# include # include # include # include # include # include # include using namespace std; # include "linpack_d.hpp" # include "blas1_d.hpp" int main ( int argc, char *argv[] ); unsigned long get_seed ( void ); double *pseudo_inverse ( int m, int n, double u[], double s[], double v[] ); void pseudo_linear_solve_test ( int m, int n, double a[], double a_pseudo[], int *seed ); void pseudo_product_test ( int m, int n, double a[], double a_pseudo[] ); int r8_nint ( double x ); double r8mat_dif_fro ( int m, int n, double a[], double b[] ); double r8mat_norm_fro ( int m, int n, double a[] ); void r8mat_print ( int m, int n, double a[], string title ); void r8mat_print_some ( int m, int n, double a[], int ilo, int jlo, int ihi, int jhi, string title ); void r8mat_svd_linpack ( int m, int n, double a[], double u[], double s[], double v[] ); double *r8mat_uniform_01_new ( int m, int n, int *seed ); double r8vec_norm_l2 ( int n, double a[] ); double *r8vec_uniform_01_new ( int n, int *seed ); void rank_one_print_test ( int m, int n, double a[], double u[], double s[], double v[] ); void rank_one_test ( int m, int n, double a[], double u[], double s[], double v[] ); int s_len_trim ( char *s ); void svd_product_test ( int m, int n, double a[], double u[], double s[], double v[] ); void timestamp ( void ); //****************************************************************************80 int main ( int argc, char *argv[] ) //****************************************************************************80 // // Purpose: // // MAIN is the main program for SVD_DEMO. // // Discussion: // // SVD_DEMO demonstrates the singular value decomposition. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 14 September 2006 // // Author: // // John Burkardt // // Usage: // // svd_demo m n // // Command Parameters: // // Command parameter, integer M, N, the number of rows and columns // of the matrix. // // Local Parameters: // // Local, double A[M*N], the matrix whose singular value // decomposition we are investigating. // // Local, double S[M*N], the diagonal factor // in the singular value decomposition of A. // // Local, int SEED, a seed used to define the random number generator. // // Output, double U[M*M], the first orthogonal factor // in the singular value decomposition of A. // // Output, double V[N*N], the second orthogonal factor // in the singular value decomposition of A. // { double *a; double *a_pseudo; int i; int j; int m; int n; double *s; int seed; char string[80]; double *u; double *v; timestamp ( ); cout << "\n"; cout << "SVD_DEMO:\n"; cout << " C++ version\n"; cout << "\n"; cout << " Compiled on " << __DATE__ << " at " << __TIME__ << ".\n"; cout << "\n"; cout << " Demonstrate the singular value decomposition (SVD)\n"; cout << "\n"; cout << " A real MxN matrix A can be factored as:\n"; cout << "\n"; cout << " A = U * S * V'\n"; cout << "\n"; cout << " where\n"; cout << "\n"; cout << " U = MxM orthogonal,\n"; cout << " S = MxN zero except for diagonal,\n"; cout << " V = NxN orthogonal.\n"; cout << "\n"; cout << " The diagonal of S contains only nonnegative numbers\n"; cout << " and these are arranged in descending order.\n"; // // If M was not on the command line, get it now. // if ( argc < 2 ) { cout << "\n"; cout << "SVD_DEMO:\n"; cout << " Please enter the value of M:\n"; cout << " (Number of rows in matrix A).\n"; cout << " (We prefer M <= 10!).\n"; cin.getline ( string, sizeof ( string ) ); } else { strcpy ( string, argv[1] ); } m = atoi ( string ); cout << "\n"; cout << " Matrix row order M = " << m << "\n"; // // If N was not on the command line, get it now. // if ( argc < 3 ) { cout << "\n"; cout << "SVD_DEMO:\n"; cout << " Please enter the value of N:\n"; cout << " (Number of columns in matrix A).\n"; cout << " (We prefer N <= 10!).\n"; cin.getline ( string, sizeof ( string ) ); } else { strcpy ( string, argv[2] ); } n = atoi ( string ); cout << " Matrix column order N = " << n << "\n"; // // If SEED was not on the command line, use GET_SEED. // if ( argc < 4 ) { seed = get_seed ( ); cout << " Random number SEED = " << seed << "\n"; cout << " (Chosen by the program.)\n"; } else { strcpy ( string, argv[3] ); seed = atoi ( string ); cout << " Random number SEED = " << seed << "\n"; cout << " (Chosen by the user.)\n"; } // // Set aside space for the arrays. // u = new double[m*m]; s = new double[m*n]; v = new double[n*n]; // // Generate the matrix. // cout << "\n"; cout << " We choose a \"random\" matrix A, with integral\n"; cout << " values between 0 and 10.\n"; a = r8mat_uniform_01_new ( m, n, &seed ); for ( j = 0; j < n; j++ ) { for ( i = 0; i < m; i++ ) { a[i+m*j] = r8_nint ( 10.0 * a[i+m*j] ); } } r8mat_print ( m, n, a, " The matrix A:\n" ); // // Get the SVD from LINPACK. // r8mat_svd_linpack ( m, n, a, u, s, v ); // // Print the SVD. // r8mat_print ( m, m, u, " The orthogonal factor U:" ); r8mat_print ( m, n, s, " The diagonal factor S:" ); r8mat_print ( n, n, v, " The orthogonal factor V:" ); // // Check that A = U * S * V'. // svd_product_test ( m, n, a, u, s, v ); // // Compute the norm of the difference between A and the successive // sums of rank one approximants. // rank_one_test ( m, n, a, u, s, v ); // // Actually print the sums of rank one approximants. // rank_one_print_test ( m, n, a, u, s, v ); // // Compute the pseudoinverse. // a_pseudo = pseudo_inverse ( m, n, u, s, v ); r8mat_print ( n, m, a_pseudo, " The pseudoinverse of A:" ); // // Test A*A+ = I+, A+*A = I+ // pseudo_product_test ( m, n, a, a_pseudo ); // // Demonstrate the use of the pseudoinverse for linear systems. // pseudo_linear_solve_test ( m, n, a, a_pseudo, &seed ); // // Free memory. // delete [] a; delete [] a_pseudo; delete [] s; delete [] u; delete [] v; // // Terminate. // cout << "\n"; cout << "SVD_DEMO:\n"; cout << " Normal end of execution.\n"; cout << "\n"; timestamp ( ); return 0; } //****************************************************************************80 unsigned long get_seed ( void ) //****************************************************************************80 // // Purpose: // // GET_SEED returns a random seed for the random number generator. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 17 September 2003 // // Author: // // John Burkardt // // Parameters: // // Output, unsigned long GET_SEED, a random seed value. // { # define UNSIGNED_LONG_MAX 4294967295UL time_t clock; int i; int hours; int minutes; int seconds; struct tm *lt; static unsigned long seed = 0; time_t tloc; // // If the internal seed is 0, generate a value based on the time. // if ( seed == 0 ) { clock = time ( &tloc ); lt = localtime ( &clock ); // // Extract HOURS. // hours = lt->tm_hour; // // In case of 24 hour clocks, shift so that HOURS is between 1 and 12. // if ( 12 < hours ) { hours = hours - 12; } // // Move HOURS to 0, 1, ..., 11 // hours = hours - 1; minutes = lt->tm_min; seconds = lt->tm_sec; seed = seconds + 60 * ( minutes + 60 * hours ); // // We want values in [1,43200], not [0,43199]. // seed = seed + 1; // // Remap SEED from [1,43200] to [1,UNSIGNED_LONG_MAX]. // seed = ( unsigned long ) ( ( ( double ) seed ) * ( ( double ) UNSIGNED_LONG_MAX ) / ( 60.0 * 60.0 * 12.0 ) ); } // // Never use a seed of 0. // if ( seed == 0 ) { seed = 1; } return seed; # undef UNSIGNED_LONG_MAX } //****************************************************************************80 double *pseudo_inverse ( int m, int n, double u[], double s[], double v[] ) //****************************************************************************80 // // Purpose: // // PSEUDO_INVERSE computes the pseudoinverse. // // Discussion: // // Given the singular value decomposition of a real MxN matrix A: // // A = U * S * V' // // where // // U is MxM orthogonal, // S is MxN, and entirely zero except for the diagonal; // V is NxN orthogonal. // // the pseudo inverse is the NxM matrix A+ with the form // // A+ = V * S+ * U' // // where // // S+ is the NxM matrix whose nonzero diagonal elements are // the inverses of the corresponding diagonal elements of S. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 14 September 2006 // // Author: // // John Burkardt // // Parameters: // // Input, int M, N, the number of rows and columns in the matrix A. // // Input, double A[M*N], the matrix whose singular value // decomposition we are investigating. // // Input, double U[M*M], S[M*N], V[N*N], the factors // that form the singular value decomposition of A. // // Output, double PSEUDO_INVERSE[N*M], the pseudo_inverse of A. // { double *a_pseudo; int i; int j; int k; double *sp; double *sput; sp = new double[n*m]; for ( j = 0; j < m; j++ ) { for ( i = 0; i < n; i++ ) { if ( i == j && s[i+i*m] != 0.0 ) { sp[i+j*n] = 1.0 / s[i+i*m]; } else { sp[i+j*n] = 0.0; } } } sput = new double[n*m]; for ( i = 0; i < n; i++ ) { for ( j = 0; j < m; j++ ) { sput[i+j*n] = 0.0; for ( k = 0; k < m; k++ ) { sput[i+j*n] = sput[i+j*n] + sp[i+k*n] * u[j+k*m]; } } } a_pseudo = new double[n*m]; for ( i = 0; i < n; i++ ) { for ( j = 0; j < m; j++ ) { a_pseudo[i+j*n] = 0.0; for ( k = 0; k < n; k++ ) { a_pseudo[i+j*n] = a_pseudo[i+j*n] + v[i+k*n] * sput[k+j*n]; } } } delete [] sp; return a_pseudo; } //****************************************************************************80 void pseudo_linear_solve_test ( int m, int n, double a[], double a_pseudo[], int *seed ) //****************************************************************************80 // // Purpose: // // PSEUDO_LINEAR_SOLVE_TEST uses the pseudoinverse for linear systems. // // Discussion: // // Given an MxN matrix A, and its pseudoinverse A+: // // "Solve" A * x = b by x = A+ * b. // // "Solve" A' * x = b by x = A+' * b. // // When the system is overdetermined, the solution minimizes the // L2 norm of the residual. // // When the system is underdetermined, the solution // is the solution of minimum L2 norm. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 15 September 2006 // // Author: // // John Burkardt // // Parameters: // // Input, int M, N, the number of rows and columns in the matrix A. // // Input, double A[M*N], the matrix whose singular value // decomposition we are investigating. // // Input, double A_PSEUDO[N*M], the pseudo_inverse of A. // // Input/output, int *SEED, a seed for the random number generator. // { double *bm; double *bn; int i; int j; double *rm; double *rn; double *xm1; double *xm2; double *xn1; double *xn2; cout << "\n"; cout << "PSEUDO_LINEAR_SOLVE_TEST\n"; // // A * x = b, b in range of A. // xn1 = r8vec_uniform_01_new ( n, seed ); for ( i = 0; i < n; i++ ) { xn1[i] = r8_nint ( 10.0 * xn1[i] ); } bm = new double[m]; for ( i = 0; i < m; i++ ) { bm[i] = 0.0; for ( j = 0; j < n; j++ ) { bm[i] = bm[i] + a[i+j*m] * xn1[j]; } } xn2 = new double[n]; for ( i = 0; i < n; i++ ) { xn2[i] = 0.0; for ( j = 0; j < m; j++ ) { xn2[i] = xn2[i] + a_pseudo[i+j*n] * bm[j]; } } rm = new double[m]; for ( i = 0; i < m; i++ ) { rm[i] = bm[i]; for ( j = 0; j < n; j++ ) { rm[i] = rm[i] - a[i+j*m] * xn2[j]; } } cout << "\n"; cout << " Given:\n"; cout << " b = A * x1\n"; cout << " so that b is in the range of A, solve\n"; cout << " A * x = b\n"; cout << " using the pseudoinverse:\n"; cout << " x2 = A+ * b.\n"; cout << "\n"; cout << " Norm of x1 = " << r8vec_norm_l2 ( n, xn1 ) << "\n"; cout << " Norm of x2 = " << r8vec_norm_l2 ( n, xn2 ) << "\n"; cout << " Norm of residual = " << r8vec_norm_l2 ( m, rm ) << "\n"; delete [] bm; delete [] rm; delete [] xn1; delete [] xn2; // // A * x = b, b not in range of A. // if ( n < m ) { cout << "\n"; cout << " For N < M, most systems A*x=b will not be\n"; cout << " exactly and uniquely solvable, except in the\n"; cout << " least squares sense.\n"; cout << "\n"; cout << " Here is an example:\n"; bm = r8vec_uniform_01_new ( m, seed ); xn2 = new double[n]; for ( i = 0; i < n; i++ ) { xn2[i] = 0.0; for ( j = 0; j < m; j++ ) { xn2[i] = xn2[i] + a_pseudo[i+j*n] * bm[j]; } } rm = new double[m]; for ( i = 0; i < m; i++ ) { rm[i] = bm[i]; for ( j = 0; j < n; j++ ) { rm[i] = rm[i] - a[i+j*m] * xn2[j]; } } cout << "\n"; cout << " Given b is NOT in the range of A, solve\n"; cout << " A * x = b\n"; cout << " using the pseudoinverse:\n"; cout << " x2 = A+ * b.\n"; cout << "\n"; cout << " Norm of x2 = " << r8vec_norm_l2 ( n, xn2 ) << "\n"; cout << " Norm of residual = " << r8vec_norm_l2 ( m, rm ) << "\n"; delete [] bm; delete [] rm; delete [] xn2; } // // A' * x = b, b is in the range of A'. // xm1 = r8vec_uniform_01_new ( m, seed ); for ( i = 0; i < m; i++ ) { xm1[i] = r8_nint ( 10.0 * xm1[i] ); } bn = new double[n]; for ( i = 0; i < n; i++ ) { bn[i] = 0.0; for ( j = 0; j < m; j++ ) { bn[i] = bn[i] + a[j+i*m] * xm1[j]; } } xm2 = new double[m]; for ( i = 0; i < m; i++ ) { xm2[i] = 0.0; for ( j = 0; j < n; j++ ) { xm2[i] = xm2[i] + a_pseudo[j+i*n] * bn[j]; } } rn = new double[n]; for ( i = 0; i < n; i++ ) { rn[i] = bn[i]; for ( j = 0; j < m; j++ ) { rn[i] = rn[i] - a[j+i*m] * xm2[j]; } } cout << "\n"; cout << " Given:\n"; cout << " b = A' * x1\n"; cout << " so that b is in the range of A', solve\n"; cout << " A' * x = b\n"; cout << " using the pseudoinverse:\n"; cout << " x2 = A+' * b.\n"; cout << "\n"; cout << " Norm of x1 = " << r8vec_norm_l2 ( m, xm1 ) << "\n"; cout << " Norm of x2 = " << r8vec_norm_l2 ( m, xm2 ) << "\n"; cout << " Norm of residual = " << r8vec_norm_l2 ( n, rn ) << "\n"; delete [] bn; delete [] rn; delete [] xm1; delete [] xm2; // // A' * x = b, b is not in the range of A'. if ( m < n ) { cout << "\n"; cout << " For M < N, most systems A'*x=b will not be\n"; cout << " exactly and uniquely solvable, except in the\n"; cout << " least squares sense.\n"; cout << "\n"; cout << " Here is an example:\n"; bn = r8vec_uniform_01_new ( n, seed ); xm2 = new double[m]; for ( i = 0; i < m; i++ ) { xm2[i] = 0.0; for ( j = 0; j < n; j++ ) { xm2[i] = xm2[i] + a_pseudo[j+i*n] * bn[j]; } } rn = new double[n]; for ( i = 0; i < n; i++ ) { rn[i] = bn[i]; for ( j = 0; j < m; j++ ) { rn[i] = rn[i] - a[j+i*m] * xm2[j]; } } cout << "\n"; cout << " Given b is NOT in the range of A', solve\n"; cout << " A' * x = b\n"; cout << " using the pseudoinverse:\n"; cout << " x2 = A+ * b.\n"; cout << "\n"; cout << " Norm of x2 = " << r8vec_norm_l2 ( m, xm2 ) << "\n"; cout << " Norm of residual = " << r8vec_norm_l2 ( n, rn ) << "\n"; delete [] bn; delete [] rn; delete [] xm2; } return; } //****************************************************************************80 void pseudo_product_test ( int m, int n, double a[], double a_pseudo[] ) //****************************************************************************80 // // Purpose: // // PSEUDO_PRODUCT_TEST examines pseudoinverse products. // // Discussion: // // Given an MxN matrix A, and its pseudoinverse A+, we must have // // A+ * A * A+ = A+ // A * A+ * A = A // ( A * A+ )' = A * A+ (MxM symmetry) // ( A+ * A )' = A+ * A (NxN symmetry) // // If M <= N, A * A+ may be "interesting" (equal to or "like" the identity), // if N <= M, A+ * A may be "interesting" (equal to or "like" the identity). // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 14 September 2006 // // Author: // // John Burkardt // // Parameters: // // Input, int M, N, the number of rows and columns in the matrix A. // // Input, double A[M*N], the matrix whose singular value // decomposition we are investigating. // // Input, double A_PSEUDO[N*M], the pseudo_inverse of A. // { double *bmm; double *bmn; double *bnm; double *bnn; double dif1; double dif2; double dif3; double dif4; int i; int j; int k; cout << "\n"; cout << "PSEUDO_PRODUCT_TEST\n"; cout << "\n"; cout << " The following relations MUST hold:\n"; cout << "\n"; cout << " A * A+ * A = A\n"; cout << " A+ * A * A+ = A+\n"; cout << " ( A * A+ ) is MxM symmetric;\n"; cout << " ( A+ * A ) is NxN symmetric\n"; // // Compute A * A+ * A. // bnn = new double[n*n]; for ( i = 0; i < n; i++ ) { for ( j = 0; j < n; j++ ) { bnn[i+j*n] = 0.0; for ( k = 0; k < m; k++ ) { bnn[i+j*n] = bnn[i+j*n] + a_pseudo[i+k*n] * a[k+j*m]; } } } bmn = new double[m*n]; for ( i = 0; i < m; i++ ) { for ( j = 0; j < n; j++ ) { bmn[i+j*m] = 0.0; for ( k = 0; k < n; k++ ) { bmn[i+j*m] = bmn[i+j*m] + a[i+k*m] * bnn[k+j*n]; } } } dif1 = r8mat_dif_fro ( m, n, a, bmn ); delete [] bmn; delete [] bnn; // // Compute A+ * A * A+. // bmm = new double[m*m]; for ( i = 0; i < m; i++ ) { for ( j = 0; j < m; j++ ) { bmm[i+j*m] = 0.0; for ( k = 0; k < n; k++ ) { bmm[i+j*m] = bmm[i+j*m] + a[i+k*m] * a_pseudo[k+j*n]; } } } bnm = new double[n*m]; for ( i = 0; i < n; i++ ) { for ( j = 0; j < m; j++ ) { bnm[i+j*n] = 0.0; for ( k = 0; k < m; k++ ) { bnm[i+j*n] = bnm[i+j*n] + a_pseudo[i+k*n] * bmm[k+j*m]; } } } dif2 = r8mat_dif_fro ( n, m, a_pseudo, bnm ); delete [] bnm; delete [] bmm; // // Compute norm of A * A+ - (A * A+)'. // bmm = new double[m*m]; for ( i = 0; i < m; i++ ) { for ( j = 0; j < m; j++ ) { bmm[i+j*m] = 0.0; for ( k = 0; k < n; k++ ) { bmm[i+j*m] = bmm[i+j*m] + a[i+k*m] * a_pseudo[k+j*n]; } } } dif3 = 0.0; for ( j = 0; j < m; j++ ) { for ( i = 0; i < m; i++ ) { dif3 = dif3 + pow ( bmm[i+j*m] - bmm[j+i*m], 2 ); } } dif3 = sqrt ( dif3 ); delete [] bmm; // // Compute norm of A+ * A - (A+ * A)' // bnn = new double[n*n]; for ( i = 0; i < n; i++ ) { for ( j = 0; j < n; j++ ) { bnn[i+j*n] = 0.0; for ( k = 0; k < m; k++ ) { bnn[i+j*n] = bnn[i+j*n] + a_pseudo[i+k*n] * a[k+j*m]; } } } dif4 = 0.0; for ( j = 0; j < n; j++ ) { for ( i = 0; i < n; i++ ) { dif4 = dif4 + pow ( bnn[i+j*n] - bnn[j+i*n], 2 ); } } dif4 = sqrt ( dif4 ); delete [] bnn; // // Report. // cout << "\n"; cout << " Here are the Frobenius norms of the errors\n"; cout << " in these relationships:\n"; cout << "\n"; cout << " A * A+ * A = A " << dif1 << "\n"; cout << " A+ * A * A+ = A+ " << dif2 << "\n"; cout << " ( A * A+ ) is MxM symmetric; " << dif3 << "\n"; cout << " ( A+ * A ) is NxN symmetric; " << dif4 << "\n"; cout << "\n"; cout << " In some cases, the matrix A * A+\n"; cout << " may be interesting (if M <= N, then\n"; cout << " it MIGHT look like the identity.)\n"; cout << "\n"; bmm = new double[m*m]; for ( i = 0; i < m; i++ ) { for ( j = 0; j < m; j++ ) { bmm[i+j*m] = 0.0; for ( k = 0; k < n; k++ ) { bmm[i+j*m] = bmm[i+j*m] + a[i+k*m] * a_pseudo[k+j*n]; } } } r8mat_print ( m, m, bmm, " A * A+:" ); delete [] bmm; cout << "\n"; cout << " In some cases, the matrix A+ * A\n"; cout << " may be interesting (if N <= M, then\n"; cout << " it MIGHT look like the identity.)\n"; cout << "\n"; bnn = new double[n*n]; for ( i = 0; i < n; i++ ) { for ( j = 0; j < n; j++ ) { bnn[i+j*n] = 0.0; for ( k = 0; k < m; k++ ) { bnn[i+j*n] = bnn[i+j*n] + a_pseudo[i+k*n] * a[k+j*m]; } } } r8mat_print ( n, n, bnn, " A+ * A" ); delete [] bnn; return; } //****************************************************************************80 int r8_nint ( double x ) //****************************************************************************80 // // Purpose: // // R8_NINT returns the nearest integer to a double precision value. // // Example: // // X R8_NINT // // 1.3 1 // 1.4 1 // 1.5 1 or 2 // 1.6 2 // 0.0 0 // -0.7 -1 // -1.1 -1 // -1.6 -2 // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 26 August 2004 // // Author: // // John Burkardt // // Parameters: // // Input, double X, the value. // // Output, int R8_NINT, the nearest integer to X. // { int s; int value; if ( x < 0.0 ) { s = -1; } else { s = 1; } value = s * ( int ) ( fabs ( x ) + 0.5 ); return value; } //****************************************************************************80 double r8mat_dif_fro ( int m, int n, double a[], double b[] ) //****************************************************************************80 // // Purpose: // // R8MAT_DIF_FRO returns the Frobenius norm of the difference of R8MAT's. // // Discussion: // // An R8MAT is a doubly dimensioned array of double precision values, which // may be stored as a vector in column-major order. // // The Frobenius norm is defined as // // R8MAT_NORM_FRO = sqrt ( // sum ( 1 <= I <= M ) sum ( 1 <= j <= N ) A(I,J)^2 ) // // The matrix Frobenius norm is not derived from a vector norm, but // is compatible with the vector L2 norm, so that: // // r8vec_norm_l2 ( A * x ) <= r8mat_norm_fro ( A ) * r8vec_norm_l2 ( x ). // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 14 September 2006 // // Author: // // John Burkardt // // Parameters: // // Input, int M, the number of rows in A. // // Input, int N, the number of columns in A. // // Input, double A[M*N], double B[M*N], the matrices for which we // want the Frobenius norm of the difference. // // Output, double R8MAT_DIF_FRO, the Frobenius norm of ( A - B ). // { int i; int j; double value; value = 0.0; for ( j = 0; j < n; j++ ) { for ( i = 0; i < m; i++ ) { value = value + pow ( a[i+j*m] - b[i+j*m], 2 ); } } value = sqrt ( value ); return value; } //****************************************************************************80 double r8mat_norm_fro ( int m, int n, double a[] ) //****************************************************************************80 // // Purpose: // // R8MAT_NORM_FRO returns the Frobenius norm of a R8MAT. // // Discussion: // // An R8MAT is a doubly dimensioned array of double precision values, which // may be stored as a vector in column-major order. // // The Frobenius norm is defined as // // R8MAT_NORM_FRO = sqrt ( // sum ( 1 <= I <= M ) sum ( 1 <= j <= N ) A(I,J)^2 ) // // The matrix Frobenius norm is not derived from a vector norm, but // is compatible with the vector L2 norm, so that: // // r8vec_norm_l2 ( A * x ) <= r8mat_norm_fro ( A ) * r8vec_norm_l2 ( x ). // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 10 October 2005 // // Author: // // John Burkardt // // Parameters: // // Input, int M, the number of rows in A. // // Input, int N, the number of columns in A. // // Input, double A[M*N], the matrix whose Frobenius // norm is desired. // // Output, double R8MAT_NORM_FRO, the Frobenius norm of A. // { int i; int j; double value; value = 0.0; for ( j = 0; j < n; j++ ) { for ( i = 0; i < m; i++ ) { value = value + pow ( a[i+j*m], 2 ); } } value = sqrt ( value ); return value; } //****************************************************************************80 void r8mat_print ( int m, int n, double a[], string title ) //****************************************************************************80 // // Purpose: // // R8MAT_PRINT prints an R8MAT. // // Discussion: // // An R8MAT is a doubly dimensioned array of R8 values, stored as a vector // in column-major order. // // Entry A(I,J) is stored as A[I+J*M] // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 10 September 2009 // // Author: // // John Burkardt // // Parameters: // // Input, int M, the number of rows in A. // // Input, int N, the number of columns in A. // // Input, double A[M*N], the M by N matrix. // // Input, string TITLE, a title. // { r8mat_print_some ( m, n, a, 1, 1, m, n, title ); return; } //****************************************************************************80 void r8mat_print_some ( int m, int n, double a[], int ilo, int jlo, int ihi, int jhi, string title ) //****************************************************************************80 // // Purpose: // // R8MAT_PRINT_SOME prints some of an R8MAT. // // Discussion: // // An R8MAT is a doubly dimensioned array of R8 values, stored as a vector // in column-major order. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 20 August 2010 // // Author: // // John Burkardt // // Parameters: // // Input, int M, the number of rows of the matrix. // M must be positive. // // Input, int N, the number of columns of the matrix. // N must be positive. // // Input, double A[M*N], the matrix. // // Input, int ILO, JLO, IHI, JHI, designate the first row and // column, and the last row and column to be printed. // // Input, string TITLE, a title. // { # define INCX 5 int i; int i2hi; int i2lo; int j; int j2hi; int j2lo; cout << "\n"; cout << title << "\n"; if ( m <= 0 || n <= 0 ) { cout << "\n"; cout << " (None)\n"; return; } // // Print the columns of the matrix, in strips of 5. // for ( j2lo = jlo; j2lo <= jhi; j2lo = j2lo + INCX ) { j2hi = j2lo + INCX - 1; j2hi = i4_min ( j2hi, n ); j2hi = i4_min ( j2hi, jhi ); cout << "\n"; // // For each column J in the current range... // // Write the header. // cout << " Col: "; for ( j = j2lo; j <= j2hi; j++ ) { cout << setw(7) << j - 1 << " "; } cout << "\n"; cout << " Row\n"; cout << "\n"; // // Determine the range of the rows in this strip. // i2lo = i4_max ( ilo, 1 ); i2hi = i4_min ( ihi, m ); for ( i = i2lo; i <= i2hi; i++ ) { // // Print out (up to) 5 entries in row I, that lie in the current strip. // cout << setw(5) << i - 1 << ": "; for ( j = j2lo; j <= j2hi; j++ ) { cout << setw(12) << a[i-1+(j-1)*m] << " "; } cout << "\n"; } } return; # undef INCX } //****************************************************************************80 void r8mat_svd_linpack ( int m, int n, double a[], double u[], double s[], double v[] ) //****************************************************************************80 // // Purpose: // // R8MAT_SVD_LINPACK gets the SVD of a matrix using a call to LINPACK. // // Discussion: // // The singular value decomposition of a real MxN matrix A has the form: // // A = U * S * V' // // where // // U is MxM orthogonal, // S is MxN, and entirely zero except for the diagonal; // V is NxN orthogonal. // // Moreover, the nonzero entries of S are positive, and appear // in order, from largest magnitude to smallest. // // This routine calls the LINPACK routine DSVDC to compute the // factorization. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 14 September 2006 // // Author: // // John Burkardt // // Parameters: // // Input, int M, N, the number of rows and columns in the matrix A. // // Input, double A[M*N], the matrix whose singular value // decomposition we are investigating. // // Output, double U[M*M], S[M*N], V[N*N], the factors // that form the singular value decomposition of A. // { double *a_copy; double *e; int i; int info; int j; int lda; int ldu; int ldv; int job; int lwork; double *sdiag; double *work; // // The correct size of E and SDIAG is min ( m+1, n). // a_copy = new double[m*n]; e = new double[m+n]; sdiag = new double[m+n]; work = new double[m]; // // Compute the eigenvalues and eigenvectors. // job = 11; lda = m; ldu = m; ldv = n; // // The input matrix is destroyed by the routine. Since we need to keep // it around, we only pass a copy to the routine. // for ( j = 0; j < n; j++ ) { for ( i = 0; i < m; i++ ) { a_copy[i+j*m] = a[i+j*m]; } } info = dsvdc ( a_copy, lda, m, n, sdiag, e, u, ldu, v, ldv, work, job ); if ( info != 0 ) { cout << "\n"; cout << "R8MAT_SVD_LINPACK - Failure!\n"; cout << " The SVD could not be calculated.\n"; cout << " LINPACK routine DSVDC returned a nonzero\n"; cout << " value of the error flag, INFO = " << info << "\n"; return; } // // Make the MxN matrix S from the diagonal values in SDIAG. // for ( j = 0; j < n; j++ ) { for ( i = 0; i < m; i++ ) { if ( i == j ) { s[i+j*m] = sdiag[i]; } else { s[i+j*m] = 0.0; } } } // // Note that we do NOT need to transpose the V that comes out of LINPACK! // delete [] a_copy; delete [] e; delete [] sdiag; delete [] work; return; } //****************************************************************************80 double *r8mat_uniform_01_new ( int m, int n, int *seed ) //****************************************************************************80 // // Purpose: // // R8MAT_UNIFORM_01_NEW returns a unit pseudorandom R8MAT. // // Discussion: // // This routine implements the recursion // // seed = 16807 * seed mod ( 2^31 - 1 ) // unif = seed / ( 2^31 - 1 ) // // The integer arithmetic never requires more than 32 bits, // including a sign bit. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 03 October 2005 // // Author: // // John Burkardt // // Reference: // // Paul Bratley, Bennett Fox, Linus Schrage, // A Guide to Simulation, // Springer Verlag, pages 201-202, 1983. // // Bennett Fox, // Algorithm 647: // Implementation and Relative Efficiency of Quasirandom // Sequence Generators, // ACM Transactions on Mathematical Software, // Volume 12, Number 4, pages 362-376, 1986. // // Peter Lewis, Allen Goodman, James Miller, // A Pseudo-Random Number Generator for the System/360, // IBM Systems Journal, // Volume 8, pages 136-143, 1969. // // Parameters: // // Input, int M, N, the number of rows and columns. // // Input/output, int *SEED, the "seed" value. Normally, this // value should not be 0. On output, SEED has // been updated. // // Output, double R8MAT_UNIFORM_01_NEW[M*N], a matrix of pseudorandom values. // { int i; int j; int k; double *r; r = new double[m*n]; for ( j = 0; j < n; j++ ) { for ( i = 0; i < m; i++ ) { k = *seed / 127773; *seed = 16807 * ( *seed - k * 127773 ) - k * 2836; if ( *seed < 0 ) { *seed = *seed + 2147483647; } r[i+j*m] = ( double ) ( *seed ) * 4.656612875E-10; } } return r; } //****************************************************************************80 double r8vec_norm_l2 ( int n, double a[] ) //****************************************************************************80 // // Purpose: // // R8VEC_NORM_L2 returns the L2 norm of an R8VEC. // // Discussion: // // The vector L2 norm is defined as: // // R8VEC_NORM_L2 = sqrt ( sum ( 1 <= I <= N ) A(I)**2 ). // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 01 March 2003 // // Author: // // John Burkardt // // Parameters: // // Input, int N, the number of entries in A. // // Input, double A[N], the vector whose L2 norm is desired. // // Output, double R8VEC_NORM_L2, the L2 norm of A. // { int i; double v; v = 0.0; for ( i = 0; i < n; i++ ) { v = v + a[i] * a[i]; } v = sqrt ( v ); return v; } //****************************************************************************80 double *r8vec_uniform_01_new ( int n, int *seed ) //****************************************************************************80 // // Purpose: // // R8VEC_UNIFORM_01_NEW returns a unit pseudorandom R8VEC. // // Discussion: // // This routine implements the recursion // // seed = 16807 * seed mod ( 2^31 - 1 ) // unif = seed / ( 2^31 - 1 ) // // The integer arithmetic never requires more than 32 bits, // including a sign bit. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 19 August 2004 // // Author: // // John Burkardt // // Reference: // // Paul Bratley, Bennett Fox, Linus Schrage, // A Guide to Simulation, // Springer Verlag, pages 201-202, 1983. // // Bennett Fox, // Algorithm 647: // Implementation and Relative Efficiency of Quasirandom // Sequence Generators, // ACM Transactions on Mathematical Software, // Volume 12, Number 4, pages 362-376, 1986. // // Peter Lewis, Allen Goodman, James Miller, // A Pseudo-Random Number Generator for the System/360, // IBM Systems Journal, // Volume 8, pages 136-143, 1969. // // Parameters: // // Input, int N, the number of entries in the vector. // // Input/output, int *SEED, a seed for the random number generator. // // Output, double R8VEC_UNIFORM_01_NEW[N], the vector of pseudorandom values. // { int i; int k; double *r; r = new double[n]; for ( i = 0; i < n; i++ ) { k = *seed / 127773; *seed = 16807 * ( *seed - k * 127773 ) - k * 2836; if ( *seed < 0 ) { *seed = *seed + 2147483647; } r[i] = ( double ) ( *seed ) * 4.656612875E-10; } return r; } //****************************************************************************80 void rank_one_print_test ( int m, int n, double a[], double u[], double s[], double v[] ) //****************************************************************************80 // // Purpose: // // RANK_ONE_PRINT_TEST prints the sums of rank one matrices. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 14 September 2006 // // Author: // // John Burkardt // // Parameters: // // Input, int M, N, the number of rows and columns in the matrix A. // // Input, double A[M*N], the matrix whose singular value // decomposition we are investigating. // // Input, double U[M*M], S[M*N], V[N*N], the factors // that form the singular value decomposition of A. // { double a_norm; double dif_norm; int i; int j; int k; int r; double *svt; char title[100]; double *usvt; a_norm = r8mat_norm_fro ( m, n, a ); cout << "\n"; cout << "RANK_ONE_PRINT_TEST:\n"; cout << " Print the sums of R rank one matrices.\n"; for ( r = 0; r <= i4_min ( m, n ); r++ ) { svt = new double[r*n]; for ( i = 0; i < r; i++ ) { for ( j = 0; j < n; j++ ) { svt[i+j*r] = 0.0; for ( k = 0; k < r; k++ ) { svt[i+j*r] = svt[i+j*r] + s[i+k*m] * v[j+k*n]; } } } usvt = new double[m*n]; for ( i = 0; i < m; i++ ) { for ( j = 0; j < n; j++ ) { usvt[i+j*m] = 0.0; for ( k = 0; k < r; k++ ) { usvt[i+j*m] = usvt[i+j*m] + u[i+k*m] * svt[k+j*r]; } } } sprintf ( title, " Rank R = %d", r ); r8mat_print ( m, n, usvt, title ); delete [] svt; delete [] usvt; } r8mat_print ( m, n, a, " Original matrix A:" ); return; } //****************************************************************************80 void rank_one_test ( int m, int n, double a[], double u[], double s[], double v[] ) //****************************************************************************80 // // Purpose: // // RANK_ONE_TEST compares A to the sum of rank one matrices. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 14 September 2006 // // Author: // // John Burkardt // // Parameters: // // Input, int M, N, the number of rows and columns in the matrix A. // // Input, double A[M*N], the matrix whose singular value // decomposition we are investigating. // // Input, double U[M*M], S[M*N], V[N*N], the factors // that form the singular value decomposition of A. // { double a_norm; double dif_norm; int i; int j; int k; int r; double *svt; double *usvt; a_norm = r8mat_norm_fro ( m, n, a ); cout << "\n"; cout << "RANK_ONE_TEST:\n"; cout << " Compare A to the sum of R rank one matrices.\n"; cout << "\n"; cout << " R Absolute Relative\n"; cout << " Error Error\n"; cout << "\n"; for ( r = 0; r <= i4_min ( m, n ); r++ ) { svt = new double[r*n]; for ( i = 0; i < r; i++ ) { for ( j = 0; j < n; j++ ) { svt[i+j*r] = 0.0; for ( k = 0; k < r; k++ ) { svt[i+j*r] = svt[i+j*r] + s[i+k*m] * v[j+k*n]; } } } usvt = new double[m*n]; for ( i = 0; i < m; i++ ) { for ( j = 0; j < n; j++ ) { usvt[i+j*m] = 0.0; for ( k = 0; k < r; k++ ) { usvt[i+j*m] = usvt[i+j*m] + u[i+k*m] * svt[k+j*r]; } } } dif_norm = r8mat_dif_fro ( m, n, a, usvt ); cout << " " << setw(8) << r << " " << setw(14) << dif_norm << " " << setw(14) << dif_norm / a_norm << "\n"; delete [] svt; delete [] usvt; } return; } //****************************************************************************80 int s_len_trim ( char *s ) //****************************************************************************80 // // Purpose: // // S_LEN_TRIM returns the length of a string to the last nonblank. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 26 April 2003 // // Author: // // John Burkardt // // Parameters: // // Input, char *S, a pointer to a string. // // Output, int S_LEN_TRIM, the length of the string to the last nonblank. // If S_LEN_TRIM is 0, then the string is entirely blank. // { int n; char *t; n = strlen ( s ); t = s + strlen ( s ) - 1; while ( 0 < n ) { if ( *t != ' ' ) { return n; } t--; n--; } return n; } //****************************************************************************80 void svd_product_test ( int m, int n, double a[], double u[], double s[], double v[] ) //****************************************************************************80 // // Purpose: // // SVD_PRODUCT_TEST tests that A = U * S * V'. // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 14 September 2006 // // Author: // // John Burkardt // // Parameters: // // Input, int M, N, the number of rows and columns in the matrix A. // // Input, double A[M*N], the matrix whose singular value // decomposition we are investigating. // // Input, double U[M*M], S[M*N], V[N*N], the factors // that form the singular value decomposition of A. // { double a_norm; double dif_norm; int i; int j; int k; double *svt; double *usvt; a_norm = r8mat_norm_fro ( m, n, a ); svt = new double[m*n]; for ( i = 0; i < m; i++ ) { for ( j = 0; j < n; j++ ) { svt[i+j*m] = 0.0; for ( k = 0; k < n; k++ ) { svt[i+j*m] = svt[i+j*m] + s[i+k*m] * v[j+k*n]; } } } usvt = new double[m*n]; for ( i = 0; i < m; i++ ) { for ( j = 0; j < n; j++ ) { usvt[i+j*m] = 0.0; for ( k = 0; k < m; k++ ) { usvt[i+j*m] = usvt[i+j*m] + u[i+k*m] * svt[k+j*m]; } } } r8mat_print ( m, n, usvt, " The product U * S * V':" ); dif_norm = r8mat_dif_fro ( m, n, a, usvt ); cout << "\n"; cout << " Frobenius Norm of A, A_NORM = " << a_norm << "\n"; cout << "\n"; cout << " ABSOLUTE ERROR for A = U*S*V'\n"; cout << " Frobenius norm of difference A-U*S*V' = " << dif_norm << "\n"; cout << "\n"; cout << " RELATIVE ERROR for A = U*S*V':\n"; cout << " Ratio of DIF_NORM / A_NORM = " << dif_norm / a_norm << "\n"; delete [] svt; delete [] usvt; return; } //****************************************************************************80 void timestamp ( void ) //****************************************************************************80 // // Purpose: // // TIMESTAMP prints the current YMDHMS date as a time stamp. // // Example: // // May 31 2001 09:45:54 AM // // Licensing: // // This code is distributed under the GNU LGPL license. // // Modified: // // 03 October 2003 // // Author: // // John Burkardt // // Parameters: // // None // { # define TIME_SIZE 40 static char time_buffer[TIME_SIZE]; const struct tm *tm; size_t len; time_t now; now = time ( NULL ); tm = localtime ( &now ); len = strftime ( time_buffer, TIME_SIZE, "%d %B %Y %I:%M:%S %p", tm ); cout << time_buffer << "\n"; return; # undef TIME_SIZE }