// 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 mat import ( "math" "gonum.org/v1/gonum/blas" "gonum.org/v1/gonum/blas/blas64" ) var ( symDense *SymDense _ Matrix = symDense _ allMatrix = symDense _ denseMatrix = symDense _ Symmetric = symDense _ RawSymmetricer = symDense _ MutableSymmetric = symDense ) const ( badSymTriangle = "mat: blas64.Symmetric not upper" badSymCap = "mat: bad capacity for SymDense" ) // SymDense is a symmetric matrix that uses dense storage. SymDense // matrices are stored in the upper triangle. type SymDense struct { mat blas64.Symmetric cap int } // Symmetric represents a symmetric matrix (where the element at {i, j} equals // the element at {j, i}). Symmetric matrices are always square. type Symmetric interface { Matrix // Symmetric returns the number of rows/columns in the matrix. Symmetric() int } // A RawSymmetricer can return a view of itself as a BLAS Symmetric matrix. type RawSymmetricer interface { RawSymmetric() blas64.Symmetric } // A MutableSymmetric can set elements of a symmetric matrix. type MutableSymmetric interface { Symmetric SetSym(i, j int, v float64) } // NewSymDense creates a new Symmetric matrix with n rows and columns. If data == nil, // a new slice is allocated for the backing slice. If len(data) == n*n, data is // used as the backing slice, and changes to the elements of the returned SymDense // will be reflected in data. If neither of these is true, NewSymDense will panic. // NewSymDense will panic if n is zero. // // The data must be arranged in row-major order, i.e. the (i*c + j)-th // element in the data slice is the {i, j}-th element in the matrix. // Only the values in the upper triangular portion of the matrix are used. func NewSymDense(n int, data []float64) *SymDense { if n <= 0 { if n == 0 { panic(ErrZeroLength) } panic("mat: negative dimension") } if data != nil && n*n != len(data) { panic(ErrShape) } if data == nil { data = make([]float64, n*n) } return &SymDense{ mat: blas64.Symmetric{ N: n, Stride: n, Data: data, Uplo: blas.Upper, }, cap: n, } } // Dims returns the number of rows and columns in the matrix. func (s *SymDense) Dims() (r, c int) { return s.mat.N, s.mat.N } // Caps returns the number of rows and columns in the backing matrix. func (s *SymDense) Caps() (r, c int) { return s.cap, s.cap } // T returns the receiver, the transpose of a symmetric matrix. func (s *SymDense) T() Matrix { return s } // Symmetric implements the Symmetric interface and returns the number of rows // and columns in the matrix. func (s *SymDense) Symmetric() int { return s.mat.N } // RawSymmetric returns the matrix as a blas64.Symmetric. The returned // value must be stored in upper triangular format. func (s *SymDense) RawSymmetric() blas64.Symmetric { return s.mat } // SetRawSymmetric sets the underlying blas64.Symmetric used by the receiver. // Changes to elements in the receiver following the call will be reflected // in the input. // // The supplied Symmetric must use blas.Upper storage format. func (s *SymDense) SetRawSymmetric(mat blas64.Symmetric) { if mat.Uplo != blas.Upper { panic(badSymTriangle) } s.cap = mat.N s.mat = mat } // Reset empties the matrix so that it can be reused as the // receiver of a dimensionally restricted operation. // // Reset should not be used when the matrix shares backing data. // See the Reseter interface for more information. func (s *SymDense) Reset() { // N and Stride must be zeroed in unison. s.mat.N, s.mat.Stride = 0, 0 s.mat.Data = s.mat.Data[:0] } // ReuseAsSym changes the receiver if it IsEmpty() to be of size n×n. // // ReuseAsSym re-uses the backing data slice if it has sufficient capacity, // otherwise a new slice is allocated. The backing data is zero on return. // // ReuseAsSym panics if the receiver is not empty, and panics if // the input size is less than one. To empty the receiver for re-use, // Reset should be used. func (s *SymDense) ReuseAsSym(n int) { if n <= 0 { if n == 0 { panic(ErrZeroLength) } panic(ErrNegativeDimension) } if !s.IsEmpty() { panic(ErrReuseNonEmpty) } s.reuseAsZeroed(n) } // Zero sets all of the matrix elements to zero. func (s *SymDense) Zero() { for i := 0; i < s.mat.N; i++ { zero(s.mat.Data[i*s.mat.Stride+i : i*s.mat.Stride+s.mat.N]) } } // IsEmpty returns whether the receiver is empty. Empty matrices can be the // receiver for size-restricted operations. The receiver can be emptied using // Reset. func (s *SymDense) IsEmpty() bool { // It must be the case that m.Dims() returns // zeros in this case. See comment in Reset(). return s.mat.N == 0 } // reuseAsNonZeroed resizes an empty matrix to a n×n matrix, // or checks that a non-empty matrix is n×n. func (s *SymDense) reuseAsNonZeroed(n int) { // reuseAsNonZeroed must be kept in sync with reuseAsZeroed. if n == 0 { panic(ErrZeroLength) } if s.mat.N > s.cap { panic(badSymCap) } if s.IsEmpty() { s.mat = blas64.Symmetric{ N: n, Stride: n, Data: use(s.mat.Data, n*n), Uplo: blas.Upper, } s.cap = n return } if s.mat.Uplo != blas.Upper { panic(badSymTriangle) } if s.mat.N != n { panic(ErrShape) } } // reuseAsNonZeroed resizes an empty matrix to a n×n matrix, // or checks that a non-empty matrix is n×n. It then zeros the // elements of the matrix. func (s *SymDense) reuseAsZeroed(n int) { // reuseAsZeroed must be kept in sync with reuseAsNonZeroed. if n == 0 { panic(ErrZeroLength) } if s.mat.N > s.cap { panic(badSymCap) } if s.IsEmpty() { s.mat = blas64.Symmetric{ N: n, Stride: n, Data: useZeroed(s.mat.Data, n*n), Uplo: blas.Upper, } s.cap = n return } if s.mat.Uplo != blas.Upper { panic(badSymTriangle) } if s.mat.N != n { panic(ErrShape) } s.Zero() } func (s *SymDense) isolatedWorkspace(a Symmetric) (w *SymDense, restore func()) { n := a.Symmetric() if n == 0 { panic(ErrZeroLength) } w = getWorkspaceSym(n, false) return w, func() { s.CopySym(w) putWorkspaceSym(w) } } // DiagView returns the diagonal as a matrix backed by the original data. func (s *SymDense) DiagView() Diagonal { n := s.mat.N return &DiagDense{ mat: blas64.Vector{ N: n, Inc: s.mat.Stride + 1, Data: s.mat.Data[:(n-1)*s.mat.Stride+n], }, } } func (s *SymDense) AddSym(a, b Symmetric) { n := a.Symmetric() if n != b.Symmetric() { panic(ErrShape) } s.reuseAsNonZeroed(n) if a, ok := a.(RawSymmetricer); ok { if b, ok := b.(RawSymmetricer); ok { amat, bmat := a.RawSymmetric(), b.RawSymmetric() if s != a { s.checkOverlap(generalFromSymmetric(amat)) } if s != b { s.checkOverlap(generalFromSymmetric(bmat)) } for i := 0; i < n; i++ { btmp := bmat.Data[i*bmat.Stride+i : i*bmat.Stride+n] stmp := s.mat.Data[i*s.mat.Stride+i : i*s.mat.Stride+n] for j, v := range amat.Data[i*amat.Stride+i : i*amat.Stride+n] { stmp[j] = v + btmp[j] } } return } } s.checkOverlapMatrix(a) s.checkOverlapMatrix(b) for i := 0; i < n; i++ { stmp := s.mat.Data[i*s.mat.Stride : i*s.mat.Stride+n] for j := i; j < n; j++ { stmp[j] = a.At(i, j) + b.At(i, j) } } } func (s *SymDense) CopySym(a Symmetric) int { n := a.Symmetric() n = min(n, s.mat.N) if n == 0 { return 0 } switch a := a.(type) { case RawSymmetricer: amat := a.RawSymmetric() if amat.Uplo != blas.Upper { panic(badSymTriangle) } for i := 0; i < n; i++ { copy(s.mat.Data[i*s.mat.Stride+i:i*s.mat.Stride+n], amat.Data[i*amat.Stride+i:i*amat.Stride+n]) } default: for i := 0; i < n; i++ { stmp := s.mat.Data[i*s.mat.Stride : i*s.mat.Stride+n] for j := i; j < n; j++ { stmp[j] = a.At(i, j) } } } return n } // SymRankOne performs a symmetric rank-one update to the matrix a with x, // which is treated as a column vector, and stores the result in the receiver // s = a + alpha * x * xᵀ func (s *SymDense) SymRankOne(a Symmetric, alpha float64, x Vector) { n := x.Len() if a.Symmetric() != n { panic(ErrShape) } s.reuseAsNonZeroed(n) if s != a { if rs, ok := a.(RawSymmetricer); ok { s.checkOverlap(generalFromSymmetric(rs.RawSymmetric())) } s.CopySym(a) } xU, _ := untransposeExtract(x) if rv, ok := xU.(*VecDense); ok { r, c := xU.Dims() xmat := rv.mat s.checkOverlap(generalFromVector(xmat, r, c)) blas64.Syr(alpha, xmat, s.mat) return } for i := 0; i < n; i++ { for j := i; j < n; j++ { s.set(i, j, s.at(i, j)+alpha*x.AtVec(i)*x.AtVec(j)) } } } // SymRankK performs a symmetric rank-k update to the matrix a and stores the // result into the receiver. If a is zero, see SymOuterK. // s = a + alpha * x * x' func (s *SymDense) SymRankK(a Symmetric, alpha float64, x Matrix) { n := a.Symmetric() r, _ := x.Dims() if r != n { panic(ErrShape) } xMat, aTrans := untransposeExtract(x) var g blas64.General if rm, ok := xMat.(*Dense); ok { g = rm.mat } else { g = DenseCopyOf(x).mat aTrans = false } if a != s { if rs, ok := a.(RawSymmetricer); ok { s.checkOverlap(generalFromSymmetric(rs.RawSymmetric())) } s.reuseAsNonZeroed(n) s.CopySym(a) } t := blas.NoTrans if aTrans { t = blas.Trans } blas64.Syrk(t, alpha, g, 1, s.mat) } // SymOuterK calculates the outer product of x with itself and stores // the result into the receiver. It is equivalent to the matrix // multiplication // s = alpha * x * x'. // In order to update an existing matrix, see SymRankOne. func (s *SymDense) SymOuterK(alpha float64, x Matrix) { n, _ := x.Dims() switch { case s.IsEmpty(): s.mat = blas64.Symmetric{ N: n, Stride: n, Data: useZeroed(s.mat.Data, n*n), Uplo: blas.Upper, } s.cap = n s.SymRankK(s, alpha, x) case s.mat.Uplo != blas.Upper: panic(badSymTriangle) case s.mat.N == n: if s == x { w := getWorkspaceSym(n, true) w.SymRankK(w, alpha, x) s.CopySym(w) putWorkspaceSym(w) } else { switch r := x.(type) { case RawMatrixer: s.checkOverlap(r.RawMatrix()) case RawSymmetricer: s.checkOverlap(generalFromSymmetric(r.RawSymmetric())) case RawTriangular: s.checkOverlap(generalFromTriangular(r.RawTriangular())) } // Only zero the upper triangle. for i := 0; i < n; i++ { ri := i * s.mat.Stride zero(s.mat.Data[ri+i : ri+n]) } s.SymRankK(s, alpha, x) } default: panic(ErrShape) } } // RankTwo performs a symmetric rank-two update to the matrix a with the // vectors x and y, which are treated as column vectors, and stores the // result in the receiver // m = a + alpha * (x * yᵀ + y * xᵀ) func (s *SymDense) RankTwo(a Symmetric, alpha float64, x, y Vector) { n := s.mat.N if x.Len() != n { panic(ErrShape) } if y.Len() != n { panic(ErrShape) } if s != a { if rs, ok := a.(RawSymmetricer); ok { s.checkOverlap(generalFromSymmetric(rs.RawSymmetric())) } } var xmat, ymat blas64.Vector fast := true xU, _ := untransposeExtract(x) if rv, ok := xU.(*VecDense); ok { r, c := xU.Dims() xmat = rv.mat s.checkOverlap(generalFromVector(xmat, r, c)) } else { fast = false } yU, _ := untransposeExtract(y) if rv, ok := yU.(*VecDense); ok { r, c := yU.Dims() ymat = rv.mat s.checkOverlap(generalFromVector(ymat, r, c)) } else { fast = false } if s != a { if rs, ok := a.(RawSymmetricer); ok { s.checkOverlap(generalFromSymmetric(rs.RawSymmetric())) } s.reuseAsNonZeroed(n) s.CopySym(a) } if fast { if s != a { s.reuseAsNonZeroed(n) s.CopySym(a) } blas64.Syr2(alpha, xmat, ymat, s.mat) return } for i := 0; i < n; i++ { s.reuseAsNonZeroed(n) for j := i; j < n; j++ { s.set(i, j, a.At(i, j)+alpha*(x.AtVec(i)*y.AtVec(j)+y.AtVec(i)*x.AtVec(j))) } } } // ScaleSym multiplies the elements of a by f, placing the result in the receiver. func (s *SymDense) ScaleSym(f float64, a Symmetric) { n := a.Symmetric() s.reuseAsNonZeroed(n) if a, ok := a.(RawSymmetricer); ok { amat := a.RawSymmetric() if s != a { s.checkOverlap(generalFromSymmetric(amat)) } for i := 0; i < n; i++ { for j := i; j < n; j++ { s.mat.Data[i*s.mat.Stride+j] = f * amat.Data[i*amat.Stride+j] } } return } for i := 0; i < n; i++ { for j := i; j < n; j++ { s.mat.Data[i*s.mat.Stride+j] = f * a.At(i, j) } } } // SubsetSym extracts a subset of the rows and columns of the matrix a and stores // the result in-place into the receiver. The resulting matrix size is // len(set)×len(set). Specifically, at the conclusion of SubsetSym, // s.At(i, j) equals a.At(set[i], set[j]). Note that the supplied set does not // have to be a strict subset, dimension repeats are allowed. func (s *SymDense) SubsetSym(a Symmetric, set []int) { n := len(set) na := a.Symmetric() s.reuseAsNonZeroed(n) var restore func() if a == s { s, restore = s.isolatedWorkspace(a) defer restore() } if a, ok := a.(RawSymmetricer); ok { raw := a.RawSymmetric() if s != a { s.checkOverlap(generalFromSymmetric(raw)) } for i := 0; i < n; i++ { ssub := s.mat.Data[i*s.mat.Stride : i*s.mat.Stride+n] r := set[i] rsub := raw.Data[r*raw.Stride : r*raw.Stride+na] for j := i; j < n; j++ { c := set[j] if r <= c { ssub[j] = rsub[c] } else { ssub[j] = raw.Data[c*raw.Stride+r] } } } return } for i := 0; i < n; i++ { for j := i; j < n; j++ { s.mat.Data[i*s.mat.Stride+j] = a.At(set[i], set[j]) } } } // SliceSym returns a new Matrix that shares backing data with the receiver. // The returned matrix starts at {i,i} of the receiver and extends k-i rows // and columns. The final row and column in the resulting matrix is k-1. // SliceSym panics with ErrIndexOutOfRange if the slice is outside the // capacity of the receiver. func (s *SymDense) SliceSym(i, k int) Symmetric { return s.sliceSym(i, k) } func (s *SymDense) sliceSym(i, k int) *SymDense { sz := s.cap if i < 0 || sz < i || k < i || sz < k { panic(ErrIndexOutOfRange) } v := *s v.mat.Data = s.mat.Data[i*s.mat.Stride+i : (k-1)*s.mat.Stride+k] v.mat.N = k - i v.cap = s.cap - i return &v } // Trace returns the trace of the matrix. func (s *SymDense) Trace() float64 { // TODO(btracey): could use internal asm sum routine. var v float64 for i := 0; i < s.mat.N; i++ { v += s.mat.Data[i*s.mat.Stride+i] } return v } // GrowSym returns the receiver expanded by n rows and n columns. If the // dimensions of the expanded matrix are outside the capacity of the receiver // a new allocation is made, otherwise not. Note that the receiver itself is // not modified during the call to GrowSquare. func (s *SymDense) GrowSym(n int) Symmetric { if n < 0 { panic(ErrIndexOutOfRange) } if n == 0 { return s } var v SymDense n += s.mat.N if n > s.cap { v.mat = blas64.Symmetric{ N: n, Stride: n, Uplo: blas.Upper, Data: make([]float64, n*n), } v.cap = n // Copy elements, including those not currently visible. Use a temporary // structure to avoid modifying the receiver. var tmp SymDense tmp.mat = blas64.Symmetric{ N: s.cap, Stride: s.mat.Stride, Data: s.mat.Data, Uplo: s.mat.Uplo, } tmp.cap = s.cap v.CopySym(&tmp) return &v } v.mat = blas64.Symmetric{ N: n, Stride: s.mat.Stride, Uplo: blas.Upper, Data: s.mat.Data[:(n-1)*s.mat.Stride+n], } v.cap = s.cap return &v } // PowPSD computes a^pow where a is a positive symmetric definite matrix. // // PowPSD returns an error if the matrix is not not positive symmetric definite // or the Eigen decomposition is not successful. func (s *SymDense) PowPSD(a Symmetric, pow float64) error { dim := a.Symmetric() s.reuseAsNonZeroed(dim) var eigen EigenSym ok := eigen.Factorize(a, true) if !ok { return ErrFailedEigen } values := eigen.Values(nil) for i, v := range values { if v <= 0 { return ErrNotPSD } values[i] = math.Pow(v, pow) } var u Dense eigen.VectorsTo(&u) s.SymOuterK(values[0], u.ColView(0)) var v VecDense for i := 1; i < dim; i++ { v.ColViewOf(&u, i) s.SymRankOne(s, values[i], &v) } return nil }