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Tip revision: 90aae473ef17552bd4ab07ef4617e606b4fbdf8f authored by Tim Besard on 05 July 2017, 15:21:03 UTC
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Tip revision: 90aae47
lq.jl
# This file is a part of Julia. License is MIT: https://julialang.org/license

# LQ Factorizations

struct LQ{T,S<:AbstractMatrix} <: Factorization{T}
    factors::S
    τ::Vector{T}
    LQ{T,S}(factors::AbstractMatrix{T}, τ::Vector{T}) where {T,S<:AbstractMatrix} = new(factors, τ)
end

struct LQPackedQ{T,S<:AbstractMatrix} <: AbstractMatrix{T}
    factors::Matrix{T}
    τ::Vector{T}
    LQPackedQ{T,S}(factors::AbstractMatrix{T}, τ::Vector{T}) where {T,S<:AbstractMatrix} = new(factors, τ)
end

LQ(factors::AbstractMatrix{T}, τ::Vector{T}) where {T} = LQ{T,typeof(factors)}(factors, τ)
LQPackedQ(factors::AbstractMatrix{T}, τ::Vector{T}) where {T} = LQPackedQ{T,typeof(factors)}(factors, τ)

"""
    lqfact!(A) -> LQ

Compute the LQ factorization of `A`, using the input
matrix as a workspace. See also [`lq`](@ref).
"""
lqfact!(A::StridedMatrix{<:BlasFloat}) = LQ(LAPACK.gelqf!(A)...)
"""
    lqfact(A) -> LQ

Compute the LQ factorization of `A`. See also [`lq`](@ref).
"""
lqfact(A::StridedMatrix{<:BlasFloat})  = lqfact!(copy(A))
lqfact(x::Number) = lqfact(fill(x,1,1))

"""
    lq(A; [thin=true]) -> L, Q

Perform an LQ factorization of `A` such that `A = L*Q`. The
default is to compute a thin factorization. The LQ factorization
is the QR factorization of `A.'`. `L` is not extended with
zeros if the full `Q` is requested.
"""
function lq(A::Union{Number, AbstractMatrix}; thin::Bool=true)
    F = lqfact(A)
    F[:L], full(F[:Q], thin=thin)
end

copy(A::LQ) = LQ(copy(A.factors), copy(A.τ))

convert(::Type{LQ{T}},A::LQ) where {T} = LQ(convert(AbstractMatrix{T}, A.factors), convert(Vector{T}, A.τ))
convert(::Type{Factorization{T}}, A::LQ{T}) where {T} = A
convert(::Type{Factorization{T}}, A::LQ) where {T} = convert(LQ{T}, A)
convert(::Type{AbstractMatrix}, A::LQ) = A[:L]*A[:Q]
convert(::Type{AbstractArray}, A::LQ) = convert(AbstractMatrix, A)
convert(::Type{Matrix}, A::LQ) = convert(Array, convert(AbstractArray, A))
convert(::Type{Array}, A::LQ) = convert(Matrix, A)
full(A::LQ) = convert(AbstractArray, A)

ctranspose(A::LQ{T}) where {T} = QR{T,typeof(A.factors)}(A.factors', A.τ)

function getindex(A::LQ, d::Symbol)
    m, n = size(A)
    if d == :L
        return tril!(A.factors[1:m, 1:min(m,n)])
    elseif d == :Q
        return LQPackedQ(A.factors,A.τ)
    else
        throw(KeyError(d))
    end
end

function getindex(A::LQPackedQ, i::Integer, j::Integer)
    x = zeros(eltype(A), size(A, 1))
    x[i] = 1
    y = zeros(eltype(A), size(A, 2))
    y[j] = 1
    return dot(x, A*y)
end

getq(A::LQ) = LQPackedQ(A.factors, A.τ)

function show(io::IO, C::LQ)
    println(io, "$(typeof(C)) with factors L and Q:")
    show(io, C[:L])
    println(io)
    show(io, C[:Q])
end

convert(::Type{LQPackedQ{T}}, Q::LQPackedQ) where {T} = LQPackedQ(convert(AbstractMatrix{T}, Q.factors), convert(Vector{T}, Q.τ))
convert(::Type{AbstractMatrix{T}}, Q::LQPackedQ) where {T} = convert(LQPackedQ{T}, Q)
convert(::Type{Matrix}, A::LQPackedQ) = LAPACK.orglq!(copy(A.factors),A.τ)
convert(::Type{Array}, A::LQPackedQ) = convert(Matrix, A)
function full(A::LQPackedQ{T}; thin::Bool = true) where T
    #= We construct the full eye here, even though it seems inefficient, because
    every element in the output matrix is a function of all the elements of
    the input matrix. The eye is modified by the elementary reflectors held
    in A, so this is not just an indexing operation. Note that in general
    explicitly constructing Q, rather than using the ldiv or mult methods,
    may be a wasteful allocation. =#
    if thin
        convert(Array, A)
    else
        A_mul_B!(A, eye(T, size(A.factors,2), size(A.factors,1)))
    end
end

size(A::LQ, dim::Integer) = size(A.factors, dim)
size(A::LQ) = size(A.factors)
function size(A::LQPackedQ, dim::Integer)
    if 0 < dim && dim <= 2
        return size(A.factors, dim)
    elseif 0 < dim && dim > 2
        return 1
    else
        throw(BoundsError())
    end
end

size(A::LQPackedQ) = size(A.factors)

## Multiplication by LQ
A_mul_B!(A::LQ{T}, B::StridedVecOrMat{T}) where {T<:BlasFloat} = A[:L]*LAPACK.ormlq!('L','N',A.factors,A.τ,B)
A_mul_B!(A::LQ{T}, B::QR{T}) where {T<:BlasFloat} = A[:L]*LAPACK.ormlq!('L','N',A.factors,A.τ,full(B))
A_mul_B!(A::QR{T}, B::LQ{T}) where {T<:BlasFloat} = A_mul_B!(zeros(full(A)), full(A), full(B))
function *(A::LQ{TA}, B::StridedVecOrMat{TB}) where {TA,TB}
    TAB = promote_type(TA, TB)
    A_mul_B!(convert(Factorization{TAB},A), copy_oftype(B, TAB))
end
function *(A::LQ{TA},B::QR{TB}) where {TA,TB}
    TAB = promote_type(TA, TB)
    A_mul_B!(convert(Factorization{TAB},A), convert(Factorization{TAB},B))
end
function *(A::QR{TA},B::LQ{TB}) where {TA,TB}
    TAB = promote_type(TA, TB)
    A_mul_B!(convert(Factorization{TAB},A), convert(Factorization{TAB},B))
end

## Multiplication by Q
### QB
A_mul_B!(A::LQPackedQ{T}, B::StridedVecOrMat{T}) where {T<:BlasFloat} = LAPACK.ormlq!('L','N',A.factors,A.τ,B)
function (*)(A::LQPackedQ, B::StridedVecOrMat)
    TAB = promote_type(eltype(A), eltype(B))
    A_mul_B!(convert(AbstractMatrix{TAB}, A), copy_oftype(B, TAB))
end

### QcB
Ac_mul_B!(A::LQPackedQ{T}, B::StridedVecOrMat{T}) where {T<:BlasReal} = LAPACK.ormlq!('L','T',A.factors,A.τ,B)
Ac_mul_B!(A::LQPackedQ{T}, B::StridedVecOrMat{T}) where {T<:BlasComplex} = LAPACK.ormlq!('L','C',A.factors,A.τ,B)
function Ac_mul_B(A::LQPackedQ, B::StridedVecOrMat)
    TAB = promote_type(eltype(A), eltype(B))
    if size(B,1) == size(A.factors,2)
        Ac_mul_B!(convert(AbstractMatrix{TAB}, A), copy_oftype(B, TAB))
    elseif size(B,1) == size(A.factors,1)
        Ac_mul_B!(convert(AbstractMatrix{TAB}, A), [B; zeros(TAB, size(A.factors, 2) - size(A.factors, 1), size(B, 2))])
    else
        throw(DimensionMismatch("first dimension of B, $(size(B,1)), must equal one of the dimensions of A, $(size(A))"))
    end
end

### QBc/QcBc
for (f1, f2) in ((:A_mul_Bc, :A_mul_B!),
                 (:Ac_mul_Bc, :Ac_mul_B!))
    @eval begin
        function ($f1)(A::LQPackedQ, B::StridedVecOrMat)
            TAB = promote_type(eltype(A), eltype(B))
            BB = similar(B, TAB, (size(B, 2), size(B, 1)))
            ctranspose!(BB, B)
            return ($f2)(A, BB)
        end
    end
end

### AQ
A_mul_B!(A::StridedMatrix{T}, B::LQPackedQ{T}) where {T<:BlasFloat} = LAPACK.ormlq!('R', 'N', B.factors, B.τ, A)
function *(A::StridedMatrix{TA}, B::LQPackedQ{TB}) where {TA,TB}
    TAB = promote_type(TA,TB)
    if size(B.factors,2) == size(A,2)
        A_mul_B!(copy_oftype(A, TAB),convert(AbstractMatrix{TAB},B))
    elseif size(B.factors,1) == size(A,2)
        A_mul_B!( [A zeros(TAB, size(A,1), size(B.factors,2)-size(B.factors,1))], convert(AbstractMatrix{TAB},B))
    else
        throw(DimensionMismatch("second dimension of A, $(size(A,2)), must equal one of the dimensions of B, $(size(B))"))
    end
end

### AQc
A_mul_Bc!(A::StridedMatrix{T}, B::LQPackedQ{T}) where {T<:BlasReal}    = LAPACK.ormlq!('R','T',B.factors,B.τ,A)
A_mul_Bc!(A::StridedMatrix{T}, B::LQPackedQ{T}) where {T<:BlasComplex} = LAPACK.ormlq!('R','C',B.factors,B.τ,A)
function A_mul_Bc(A::StridedVecOrMat{TA}, B::LQPackedQ{TB}) where {TA<:Number,TB<:Number}
    TAB = promote_type(TA,TB)
    A_mul_Bc!(copy_oftype(A, TAB), convert(AbstractMatrix{TAB},(B)))
end

### AcQ/AcQc
for (f1, f2) in ((:Ac_mul_B, :A_mul_B!),
                 (:Ac_mul_Bc, :A_mul_Bc!))
    @eval begin
        function ($f1)(A::StridedMatrix, B::LQPackedQ)
            TAB = promote_type(eltype(A), eltype(B))
            AA = similar(A, TAB, (size(A, 2), size(A, 1)))
            ctranspose!(AA, A)
            return ($f2)(AA, B)
        end
    end
end

function (\)(A::LQ{TA}, b::StridedVector{Tb}) where {TA,Tb}
    S = promote_type(TA,Tb)
    m = checksquare(A)
    m == length(b) || throw(DimensionMismatch("left hand side has $m rows, but right hand side has length $(length(b))"))
    AA = convert(Factorization{S}, A)
    x = A_ldiv_B!(AA, copy_oftype(b, S))
    return x
end
function (\)(A::LQ{TA},B::StridedMatrix{TB}) where {TA,TB}
    S = promote_type(TA,TB)
    m = checksquare(A)
    m == size(B,1) || throw(DimensionMismatch("left hand side has $m rows, but right hand side has $(size(B,1)) rows"))
    AA = convert(Factorization{S}, A)
    X = A_ldiv_B!(AA, copy_oftype(B, S))
    return X
end
# With a real lhs and complex rhs with the same precision, we can reinterpret
# the complex rhs as a real rhs with twice the number of columns
function (\)(F::LQ{T}, B::VecOrMat{Complex{T}}) where T<:BlasReal
    c2r = reshape(transpose(reinterpret(T, B, (2, length(B)))), size(B, 1), 2*size(B, 2))
    x = A_ldiv_B!(F, c2r)
    return reinterpret(Complex{T}, transpose(reshape(x, div(length(x), 2), 2)),
        isa(B, AbstractVector) ? (size(F,2),) : (size(F,2), size(B,2)))
end


function A_ldiv_B!(A::LQ{T}, B::StridedVecOrMat{T}) where T
    Ac_mul_B!(A[:Q], A_ldiv_B!(LowerTriangular(A[:L]),B))
    return B
end
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