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285 lines
8.8 KiB
Go
285 lines
8.8 KiB
Go
// Copyright ©2016 The gonum Authors. All rights reserved.
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// Use of this source code is governed by a BSD-style
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// license that can be found in the LICENSE file.
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package native
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import (
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"math"
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"gonum.org/v1/gonum/blas"
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"gonum.org/v1/gonum/blas/blas64"
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"gonum.org/v1/gonum/lapack"
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)
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// Dgeev computes the eigenvalues and, optionally, the left and/or right
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// eigenvectors for an n×n real nonsymmetric matrix A.
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//
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// The right eigenvector v_j of A corresponding to an eigenvalue λ_j
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// is defined by
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// A v_j = λ_j v_j,
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// and the left eigenvector u_j corresponding to an eigenvalue λ_j is defined by
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// u_j^H A = λ_j u_j^H,
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// where u_j^H is the conjugate transpose of u_j.
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//
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// On return, A will be overwritten and the left and right eigenvectors will be
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// stored, respectively, in the columns of the n×n matrices VL and VR in the
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// same order as their eigenvalues. If the j-th eigenvalue is real, then
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// u_j = VL[:,j],
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// v_j = VR[:,j],
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// and if it is not real, then j and j+1 form a complex conjugate pair and the
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// eigenvectors can be recovered as
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// u_j = VL[:,j] + i*VL[:,j+1],
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// u_{j+1} = VL[:,j] - i*VL[:,j+1],
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// v_j = VR[:,j] + i*VR[:,j+1],
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// v_{j+1} = VR[:,j] - i*VR[:,j+1],
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// where i is the imaginary unit. The computed eigenvectors are normalized to
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// have Euclidean norm equal to 1 and largest component real.
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//
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// Left eigenvectors will be computed only if jobvl == lapack.ComputeLeftEV,
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// otherwise jobvl must be lapack.None. Right eigenvectors will be computed
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// only if jobvr == lapack.ComputeRightEV, otherwise jobvr must be lapack.None.
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// For other values of jobvl and jobvr Dgeev will panic.
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//
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// wr and wi contain the real and imaginary parts, respectively, of the computed
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// eigenvalues. Complex conjugate pairs of eigenvalues appear consecutively with
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// the eigenvalue having the positive imaginary part first.
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// wr and wi must have length n, and Dgeev will panic otherwise.
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//
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// work must have length at least lwork and lwork must be at least max(1,4*n) if
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// the left or right eigenvectors are computed, and at least max(1,3*n) if no
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// eigenvectors are computed. For good performance, lwork must generally be
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// larger. On return, optimal value of lwork will be stored in work[0].
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//
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// If lwork == -1, instead of performing Dgeev, the function only calculates the
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// optimal vaule of lwork and stores it into work[0].
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//
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// On return, first is the index of the first valid eigenvalue. If first == 0,
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// all eigenvalues and eigenvectors have been computed. If first is positive,
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// Dgeev failed to compute all the eigenvalues, no eigenvectors have been
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// computed and wr[first:] and wi[first:] contain those eigenvalues which have
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// converged.
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func (impl Implementation) Dgeev(jobvl lapack.LeftEVJob, jobvr lapack.RightEVJob, n int, a []float64, lda int, wr, wi []float64, vl []float64, ldvl int, vr []float64, ldvr int, work []float64, lwork int) (first int) {
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var wantvl bool
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switch jobvl {
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default:
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panic("lapack: invalid LeftEVJob")
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case lapack.ComputeLeftEV:
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wantvl = true
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case lapack.None:
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}
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var wantvr bool
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switch jobvr {
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default:
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panic("lapack: invalid RightEVJob")
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case lapack.ComputeRightEV:
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wantvr = true
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case lapack.None:
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}
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switch {
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case n < 0:
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panic(nLT0)
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case len(work) < lwork:
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panic(shortWork)
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}
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var minwrk int
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if wantvl || wantvr {
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minwrk = max(1, 4*n)
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} else {
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minwrk = max(1, 3*n)
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}
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if lwork != -1 {
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checkMatrix(n, n, a, lda)
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if wantvl {
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checkMatrix(n, n, vl, ldvl)
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}
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if wantvr {
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checkMatrix(n, n, vr, ldvr)
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}
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switch {
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case len(wr) != n:
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panic("lapack: bad length of wr")
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case len(wi) != n:
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panic("lapack: bad length of wi")
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case lwork < minwrk:
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panic(badWork)
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}
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}
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// Quick return if possible.
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if n == 0 {
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work[0] = 1
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return 0
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}
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maxwrk := 2*n + n*impl.Ilaenv(1, "DGEHRD", " ", n, 1, n, 0)
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if wantvl || wantvr {
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maxwrk = max(maxwrk, 2*n+(n-1)*impl.Ilaenv(1, "DORGHR", " ", n, 1, n, -1))
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impl.Dhseqr(lapack.EigenvaluesAndSchur, lapack.OriginalEV, n, 0, n-1,
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nil, 1, nil, nil, nil, 1, work, -1)
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maxwrk = max(maxwrk, max(n+1, n+int(work[0])))
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side := lapack.LeftEV
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if wantvr {
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side = lapack.RightEV
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}
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impl.Dtrevc3(side, lapack.AllEVMulQ, nil, n, nil, 1, nil, 1, nil, 1,
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n, work, -1)
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maxwrk = max(maxwrk, n+int(work[0]))
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maxwrk = max(maxwrk, 4*n)
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} else {
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impl.Dhseqr(lapack.EigenvaluesOnly, lapack.None, n, 0, n-1,
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nil, 1, nil, nil, nil, 1, work, -1)
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maxwrk = max(maxwrk, max(n+1, n+int(work[0])))
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}
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maxwrk = max(maxwrk, minwrk)
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if lwork == -1 {
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work[0] = float64(maxwrk)
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return 0
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}
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// Get machine constants.
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smlnum := math.Sqrt(dlamchS) / dlamchP
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bignum := 1 / smlnum
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// Scale A if max element outside range [smlnum,bignum].
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anrm := impl.Dlange(lapack.MaxAbs, n, n, a, lda, nil)
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var scalea bool
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var cscale float64
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if 0 < anrm && anrm < smlnum {
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scalea = true
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cscale = smlnum
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} else if anrm > bignum {
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scalea = true
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cscale = bignum
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}
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if scalea {
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impl.Dlascl(lapack.General, 0, 0, anrm, cscale, n, n, a, lda)
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}
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// Balance the matrix.
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workbal := work[:n]
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ilo, ihi := impl.Dgebal(lapack.PermuteScale, n, a, lda, workbal)
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// Reduce to upper Hessenberg form.
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iwrk := 2 * n
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tau := work[n : iwrk-1]
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impl.Dgehrd(n, ilo, ihi, a, lda, tau, work[iwrk:], lwork-iwrk)
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var side lapack.EVSide
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if wantvl {
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side = lapack.LeftEV
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// Copy Householder vectors to VL.
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impl.Dlacpy(blas.Lower, n, n, a, lda, vl, ldvl)
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// Generate orthogonal matrix in VL.
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impl.Dorghr(n, ilo, ihi, vl, ldvl, tau, work[iwrk:], lwork-iwrk)
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// Perform QR iteration, accumulating Schur vectors in VL.
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iwrk = n
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first = impl.Dhseqr(lapack.EigenvaluesAndSchur, lapack.OriginalEV, n, ilo, ihi,
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a, lda, wr, wi, vl, ldvl, work[iwrk:], lwork-iwrk)
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if wantvr {
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// Want left and right eigenvectors.
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// Copy Schur vectors to VR.
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side = lapack.RightLeftEV
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impl.Dlacpy(blas.All, n, n, vl, ldvl, vr, ldvr)
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}
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} else if wantvr {
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side = lapack.RightEV
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// Copy Householder vectors to VR.
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impl.Dlacpy(blas.Lower, n, n, a, lda, vr, ldvr)
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// Generate orthogonal matrix in VR.
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impl.Dorghr(n, ilo, ihi, vr, ldvr, tau, work[iwrk:], lwork-iwrk)
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// Perform QR iteration, accumulating Schur vectors in VR.
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iwrk = n
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first = impl.Dhseqr(lapack.EigenvaluesAndSchur, lapack.OriginalEV, n, ilo, ihi,
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a, lda, wr, wi, vr, ldvr, work[iwrk:], lwork-iwrk)
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} else {
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// Compute eigenvalues only.
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iwrk = n
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first = impl.Dhseqr(lapack.EigenvaluesOnly, lapack.None, n, ilo, ihi,
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a, lda, wr, wi, nil, 1, work[iwrk:], lwork-iwrk)
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}
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if first > 0 {
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if scalea {
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// Undo scaling.
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impl.Dlascl(lapack.General, 0, 0, cscale, anrm, n-first, 1, wr[first:], 1)
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impl.Dlascl(lapack.General, 0, 0, cscale, anrm, n-first, 1, wi[first:], 1)
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impl.Dlascl(lapack.General, 0, 0, cscale, anrm, ilo, 1, wr, 1)
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impl.Dlascl(lapack.General, 0, 0, cscale, anrm, ilo, 1, wi, 1)
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}
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work[0] = float64(maxwrk)
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return first
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}
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if wantvl || wantvr {
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// Compute left and/or right eigenvectors.
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impl.Dtrevc3(side, lapack.AllEVMulQ, nil, n,
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a, lda, vl, ldvl, vr, ldvr, n, work[iwrk:], lwork-iwrk)
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}
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bi := blas64.Implementation()
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if wantvl {
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// Undo balancing of left eigenvectors.
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impl.Dgebak(lapack.PermuteScale, lapack.LeftEV, n, ilo, ihi, workbal, n, vl, ldvl)
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// Normalize left eigenvectors and make largest component real.
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for i, wii := range wi {
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if wii < 0 {
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continue
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}
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if wii == 0 {
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scl := 1 / bi.Dnrm2(n, vl[i:], ldvl)
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bi.Dscal(n, scl, vl[i:], ldvl)
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continue
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}
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scl := 1 / impl.Dlapy2(bi.Dnrm2(n, vl[i:], ldvl), bi.Dnrm2(n, vl[i+1:], ldvl))
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bi.Dscal(n, scl, vl[i:], ldvl)
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bi.Dscal(n, scl, vl[i+1:], ldvl)
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for k := 0; k < n; k++ {
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vi := vl[k*ldvl+i]
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vi1 := vl[k*ldvl+i+1]
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work[iwrk+k] = vi*vi + vi1*vi1
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}
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k := bi.Idamax(n, work[iwrk:iwrk+n], 1)
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cs, sn, _ := impl.Dlartg(vl[k*ldvl+i], vl[k*ldvl+i+1])
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bi.Drot(n, vl[i:], ldvl, vl[i+1:], ldvl, cs, sn)
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vl[k*ldvl+i+1] = 0
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}
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}
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if wantvr {
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// Undo balancing of right eigenvectors.
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impl.Dgebak(lapack.PermuteScale, lapack.RightEV, n, ilo, ihi, workbal, n, vr, ldvr)
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// Normalize right eigenvectors and make largest component real.
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for i, wii := range wi {
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if wii < 0 {
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continue
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}
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if wii == 0 {
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scl := 1 / bi.Dnrm2(n, vr[i:], ldvr)
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bi.Dscal(n, scl, vr[i:], ldvr)
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continue
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}
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scl := 1 / impl.Dlapy2(bi.Dnrm2(n, vr[i:], ldvr), bi.Dnrm2(n, vr[i+1:], ldvr))
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bi.Dscal(n, scl, vr[i:], ldvr)
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bi.Dscal(n, scl, vr[i+1:], ldvr)
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for k := 0; k < n; k++ {
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vi := vr[k*ldvr+i]
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vi1 := vr[k*ldvr+i+1]
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work[iwrk+k] = vi*vi + vi1*vi1
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}
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k := bi.Idamax(n, work[iwrk:iwrk+n], 1)
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cs, sn, _ := impl.Dlartg(vr[k*ldvr+i], vr[k*ldvr+i+1])
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bi.Drot(n, vr[i:], ldvr, vr[i+1:], ldvr, cs, sn)
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vr[k*ldvr+i+1] = 0
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}
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}
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if scalea {
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// Undo scaling.
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impl.Dlascl(lapack.General, 0, 0, cscale, anrm, n-first, 1, wr[first:], 1)
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impl.Dlascl(lapack.General, 0, 0, cscale, anrm, n-first, 1, wi[first:], 1)
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}
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work[0] = float64(maxwrk)
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return first
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}
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