i])) } var sminl float64 var thresh float64 if tol >= 0 { sminoa := math.Abs(d[0]) if sminoa != 0 { mu := sminoa for i := 1; i < n; i++ { mu = math.Abs(d[i]) * (mu / (mu + math.Abs(e[i-1]))) sminoa = math.Min(sminoa, mu) if sminoa == 0 { break } } } sminoa = sminoa / math.Sqrt(float64(n)) thresh = math.Max(tol*sminoa, float64(maxIter*n*n)*unfl) } else { thresh = math.Max(math.Abs(tol)*smax, float64(maxIter*n*n)*unfl) } // Prepare for the main iteration loop for the singular values. maxIt := maxIter * n * n iter := 0 oldl2 := -1 oldm := -1 // m points to the last element of unconverged part of matrix. m := n Outer: for m > 1 { if iter > maxIt { info = 0 for i := 0; i < n-1; i++ { if e[i] != 0 { info++ } } return info == 0 } // Find diagonal block of matrix to work on. if tol < 0 && math.Abs(d[m-1]) <= thresh { d[m-1] = 0 } smax = math.Abs(d[m-1]) smin := smax var l2 int var broke bool for l3 := 0; l3 < m-1; l3++ { l2 = m - l3 - 2 abss := math.Abs(d[l2]) abse := math.Abs(e[l2]) if tol < 0 && abss <= thresh { d[l2] = 0 } if abse <= thresh { broke = true break } smin = math.Min(smin, abss) smax = math.Max(math.Max(smax, abss), abse) } if broke { e[l2] = 0 if l2 == m-2 { // Convergence of bottom singular value, return to top. m-- continue } l2++ } else { l2 = 0 } // e[ll] through e[m-2] are nonzero, e[ll-1] is zero if l2 == m-2 { // Handle 2×2 block separately. var sinr, cosr, sinl, cosl float64 d[m-1], d[m-2], sinr, cosr, sinl, cosl = impl.Dlasv2(d[m-2], e[m-2], d[m-1]) e[m-2] = 0 if ncvt > 0 { bi.Drot(ncvt, vt[(m-2)*ldvt:], 1, vt[(m-1)*ldvt:], 1, cosr, sinr) } if nru > 0 { bi.Drot(nru, u[m-2:], ldu, u[m-1:], ldu, cosl, sinl) } if ncc > 0 { bi.Drot(ncc, c[(m-2)*ldc:], 1, c[(m-1)*ldc:], 1, cosl, sinl) } m -= 2 continue } // If working on a new submatrix, choose shift direction from larger end // diagonal element toward smaller. if l2 > oldm-1 || m-1 < oldl2 { if math.Abs(d[l2]) >= math.Abs(d[m-1]) { idir = 1 } else { idir = 2 } } // Apply convergence tests. // TODO(btracey): There is a lot of similar looking code here. See // if there is a better way to de-duplicate. if idir == 1 { // Run convergence test in forward direction. // First apply standard test to bottom of matrix. if math.Abs(e[m-2]) <= math.Abs(tol)*math.Abs(d[m-1]) || (tol < 0 && math.Abs(e[m-2]) <= thresh) { e[m-2] = 0 continue } if tol >= 0 { // If relative accuracy desired, apply convergence criterion forward. mu := math.Abs(d[l2]) sminl = mu for l3 := l2; l3 < m-1; l3++ { if math.Abs(e[l3]) <= tol*mu { e[l3] = 0 continue Outer } mu = math.Abs(d[l3+1]) * (mu / (mu + math.Abs(e[l3]))) sminl = math.Min(sminl, mu) } } } else { // Run convergence test in backward direction. // First apply standard test to top of matrix. if math.Abs(e[l2]) <= math.Abs(tol)*math.Abs(d[l2]) || (tol < 0 && math.Abs(e[l2]) <= thresh) { e[l2] = 0 continue } if tol >= 0 { // If relative accuracy desired, apply convergence criterion backward. mu := math.Abs(d[m-1]) sminl = mu for l3 := m - 2; l3 >= l2; l3-- { if math.Abs(e[l3]) <= tol*mu { e[l3] = 0 continue Outer } mu = math.Abs(d[l3]) * (mu / (mu + math.Abs(e[l3]))) sminl = math.Min(sminl, mu) } } } oldl2 = l2 oldm = m // Compute shift. First, test if shifting would ruin relative accuracy, // and if so set the shift to zero. var shift float64 if tol >= 0 && float64(n)*tol*(sminl/smax) <= math.Max(eps, (1.0/100)*tol) { shift = 0 } else { var sl2 float64 if idir == 1 { sl2 = math.Abs(d[l2]) shift, _ = impl.Dlas2(d[m-2], e[m-2], d[m-1]) } else { sl2 = math.Abs(d[m-1]) shift, _ = impl.Dlas2(d[l2], e[l2], d[l2+1]) } // Test if shift is negligible if sl2 > 0 { if (shift/sl2)*(shift/sl2) < eps { shift = 0 } } } iter += m - l2 + 1 // If no shift, do simplified QR iteration. if shift == 0 { if idir == 1 { cs := 1.0 oldcs := 1.0 var sn, r, oldsn float64 for i := l2; i < m-1; i++ { cs, sn, r = impl.Dlartg(d[i]*cs, e[i]) if i > l2 { e[i-1] = oldsn * r } oldcs, oldsn, d[i] = impl.Dlartg(oldcs*r, d[i+1]*sn) work[i-l2] = cs work[i-l2+nm1] = sn work[i-l2+nm12] = oldcs work[i-l2+nm13] = oldsn } h := d[m-1] * cs d[m-1] = h * oldcs e[m-2] = h * oldsn if ncvt > 0 { impl.Dlasr(blas.Left, lapack.Variable, lapack.Forward, m-l2, ncvt, work, work[n-1:], vt[l2*ldvt:], ldvt) } if nru > 0 { impl.Dlasr(blas.Right, lapack.Variable, lapack.Forward, nru, m-l2, work[nm12:], work[nm13:], u[l2:], ldu) } if ncc > 0 { impl.Dlasr(blas.Left, lapack.Variable, lapack.Forward, m-l2, ncc, work[nm12:], work[nm13:], c[l2*ldc:], ldc) } if math.Abs(e[m-2]) < thresh { e[m-2] = 0 } } else { cs := 1.0 oldcs := 1.0 var sn, r, oldsn float64 for i := m - 1; i >= l2+1; i-- { cs, sn, r = impl.Dlartg(d[i]*cs, e[i-1]) if i < m-1 { e[i] = oldsn * r } oldcs, oldsn, d[i] = impl.Dlartg(oldcs*r, d[i-1]*sn) work[i-l2-1] = cs work[i-l2+nm1-1] = -sn work[i-l2+nm12-1] = oldcs work[i-l2+nm13-1] = -oldsn } h := d[l2] * cs d[l2] = h * oldcs e[l2] = h * oldsn if ncvt > 0 { impl.Dlasr(blas.Left, lapack.Variable, lapack.Backward, m-l2, ncvt, work[nm12:], work[nm13:], vt[l2*ldvt:], ldvt) } if nru > 0 { impl.Dlasr(blas.Right, lapack.Variable, lapack.Backward, nru, m-l2, work, work[n-1:], u[l2:], ldu) } if ncc > 0 { impl.Dlasr(blas.Left, lapack.Variable, lapack.Backward, m-l2, ncc, work, work[n-1:], c[l2*ldc:], ldc) } if math.Abs(e[l2]) <= thresh { e[l2] = 0 } } } else { // Use nonzero shift. if idir == 1 { // Chase bulge from top to bottom. Save cosines and sines for // later singular vector updates. f := (math.Abs(d[l2]) - shift) * (math.Copysign(1, d[l2]) + shift/d[l2]) g := e[l2] var cosl, sinl float64 for i := l2; i < m-1; i++ { cosr, sinr, r := impl.Dlartg(f, g) if i > l2 { e[i-1] = r } f = cosr*d[i] + sinr*e[i] e[i] = cosr*e[i] - sinr*d[i] g = sinr * d[i+1] d[i+1] *= cosr cosl, sinl, r = impl.Dlartg(f, g) d[i] = r f = cosl*e[i] + sinl*d[i+1] d[i+1] = cosl*d[i+1] - sinl*e[i] if i < m-2 { g = sinl * e[i+1] e[i+1] = cosl * e[i+1] } work[i-l2] = cosr work[i-l2+nm1] = sinr work[i-l2+nm12] = cosl work[i-l2+nm13] = sinl } e[m-2] = f if ncvt > 0 { impl.Dlasr(blas.Left, lapack.Variable, lapack.Forward, m-l2, ncvt, work, work[n-1:], vt[l2*ldvt:], ldvt) } if nru > 0 { impl.Dlasr(blas.Right, lapack.Variable, lapack.Forward, nru, m-l2, work[nm12:], work[nm13:], u[l2:], ldu) } if ncc > 0 { impl.Dlasr(blas.Left, lapack.Variable, lapack.Forward, m-l2, ncc, work[nm12:], work[nm13:], c[l2*ldc:], ldc) } if math.Abs(e[m-2]) <= thresh { e[m-2] = 0 } } else { // Chase bulge from top to bottom. Save cosines and sines for // later singular vector updates. f := (math.Abs(d[m-1]) - shift) * (math.Copysign(1, d[m-1]) + shift/d[m-1]) g := e[m-2] for i := m - 1; i > l2; i-- { cosr, sinr, r := impl.Dlartg(f, g) if i < m-1 { e[i] = r } f = cosr*d[i] + sinr*e[i-1] e[i-1] = cosr*e[i-1] - sinr*d[i] g = sinr * d[i-1] d[i-1] *= cosr cosl, sinl, r := impl.Dlartg(f, g) d[i] = r f = cosl*e[i-1] + sinl*d[i-1] d[i-1] = cosl*d[i-1] - sinl*e[i-1] if i > l2+1 { g = sinl * e[i-2] e[i-2] *= cosl } work[i-l2-1] = cosr work[i-l2+nm1-1] = -sinr work[i-l2+nm12-1] = cosl work[i-l2+nm13-1] = -sinl } e[l2] = f if math.Abs(e[l2]) <= thresh { e[l2] = 0 } if ncvt > 0 { impl.Dlasr(blas.Left, lapack.Variable, lapack.Backward, m-l2, ncvt, work[nm12:], work[nm13:], vt[l2*ldvt:], ldvt) } if nru > 0 { impl.Dlasr(blas.Right, lapack.Variable, lapack.Backward, nru, m-l2, work, work[n-1:], u[l2:], ldu) } if ncc > 0 { impl.Dlasr(blas.Left, lapack.Variable, lapack.Backward, m-l2, ncc, work, work[n-1:], c[l2*ldc:], ldc) } } } } } // All singular values converged, make them positive. for i := 0; i < n; i++ { if d[i] < 0 { d[i] *= -1 if ncvt > 0 { bi.Dscal(ncvt, -1, vt[i*ldvt:], 1) } } } // Sort the singular values in decreasing order. for i := 0; i < n-1; i++ { isub := 0 smin := d[0] for j := 1; j < n-i; j++ { if d[j] <= smin { isub = j smin = d[j] } } if isub != n-i { // Swap singular values and vectors. d[isub] = d[n-i-1] d[n-i-1] = smin if ncvt > 0 { bi.Dswap(ncvt, vt[isub*ldvt:], 1, vt[(n-i-1)*ldvt:], 1) } if nru > 0 { bi.Dswap(nru, u[isub:], ldu, u[n-i-1:], ldu) } if ncc > 0 { bi.Dswap(ncc, c[isub*ldc:], 1, c[(n-i-1)*ldc:], 1) } } } info = 0 for i := 0; i < n-1; i++ { if e[i] != 0 { info++ } } return info == 0 }