# This file is a part of Julia. License is MIT: https://julialang.org/license # Linear algebra functions for dense matrices in column major format ## BLAS cutoff threshold constants const SCAL_CUTOFF = 2048 const DOT_CUTOFF = 128 const ASUM_CUTOFF = 32 const NRM2_CUTOFF = 32 function scale!(X::Array{T}, s::T) where T<:BlasFloat s == 0 && return fill!(X, zero(T)) s == 1 && return X if length(X) < SCAL_CUTOFF generic_scale!(X, s) else BLAS.scal!(length(X), s, X, 1) end X end scale!(s::T, X::Array{T}) where {T<:BlasFloat} = scale!(X, s) scale!(X::Array{T}, s::Number) where {T<:BlasFloat} = scale!(X, convert(T, s)) function scale!(X::Array{T}, s::Real) where T<:BlasComplex R = typeof(real(zero(T))) BLAS.scal!(2*length(X), convert(R,s), convert(Ptr{R},pointer(X)), 1) X end # Test whether a matrix is positive-definite isposdef!(A::StridedMatrix{<:BlasFloat}, UL::Symbol) = LAPACK.potrf!(char_uplo(UL), A)[2] == 0 """ isposdef!(A) -> Bool Test whether a matrix is positive definite, overwriting `A` in the process. # Example ```jldoctest julia> A = [1. 2.; 2. 50.]; julia> isposdef!(A) true julia> A 2×2 Array{Float64,2}: 1.0 2.0 2.0 6.78233 ``` """ isposdef!(A::StridedMatrix) = ishermitian(A) && isposdef!(A, :U) function isposdef(A::AbstractMatrix{T}, UL::Symbol) where T S = typeof(sqrt(one(T))) isposdef!(S == T ? copy(A) : convert(AbstractMatrix{S}, A), UL) end """ isposdef(A) -> Bool Test whether a matrix is positive definite. # Example ```jldoctest julia> A = [1 2; 2 50] 2×2 Array{Int64,2}: 1 2 2 50 julia> isposdef(A) true ``` """ function isposdef(A::AbstractMatrix{T}) where T S = typeof(sqrt(one(T))) isposdef!(S == T ? copy(A) : convert(AbstractMatrix{S}, A)) end isposdef(x::Number) = imag(x)==0 && real(x) > 0 stride1(x::Array) = 1 stride1(x::StridedVector) = stride(x, 1)::Int function norm(x::StridedVector{T}, rx::Union{UnitRange{TI},Range{TI}}) where {T<:BlasFloat,TI<:Integer} if minimum(rx) < 1 || maximum(rx) > length(x) throw(BoundsError(x, rx)) end BLAS.nrm2(length(rx), pointer(x)+(first(rx)-1)*sizeof(T), step(rx)) end vecnorm1(x::Union{Array{T},StridedVector{T}}) where {T<:BlasReal} = length(x) < ASUM_CUTOFF ? generic_vecnorm1(x) : BLAS.asum(x) vecnorm2(x::Union{Array{T},StridedVector{T}}) where {T<:BlasFloat} = length(x) < NRM2_CUTOFF ? generic_vecnorm2(x) : BLAS.nrm2(x) """ triu!(M, k::Integer) Returns the upper triangle of `M` starting from the `k`th superdiagonal, overwriting `M` in the process. # Example ```jldoctest julia> M = [1 2 3 4 5; 1 2 3 4 5; 1 2 3 4 5; 1 2 3 4 5; 1 2 3 4 5] 5×5 Array{Int64,2}: 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 julia> triu!(M, 1) 5×5 Array{Int64,2}: 0 2 3 4 5 0 0 3 4 5 0 0 0 4 5 0 0 0 0 5 0 0 0 0 0 ``` """ function triu!(M::AbstractMatrix, k::Integer) m, n = size(M) if (k > 0 && k > n) || (k < 0 && -k > m) throw(ArgumentError("requested diagonal, $k, out of bounds in matrix of size ($m,$n)")) end idx = 1 for j = 0:n-1 ii = min(max(0, j+1-k), m) for i = (idx+ii):(idx+m-1) M[i] = zero(M[i]) end idx += m end M end triu(M::Matrix, k::Integer) = triu!(copy(M), k) """ tril!(M, k::Integer) Returns the lower triangle of `M` starting from the `k`th superdiagonal, overwriting `M` in the process. # Example ```jldoctest julia> M = [1 2 3 4 5; 1 2 3 4 5; 1 2 3 4 5; 1 2 3 4 5; 1 2 3 4 5] 5×5 Array{Int64,2}: 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 julia> tril!(M, 2) 5×5 Array{Int64,2}: 1 2 3 0 0 1 2 3 4 0 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 ``` """ function tril!(M::AbstractMatrix, k::Integer) m, n = size(M) if (k > 0 && k > n) || (k < 0 && -k > m) throw(ArgumentError("requested diagonal, $k, out of bounds in matrix of size ($m,$n)")) end idx = 1 for j = 0:n-1 ii = min(max(0, j-k), m) for i = idx:(idx+ii-1) M[i] = zero(M[i]) end idx += m end M end tril(M::Matrix, k::Integer) = tril!(copy(M), k) function gradient(F::AbstractVector, h::Vector) n = length(F) T = typeof(oneunit(eltype(F))/oneunit(eltype(h))) g = similar(F, T) if n == 1 g[1] = zero(T) elseif n > 1 g[1] = (F[2] - F[1]) / (h[2] - h[1]) g[n] = (F[n] - F[n-1]) / (h[end] - h[end-1]) if n > 2 h = h[3:n] - h[1:n-2] g[2:n-1] = (F[3:n] - F[1:n-2]) ./ h end end g end function diagind(m::Integer, n::Integer, k::Integer=0) if !(-m <= k <= n) throw(ArgumentError("requested diagonal, $k, out of bounds in matrix of size ($m,$n)")) end k <= 0 ? range(1-k, m+1, min(m+k, n)) : range(k*m+1, m+1, min(m, n-k)) end """ diagind(M, k::Integer=0) A `Range` giving the indices of the `k`th diagonal of the matrix `M`. # Example ```jldoctest julia> A = [1 2 3; 4 5 6; 7 8 9] 3×3 Array{Int64,2}: 1 2 3 4 5 6 7 8 9 julia> diagind(A,-1) 2:4:6 ``` """ diagind(A::AbstractMatrix, k::Integer=0) = diagind(size(A,1), size(A,2), k) """ diag(M, k::Integer=0) The `k`th diagonal of a matrix, as a vector. Use [`diagm`](@ref) to construct a diagonal matrix. # Example ```jldoctest julia> A = [1 2 3; 4 5 6; 7 8 9] 3×3 Array{Int64,2}: 1 2 3 4 5 6 7 8 9 julia> diag(A,1) 2-element Array{Int64,1}: 2 6 ``` """ diag(A::AbstractMatrix, k::Integer=0) = A[diagind(A,k)] """ diagm(v, k::Integer=0) Construct a matrix by placing `v` on the `k`th diagonal. # Example ```jldoctest julia> diagm([1,2,3],1) 4×4 Array{Int64,2}: 0 1 0 0 0 0 2 0 0 0 0 3 0 0 0 0 ``` """ function diagm(v::AbstractVector{T}, k::Integer=0) where T n = length(v) + abs(k) A = zeros(T,n,n) A[diagind(A,k)] = v A end diagm(x::Number) = (X = Matrix{typeof(x)}(1,1); X[1,1] = x; X) function trace(A::Matrix{T}) where T n = checksquare(A) t = zero(T) for i=1:n t += A[i,i] end t end """ kron(A, B) Kronecker tensor product of two vectors or two matrices. # Example ```jldoctest julia> A = [1 2; 3 4] 2×2 Array{Int64,2}: 1 2 3 4 julia> B = [im 1; 1 -im] 2×2 Array{Complex{Int64},2}: 0+1im 1+0im 1+0im 0-1im julia> kron(A, B) 4×4 Array{Complex{Int64},2}: 0+1im 1+0im 0+2im 2+0im 1+0im 0-1im 2+0im 0-2im 0+3im 3+0im 0+4im 4+0im 3+0im 0-3im 4+0im 0-4im ``` """ function kron(a::AbstractMatrix{T}, b::AbstractMatrix{S}) where {T,S} R = Matrix{promote_op(*,T,S)}(size(a,1)*size(b,1), size(a,2)*size(b,2)) m = 1 for j = 1:size(a,2), l = 1:size(b,2), i = 1:size(a,1) aij = a[i,j] for k = 1:size(b,1) R[m] = aij*b[k,l] m += 1 end end R end kron(a::Number, b::Union{Number, AbstractVecOrMat}) = a * b kron(a::AbstractVecOrMat, b::Number) = a * b kron(a::AbstractVector, b::AbstractVector) = vec(kron(reshape(a ,length(a), 1), reshape(b, length(b), 1))) kron(a::AbstractMatrix, b::AbstractVector) = kron(a, reshape(b, length(b), 1)) kron(a::AbstractVector, b::AbstractMatrix) = kron(reshape(a, length(a), 1), b) # Matrix power (^)(A::AbstractMatrix{T}, p::Integer) where {T} = p < 0 ? Base.power_by_squaring(inv(A), -p) : Base.power_by_squaring(A, p) function (^)(A::AbstractMatrix{T}, p::Real) where T # For integer powers, use repeated squaring if isinteger(p) TT = Base.promote_op(^, eltype(A), typeof(p)) return (TT == eltype(A) ? A : copy!(similar(A, TT), A))^Integer(p) end # If possible, use diagonalization if T <: Real && issymmetric(A) return (Symmetric(A)^p) end if ishermitian(A) return (Hermitian(A)^p) end n = checksquare(A) # Quicker return if A is diagonal if isdiag(A) retmat = copy(A) for i in 1:n retmat[i, i] = retmat[i, i] ^ p end return retmat end # Otherwise, use Schur decomposition if istriu(A) # Integer part retmat = A ^ floor(p) # Real part if p - floor(p) == 0.5 # special case: A^0.5 === sqrtm(A) retmat = retmat * sqrtm(A) else retmat = retmat * powm!(UpperTriangular(float.(A)), real(p - floor(p))) end else S,Q,d = schur(complex(A)) # Integer part R = S ^ floor(p) # Real part if p - floor(p) == 0.5 # special case: A^0.5 === sqrtm(A) R = R * sqrtm(S) else R = R * powm!(UpperTriangular(float.(S)), real(p - floor(p))) end retmat = Q * R * Q' end # if A has nonpositive real eigenvalues, retmat is a nonprincipal matrix power. if isreal(retmat) return real(retmat) else return retmat end end (^)(A::AbstractMatrix, p::Number) = expm(p*logm(A)) # Matrix exponential """ expm(A) Compute the matrix exponential of `A`, defined by ```math e^A = \\sum_{n=0}^{\\infty} \\frac{A^n}{n!}. ``` For symmetric or Hermitian `A`, an eigendecomposition ([`eigfact`](@ref)) is used, otherwise the scaling and squaring algorithm (see [^H05]) is chosen. [^H05]: Nicholas J. Higham, "The squaring and scaling method for the matrix exponential revisited", SIAM Journal on Matrix Analysis and Applications, 26(4), 2005, 1179-1193. [doi:10.1137/090768539](http://dx.doi.org/10.1137/090768539) # Example ```jldoctest julia> A = eye(2, 2) 2×2 Array{Float64,2}: 1.0 0.0 0.0 1.0 julia> expm(A) 2×2 Array{Float64,2}: 2.71828 0.0 0.0 2.71828 ``` """ expm(A::StridedMatrix{<:BlasFloat}) = expm!(copy(A)) expm(A::StridedMatrix{<:Integer}) = expm!(float(A)) expm(x::Number) = exp(x) ## Destructive matrix exponential using algorithm from Higham, 2008, ## "Functions of Matrices: Theory and Computation", SIAM function expm!(A::StridedMatrix{T}) where T<:BlasFloat n = checksquare(A) if ishermitian(A) return full(expm(Hermitian(A))) end ilo, ihi, scale = LAPACK.gebal!('B', A) # modifies A nA = norm(A, 1) I = eye(T,n) ## For sufficiently small nA, use lower order Padé-Approximations if (nA <= 2.1) if nA > 0.95 C = T[17643225600.,8821612800.,2075673600.,302702400., 30270240., 2162160., 110880., 3960., 90., 1.] elseif nA > 0.25 C = T[17297280.,8648640.,1995840.,277200., 25200., 1512., 56., 1.] elseif nA > 0.015 C = T[30240.,15120.,3360., 420., 30., 1.] else C = T[120.,60.,12.,1.] end A2 = A * A P = copy(I) U = C[2] * P V = C[1] * P for k in 1:(div(size(C, 1), 2) - 1) k2 = 2 * k P *= A2 U += C[k2 + 2] * P V += C[k2 + 1] * P end U = A * U X = V + U LAPACK.gesv!(V-U, X) else s = log2(nA/5.4) # power of 2 later reversed by squaring if s > 0 si = ceil(Int,s) A /= convert(T,2^si) end CC = T[64764752532480000.,32382376266240000.,7771770303897600., 1187353796428800., 129060195264000., 10559470521600., 670442572800., 33522128640., 1323241920., 40840800., 960960., 16380., 182., 1.] A2 = A * A A4 = A2 * A2 A6 = A2 * A4 U = A * (A6 * (CC[14]*A6 + CC[12]*A4 + CC[10]*A2) + CC[8]*A6 + CC[6]*A4 + CC[4]*A2 + CC[2]*I) V = A6 * (CC[13]*A6 + CC[11]*A4 + CC[9]*A2) + CC[7]*A6 + CC[5]*A4 + CC[3]*A2 + CC[1]*I X = V + U LAPACK.gesv!(V-U, X) if s > 0 # squaring to reverse dividing by power of 2 for t=1:si; X *= X end end end # Undo the balancing for j = ilo:ihi scj = scale[j] for i = 1:n X[j,i] *= scj end for i = 1:n X[i,j] /= scj end end if ilo > 1 # apply lower permutations in reverse order for j in (ilo-1):-1:1; rcswap!(j, Int(scale[j]), X) end end if ihi < n # apply upper permutations in forward order for j in (ihi+1):n; rcswap!(j, Int(scale[j]), X) end end X end ## Swap rows i and j and columns i and j in X function rcswap!(i::Integer, j::Integer, X::StridedMatrix{<:Number}) for k = 1:size(X,1) X[k,i], X[k,j] = X[k,j], X[k,i] end for k = 1:size(X,2) X[i,k], X[j,k] = X[j,k], X[i,k] end end """ logm(A{T}::StridedMatrix{T}) If `A` has no negative real eigenvalue, compute the principal matrix logarithm of `A`, i.e. the unique matrix ``X`` such that ``e^X = A`` and ``-\\pi < Im(\\lambda) < \\pi`` for all the eigenvalues ``\\lambda`` of ``X``. If `A` has nonpositive eigenvalues, a nonprincipal matrix function is returned whenever possible. If `A` is symmetric or Hermitian, its eigendecomposition ([`eigfact`](@ref)) is used, if `A` is triangular an improved version of the inverse scaling and squaring method is employed (see [^AH12] and [^AHR13]). For general matrices, the complex Schur form ([`schur`](@ref)) is computed and the triangular algorithm is used on the triangular factor. [^AH12]: Awad H. Al-Mohy and Nicholas J. Higham, "Improved inverse scaling and squaring algorithms for the matrix logarithm", SIAM Journal on Scientific Computing, 34(4), 2012, C153-C169. [doi:10.1137/110852553](http://dx.doi.org/10.1137/110852553) [^AHR13]: Awad H. Al-Mohy, Nicholas J. Higham and Samuel D. Relton, "Computing the Fréchet derivative of the matrix logarithm and estimating the condition number", SIAM Journal on Scientific Computing, 35(4), 2013, C394-C410. [doi:10.1137/120885991](http://dx.doi.org/10.1137/120885991) # Example ```jldoctest julia> A = 2.7182818 * eye(2) 2×2 Array{Float64,2}: 2.71828 0.0 0.0 2.71828 julia> logm(A) 2×2 Symmetric{Float64,Array{Float64,2}}: 1.0 0.0 0.0 1.0 ``` """ function logm(A::StridedMatrix{T}) where T # If possible, use diagonalization if issymmetric(A) && T <: Real return logm(Symmetric(A)) end if ishermitian(A) return logm(Hermitian(A)) end # Use Schur decomposition n = checksquare(A) if istriu(A) return full(logm(UpperTriangular(complex(A)))) else if isreal(A) SchurF = schurfact(real(A)) else SchurF = schurfact(A) end if !istriu(SchurF.T) SchurS = schurfact(complex(SchurF.T)) logT = SchurS.Z * logm(UpperTriangular(SchurS.T)) * SchurS.Z' return SchurF.Z * logT * SchurF.Z' else R = logm(UpperTriangular(complex(SchurF.T))) return SchurF.Z * R * SchurF.Z' end end end function logm(a::Number) b = log(complex(a)) return imag(b) == 0 ? real(b) : b end logm(a::Complex) = log(a) """ sqrtm(A) If `A` has no negative real eigenvalues, compute the principal matrix square root of `A`, that is the unique matrix ``X`` with eigenvalues having positive real part such that ``X^2 = A``. Otherwise, a nonprincipal square root is returned. If `A` is symmetric or Hermitian, its eigendecomposition ([`eigfact`](@ref)) is used to compute the square root. Otherwise, the square root is determined by means of the Björck-Hammarling method [^BH83], which computes the complex Schur form ([`schur`](@ref)) and then the complex square root of the triangular factor. [^BH83]: Åke Björck and Sven Hammarling, "A Schur method for the square root of a matrix", Linear Algebra and its Applications, 52-53, 1983, 127-140. [doi:10.1016/0024-3795(83)80010-X](http://dx.doi.org/10.1016/0024-3795(83)80010-X) # Example ```jldoctest julia> A = [4 0; 0 4] 2×2 Array{Int64,2}: 4 0 0 4 julia> sqrtm(A) 2×2 Array{Float64,2}: 2.0 0.0 0.0 2.0 ``` """ function sqrtm(A::StridedMatrix{<:Real}) if issymmetric(A) return full(sqrtm(Symmetric(A))) end n = checksquare(A) if istriu(A) return full(sqrtm(UpperTriangular(A))) else SchurF = schurfact(complex(A)) R = full(sqrtm(UpperTriangular(SchurF[:T]))) return SchurF[:vectors] * R * SchurF[:vectors]' end end function sqrtm(A::StridedMatrix{<:Complex}) if ishermitian(A) return full(sqrtm(Hermitian(A))) end n = checksquare(A) if istriu(A) return full(sqrtm(UpperTriangular(A))) else SchurF = schurfact(A) R = full(sqrtm(UpperTriangular(SchurF[:T]))) return SchurF[:vectors] * R * SchurF[:vectors]' end end sqrtm(a::Number) = (b = sqrt(complex(a)); imag(b) == 0 ? real(b) : b) sqrtm(a::Complex) = sqrt(a) function inv(A::StridedMatrix{T}) where T checksquare(A) S = typeof((one(T)*zero(T) + one(T)*zero(T))/one(T)) AA = convert(AbstractArray{S}, A) if istriu(AA) Ai = inv(UpperTriangular(AA)) elseif istril(AA) Ai = inv(LowerTriangular(AA)) else Ai = inv(lufact(AA)) end return convert(typeof(parent(Ai)), Ai) end """ factorize(A) Compute a convenient factorization of `A`, based upon the type of the input matrix. `factorize` checks `A` to see if it is symmetric/triangular/etc. if `A` is passed as a generic matrix. `factorize` checks every element of `A` to verify/rule out each property. It will short-circuit as soon as it can rule out symmetry/triangular structure. The return value can be reused for efficient solving of multiple systems. For example: `A=factorize(A); x=A\\b; y=A\\C`. | Properties of `A` | type of factorization | |:---------------------------|:-----------------------------------------------| | Positive-definite | Cholesky (see [`cholfact`](@ref)) | | Dense Symmetric/Hermitian | Bunch-Kaufman (see [`bkfact`](@ref)) | | Sparse Symmetric/Hermitian | LDLt (see [`ldltfact`](@ref)) | | Triangular | Triangular | | Diagonal | Diagonal | | Bidiagonal | Bidiagonal | | Tridiagonal | LU (see [`lufact`](@ref)) | | Symmetric real tridiagonal | LDLt (see [`ldltfact`](@ref)) | | General square | LU (see [`lufact`](@ref)) | | General non-square | QR (see [`qrfact`](@ref)) | If `factorize` is called on a Hermitian positive-definite matrix, for instance, then `factorize` will return a Cholesky factorization. # Example ```jldoctest julia> A = Array(Bidiagonal(ones(5, 5), true)) 5×5 Array{Float64,2}: 1.0 1.0 0.0 0.0 0.0 0.0 1.0 1.0 0.0 0.0 0.0 0.0 1.0 1.0 0.0 0.0 0.0 0.0 1.0 1.0 0.0 0.0 0.0 0.0 1.0 julia> factorize(A) # factorize will check to see that A is already factorized 5×5 Bidiagonal{Float64}: 1.0 1.0 ⋅ ⋅ ⋅ ⋅ 1.0 1.0 ⋅ ⋅ ⋅ ⋅ 1.0 1.0 ⋅ ⋅ ⋅ ⋅ 1.0 1.0 ⋅ ⋅ ⋅ ⋅ 1.0 ``` This returns a `5×5 Bidiagonal{Float64}`, which can now be passed to other linear algebra functions (e.g. eigensolvers) which will use specialized methods for `Bidiagonal` types. """ function factorize(A::StridedMatrix{T}) where T m, n = size(A) if m == n if m == 1 return A[1] end utri = true utri1 = true herm = true sym = true for j = 1:n-1, i = j+1:m if utri1 if A[i,j] != 0 utri1 = i == j + 1 utri = false end end if sym sym &= A[i,j] == A[j,i] end if herm herm &= A[i,j] == conj(A[j,i]) end if !(utri1|herm|sym) break end end ltri = true ltri1 = true for j = 3:n, i = 1:j-2 ltri1 &= A[i,j] == 0 if !ltri1 break end end if ltri1 for i = 1:n-1 if A[i,i+1] != 0 ltri &= false break end end if ltri if utri return Diagonal(A) end if utri1 return Bidiagonal(diag(A), diag(A, -1), false) end return LowerTriangular(A) end if utri return Bidiagonal(diag(A), diag(A, 1), true) end if utri1 if (herm & (T <: Complex)) | sym try return ldltfact!(SymTridiagonal(diag(A), diag(A, -1))) end end return lufact(Tridiagonal(diag(A, -1), diag(A), diag(A, 1))) end end if utri return UpperTriangular(A) end if herm try return cholfact(A) end return factorize(Hermitian(A)) end if sym return factorize(Symmetric(A)) end return lufact(A) end qrfact(A, Val{true}) end ## Moore-Penrose pseudoinverse """ pinv(M[, tol::Real]) Computes the Moore-Penrose pseudoinverse. For matrices `M` with floating point elements, it is convenient to compute the pseudoinverse by inverting only singular values above a given threshold, `tol`. The optimal choice of `tol` varies both with the value of `M` and the intended application of the pseudoinverse. The default value of `tol` is `eps(real(float(one(eltype(M)))))*maximum(size(A))`, which is essentially machine epsilon for the real part of a matrix element multiplied by the larger matrix dimension. For inverting dense ill-conditioned matrices in a least-squares sense, `tol = sqrt(eps(real(float(one(eltype(M))))))` is recommended. For more information, see [^issue8859], [^B96], [^S84], [^KY88]. # Example ```jldoctest julia> M = [1.5 1.3; 1.2 1.9] 2×2 Array{Float64,2}: 1.5 1.3 1.2 1.9 julia> N = pinv(M) 2×2 Array{Float64,2}: 1.47287 -1.00775 -0.930233 1.16279 julia> M * N 2×2 Array{Float64,2}: 1.0 -2.22045e-16 4.44089e-16 1.0 ``` [^issue8859]: Issue 8859, "Fix least squares", https://github.com/JuliaLang/julia/pull/8859 [^B96]: Åke Björck, "Numerical Methods for Least Squares Problems", SIAM Press, Philadelphia, 1996, "Other Titles in Applied Mathematics", Vol. 51. [doi:10.1137/1.9781611971484](http://epubs.siam.org/doi/book/10.1137/1.9781611971484) [^S84]: G. W. Stewart, "Rank Degeneracy", SIAM Journal on Scientific and Statistical Computing, 5(2), 1984, 403-413. [doi:10.1137/0905030](http://epubs.siam.org/doi/abs/10.1137/0905030) [^KY88]: Konstantinos Konstantinides and Kung Yao, "Statistical analysis of effective singular values in matrix rank determination", IEEE Transactions on Acoustics, Speech and Signal Processing, 36(5), 1988, 757-763. [doi:10.1109/29.1585](http://dx.doi.org/10.1109/29.1585) """ function pinv(A::StridedMatrix{T}, tol::Real) where T m, n = size(A) Tout = typeof(zero(T)/sqrt(one(T) + one(T))) if m == 0 || n == 0 return Matrix{Tout}(n, m) end if istril(A) if istriu(A) maxabsA = maximum(abs.(diag(A))) B = zeros(Tout, n, m) for i = 1:min(m, n) if abs(A[i,i]) > tol*maxabsA Aii = inv(A[i,i]) if isfinite(Aii) B[i,i] = Aii end end end return B end end SVD = svdfact(A, thin=true) Stype = eltype(SVD.S) Sinv = zeros(Stype, length(SVD.S)) index = SVD.S .> tol*maximum(SVD.S) Sinv[index] = one(Stype) ./ SVD.S[index] Sinv[find(.!isfinite.(Sinv))] = zero(Stype) return SVD.Vt' * (Diagonal(Sinv) * SVD.U') end function pinv(A::StridedMatrix{T}) where T tol = eps(real(float(one(T))))*maximum(size(A)) return pinv(A, tol) end pinv(a::StridedVector) = pinv(reshape(a, length(a), 1)) function pinv(x::Number) xi = inv(x) return ifelse(isfinite(xi), xi, zero(xi)) end ## Basis for null space """ nullspace(M) Basis for nullspace of `M`. # Example ```jldoctest julia> M = [1 0 0; 0 1 0; 0 0 0] 3×3 Array{Int64,2}: 1 0 0 0 1 0 0 0 0 julia> nullspace(M) 3×1 Array{Float64,2}: 0.0 0.0 1.0 ``` """ function nullspace(A::StridedMatrix{T}) where T m, n = size(A) (m == 0 || n == 0) && return eye(T, n) SVD = svdfact(A, thin = false) indstart = sum(SVD.S .> max(m,n)*maximum(SVD.S)*eps(eltype(SVD.S))) + 1 return SVD.Vt[indstart:end,:]' end nullspace(a::StridedVector) = nullspace(reshape(a, length(a), 1)) """ cond(M, p::Real=2) Condition number of the matrix `M`, computed using the operator `p`-norm. Valid values for `p` are `1`, `2` (default), or `Inf`. """ function cond(A::AbstractMatrix, p::Real=2) if p == 2 v = svdvals(A) maxv = maximum(v) return maxv == 0.0 ? oftype(real(A[1,1]),Inf) : maxv / minimum(v) elseif p == 1 || p == Inf checksquare(A) return cond(lufact(A), p) end throw(ArgumentError("p-norm must be 1, 2 or Inf, got $p")) end ## Lyapunov and Sylvester equation # AX + XB + C = 0 """ sylvester(A, B, C) Computes the solution `X` to the Sylvester equation `AX + XB + C = 0`, where `A`, `B` and `C` have compatible dimensions and `A` and `-B` have no eigenvalues with equal real part. """ function sylvester(A::StridedMatrix{T},B::StridedMatrix{T},C::StridedMatrix{T}) where T<:BlasFloat RA, QA = schur(A) RB, QB = schur(B) D = -Ac_mul_B(QA,C*QB) Y, scale = LAPACK.trsyl!('N','N', RA, RB, D) scale!(QA*A_mul_Bc(Y,QB), inv(scale)) end sylvester(A::StridedMatrix{T}, B::StridedMatrix{T}, C::StridedMatrix{T}) where {T<:Integer} = sylvester(float(A), float(B), float(C)) sylvester(a::Union{Real,Complex}, b::Union{Real,Complex}, c::Union{Real,Complex}) = -c / (a + b) # AX + XA' + C = 0 """ lyap(A, C) Computes the solution `X` to the continuous Lyapunov equation `AX + XA' + C = 0`, where no eigenvalue of `A` has a zero real part and no two eigenvalues are negative complex conjugates of each other. """ function lyap(A::StridedMatrix{T}, C::StridedMatrix{T}) where {T<:BlasFloat} R, Q = schur(A) D = -Ac_mul_B(Q,C*Q) Y, scale = LAPACK.trsyl!('N', T <: Complex ? 'C' : 'T', R, R, D) scale!(Q*A_mul_Bc(Y,Q), inv(scale)) end lyap(A::StridedMatrix{T}, C::StridedMatrix{T}) where {T<:Integer} = lyap(float(A), float(C)) lyap(a::T, c::T) where {T<:Number} = -c/(2a)