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dense.jl
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dense.jl
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# 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
#TODO const DOT_CUTOFF = 128
const ASUM_CUTOFF = 32
const NRM2_CUTOFF = 32
# Generic cross-over constant based on benchmarking on a single thread with an i7 CPU @ 2.5GHz
# L1 cache: 32K, L2 cache: 256K, L3 cache: 6144K
# This constant should ideally be determined by the actual CPU cache size
const ISONE_CUTOFF = 2^21 # 2M
function isone(A::AbstractMatrix)
require_one_based_indexing(A) # multiplication not defined yet among offset matrices
m, n = size(A)
m != n && return false # only square matrices can satisfy x == one(x)
if sizeof(A) < ISONE_CUTOFF
_isone_triacheck(A)
else
_isone_cachefriendly(A)
end
end
@inline function _isone_triacheck(A::AbstractMatrix)
@inbounds for i in axes(A,2), j in axes(A,1)
if i == j
isone(A[i,i]) || return false
else
iszero(A[i,j]) && iszero(A[j,i]) || return false
end
end
return true
end
# Inner loop over rows to be friendly to the CPU cache
@inline function _isone_cachefriendly(A::AbstractMatrix)
@inbounds for i in axes(A,2), j in axes(A,1)
if i == j
isone(A[i,i]) || return false
else
iszero(A[j,i]) || return false
end
end
return true
end
"""
isposdef!(A) -> Bool
Test whether a matrix is positive definite (and Hermitian) by trying to perform a
Cholesky factorization of `A`, overwriting `A` in the process.
See also [`isposdef`](@ref).
# Examples
```jldoctest
julia> A = [1. 2.; 2. 50.];
julia> isposdef!(A)
true
julia> A
2×2 Matrix{Float64}:
1.0 2.0
2.0 6.78233
```
"""
isposdef!(A::AbstractMatrix) =
ishermitian(A) && isposdef(cholesky!(Hermitian(A); check = false))
"""
isposdef(A) -> Bool
Test whether a matrix is positive definite (and Hermitian) by trying to perform a
Cholesky factorization of `A`.
See also [`isposdef!`](@ref), [`cholesky`](@ref).
# Examples
```jldoctest
julia> A = [1 2; 2 50]
2×2 Matrix{Int64}:
1 2
2 50
julia> isposdef(A)
true
```
"""
isposdef(A::AbstractMatrix) =
ishermitian(A) && isposdef(cholesky(Hermitian(A); check = false))
isposdef(x::Number) = imag(x)==0 && real(x) > 0
function norm(x::StridedVector{T}, rx::Union{UnitRange{TI},AbstractRange{TI}}) where {T<:BlasFloat,TI<:Integer}
if minimum(rx) < 1 || maximum(rx) > length(x)
throw(BoundsError(x, rx))
end
GC.@preserve x BLAS.nrm2(length(rx), pointer(x)+(first(rx)-1)*sizeof(T), step(rx))
end
norm1(x::Union{Array{T},StridedVector{T}}) where {T<:BlasReal} =
length(x) < ASUM_CUTOFF ? generic_norm1(x) : BLAS.asum(x)
norm2(x::Union{Array{T},StridedVector{T}}) where {T<:BlasFloat} =
length(x) < NRM2_CUTOFF ? generic_norm2(x) : BLAS.nrm2(x)
# Conservative assessment of types that have zero(T) defined for themselves
"""
haszero(T::Type)
Return whether a type `T` has a unique zero element defined using `zero(T)`.
If a type `M` specializes `zero(M)`, it may also choose to set `haszero(M)` to `true`.
By default, `haszero` is assumed to be `false`, in which case the zero elements
are deduced from values rather than the type.
!!! note
`haszero` is a conservative check that is used to dispatch to
optimized paths. Extending it is optional, but encouraged.
"""
haszero(::Type) = false
haszero(::Type{T}) where {T<:Number} = isconcretetype(T)
haszero(::Type{Union{Missing,T}}) where {T<:Number} = haszero(T)
@propagate_inbounds _zero(M::AbstractArray{T}, inds...) where {T} = haszero(T) ? zero(T) : zero(M[inds...])
"""
triu!(M, k::Integer)
Return the upper triangle of `M` starting from the `k`th superdiagonal,
overwriting `M` in the process.
# Examples
```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 Matrix{Int64}:
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 Matrix{Int64}:
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)
require_one_based_indexing(M)
m, n = size(M)
for j in 1:min(n, m + k)
for i in max(1, j - k + 1):m
@inbounds M[i,j] = _zero(M, i,j)
end
end
M
end
triu(M::Matrix, k::Integer) = triu!(copy(M), k)
"""
tril!(M, k::Integer)
Return the lower triangle of `M` starting from the `k`th superdiagonal, overwriting `M` in
the process.
# Examples
```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 Matrix{Int64}:
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 Matrix{Int64}:
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)
require_one_based_indexing(M)
m, n = size(M)
for j in max(1, k + 1):n
for i in 1:min(j - k - 1, m)
@inbounds M[i,j] = _zero(M, i,j)
end
end
M
end
tril(M::Matrix, k::Integer) = tril!(copy(M), k)
"""
fillband!(A::AbstractMatrix, x, l, u)
Fill the band between diagonals `l` and `u` with the value `x`.
"""
function fillband!(A::AbstractMatrix{T}, x, l, u) where T
require_one_based_indexing(A)
m, n = size(A)
xT = convert(T, x)
for j in axes(A,2)
for i in max(1,j-u):min(m,j-l)
@inbounds A[i, j] = xT
end
end
return A
end
diagind(m::Integer, n::Integer, k::Integer=0) = diagind(IndexLinear(), m, n, k)
diagind(::IndexLinear, m::Integer, n::Integer, k::Integer=0) =
k <= 0 ? range(1-k, step=m+1, length=min(m+k, n)) : range(k*m+1, step=m+1, length=min(m, n-k))
function diagind(::IndexCartesian, m::Integer, n::Integer, k::Integer=0)
Cstart = CartesianIndex(1 + max(0,-k), 1 + max(0,k))
Cstep = CartesianIndex(1, 1)
length = max(0, k <= 0 ? min(m+k, n) : min(m, n-k))
StepRangeLen(Cstart, Cstep, length)
end
"""
diagind(M::AbstractMatrix, k::Integer = 0, indstyle::IndexStyle = IndexLinear())
diagind(M::AbstractMatrix, indstyle::IndexStyle = IndexLinear())
An `AbstractRange` giving the indices of the `k`th diagonal of the matrix `M`.
Optionally, an index style may be specified which determines the type of the range returned.
If `indstyle isa IndexLinear` (default), this returns an `AbstractRange{Integer}`.
On the other hand, if `indstyle isa IndexCartesian`, this returns an `AbstractRange{CartesianIndex{2}}`.
If `k` is not provided, it is assumed to be `0` (corresponding to the main diagonal).
See also: [`diag`](@ref), [`diagm`](@ref), [`Diagonal`](@ref).
# Examples
```jldoctest
julia> A = [1 2 3; 4 5 6; 7 8 9]
3×3 Matrix{Int64}:
1 2 3
4 5 6
7 8 9
julia> diagind(A, -1)
2:4:6
julia> diagind(A, IndexCartesian())
StepRangeLen(CartesianIndex(1, 1), CartesianIndex(1, 1), 3)
```
!!! compat "Julia 1.11"
Specifying an `IndexStyle` requires at least Julia 1.11.
"""
function diagind(A::AbstractMatrix, k::Integer=0, indexstyle::IndexStyle = IndexLinear())
require_one_based_indexing(A)
diagind(indexstyle, size(A,1), size(A,2), k)
end
diagind(A::AbstractMatrix, indexstyle::IndexStyle) = diagind(A, 0, indexstyle)
"""
diag(M, k::Integer=0)
The `k`th diagonal of a matrix, as a vector.
See also [`diagm`](@ref), [`diagind`](@ref), [`Diagonal`](@ref), [`isdiag`](@ref).
# Examples
```jldoctest
julia> A = [1 2 3; 4 5 6; 7 8 9]
3×3 Matrix{Int64}:
1 2 3
4 5 6
7 8 9
julia> diag(A,1)
2-element Vector{Int64}:
2
6
```
"""
diag(A::AbstractMatrix, k::Integer=0) = A[diagind(A, k, IndexStyle(A))]
"""
diagview(M, k::Integer=0)
Return a view into the `k`th diagonal of the matrix `M`.
See also [`diag`](@ref), [`diagind`](@ref).
# Examples
```jldoctest
julia> A = [1 2 3; 4 5 6; 7 8 9]
3×3 Matrix{Int64}:
1 2 3
4 5 6
7 8 9
julia> diagview(A)
3-element view(::Vector{Int64}, 1:4:9) with eltype Int64:
1
5
9
julia> diagview(A, 1)
2-element view(::Vector{Int64}, 4:4:8) with eltype Int64:
2
6
```
"""
diagview(A::AbstractMatrix, k::Integer=0) = @view A[diagind(A, k, IndexStyle(A))]
"""
diagm(kv::Pair{<:Integer,<:AbstractVector}...)
diagm(m::Integer, n::Integer, kv::Pair{<:Integer,<:AbstractVector}...)
Construct a matrix from `Pair`s of diagonals and vectors.
Vector `kv.second` will be placed on the `kv.first` diagonal.
By default the matrix is square and its size is inferred
from `kv`, but a non-square size `m`×`n` (padded with zeros as needed)
can be specified by passing `m,n` as the first arguments.
For repeated diagonal indices `kv.first` the values in the corresponding
vectors `kv.second` will be added.
`diagm` constructs a full matrix; if you want storage-efficient
versions with fast arithmetic, see [`Diagonal`](@ref), [`Bidiagonal`](@ref)
[`Tridiagonal`](@ref) and [`SymTridiagonal`](@ref).
# Examples
```jldoctest
julia> diagm(1 => [1,2,3])
4×4 Matrix{Int64}:
0 1 0 0
0 0 2 0
0 0 0 3
0 0 0 0
julia> diagm(1 => [1,2,3], -1 => [4,5])
4×4 Matrix{Int64}:
0 1 0 0
4 0 2 0
0 5 0 3
0 0 0 0
julia> diagm(1 => [1,2,3], 1 => [1,2,3])
4×4 Matrix{Int64}:
0 2 0 0
0 0 4 0
0 0 0 6
0 0 0 0
```
"""
diagm(kv::Pair{<:Integer,<:AbstractVector}...) = _diagm(nothing, kv...)
diagm(m::Integer, n::Integer, kv::Pair{<:Integer,<:AbstractVector}...) = _diagm((Int(m),Int(n)), kv...)
function _diagm(size, kv::Pair{<:Integer,<:AbstractVector}...)
A = diagm_container(size, kv...)
for p in kv
inds = diagind(A, p.first)
for (i, val) in enumerate(p.second)
A[inds[i]] += val
end
end
return A
end
function diagm_size(size::Nothing, kv::Pair{<:Integer,<:AbstractVector}...)
mnmax = mapreduce(x -> length(x.second) + abs(Int(x.first)), max, kv; init=0)
return mnmax, mnmax
end
function diagm_size(size::Tuple{Int,Int}, kv::Pair{<:Integer,<:AbstractVector}...)
mmax = mapreduce(x -> length(x.second) - min(0,Int(x.first)), max, kv; init=0)
nmax = mapreduce(x -> length(x.second) + max(0,Int(x.first)), max, kv; init=0)
m, n = size
(m ≥ mmax && n ≥ nmax) || throw(DimensionMismatch(lazy"invalid size=$size"))
return m, n
end
function diagm_container(size, kv::Pair{<:Integer,<:AbstractVector}...)
T = promote_type(map(x -> eltype(x.second), kv)...)
# For some type `T`, `zero(T)` is not a `T` and `zeros(T, ...)` fails.
U = promote_type(T, typeof(zero(T)))
return zeros(U, diagm_size(size, kv...)...)
end
diagm_container(size, kv::Pair{<:Integer,<:BitVector}...) =
falses(diagm_size(size, kv...)...)
"""
diagm(v::AbstractVector)
diagm(m::Integer, n::Integer, v::AbstractVector)
Construct a matrix with elements of the vector as diagonal elements.
By default, the matrix is square and its size is given by
`length(v)`, but a non-square size `m`×`n` can be specified
by passing `m,n` as the first arguments.
# Examples
```jldoctest
julia> diagm([1,2,3])
3×3 Matrix{Int64}:
1 0 0
0 2 0
0 0 3
```
"""
diagm(v::AbstractVector) = diagm(0 => v)
diagm(m::Integer, n::Integer, v::AbstractVector) = diagm(m, n, 0 => v)
function tr(A::StridedMatrix{T}) where T
checksquare(A)
isempty(A) && return zero(T)
reduce(+, (A[i] for i in diagind(A, IndexStyle(A))))
end
_kronsize(A::AbstractMatrix, B::AbstractMatrix) = map(*, size(A), size(B))
_kronsize(A::AbstractMatrix, B::AbstractVector) = (size(A, 1)*length(B), size(A, 2))
_kronsize(A::AbstractVector, B::AbstractMatrix) = (length(A)*size(B, 1), size(B, 2))
"""
kron!(C, A, B)
Computes the Kronecker product of `A` and `B` and stores the result in `C`,
overwriting the existing content of `C`. This is the in-place version of [`kron`](@ref).
!!! compat "Julia 1.6"
This function requires Julia 1.6 or later.
"""
function kron!(C::AbstractVecOrMat, A::AbstractVecOrMat, B::AbstractVecOrMat)
size(C) == _kronsize(A, B) || throw(DimensionMismatch("kron!"))
_kron!(C, A, B)
end
function kron!(c::AbstractVector, a::AbstractVector, b::AbstractVector)
length(c) == length(a) * length(b) || throw(DimensionMismatch("kron!"))
m = firstindex(c)
@inbounds for i in eachindex(a)
ai = a[i]
for k in eachindex(b)
c[m] = ai*b[k]
m += 1
end
end
return c
end
kron!(c::AbstractVecOrMat, a::AbstractVecOrMat, b::Number) = mul!(c, a, b)
kron!(c::AbstractVecOrMat, a::Number, b::AbstractVecOrMat) = mul!(c, a, b)
function _kron!(C, A::AbstractMatrix, B::AbstractMatrix)
m = firstindex(C)
@inbounds for j in axes(A,2), l in axes(B,2), i in axes(A,1)
Aij = A[i,j]
for k in axes(B,1)
C[m] = Aij*B[k,l]
m += 1
end
end
return C
end
function _kron!(C, A::AbstractMatrix, b::AbstractVector)
m = firstindex(C)
@inbounds for j in axes(A,2), i in axes(A,1)
Aij = A[i,j]
for k in eachindex(b)
C[m] = Aij*b[k]
m += 1
end
end
return C
end
function _kron!(C, a::AbstractVector, B::AbstractMatrix)
m = firstindex(C)
@inbounds for l in axes(B,2), i in eachindex(a)
ai = a[i]
for k in axes(B,1)
C[m] = ai*B[k,l]
m += 1
end
end
return C
end
"""
kron(A, B)
Computes the Kronecker product of two vectors, matrices or numbers.
For real vectors `v` and `w`, the Kronecker product is related to the outer product by
`kron(v,w) == vec(w * transpose(v))` or
`w * transpose(v) == reshape(kron(v,w), (length(w), length(v)))`.
Note how the ordering of `v` and `w` differs on the left and right
of these expressions (due to column-major storage).
For complex vectors, the outer product `w * v'` also differs by conjugation of `v`.
# Examples
```jldoctest
julia> A = [1 2; 3 4]
2×2 Matrix{Int64}:
1 2
3 4
julia> B = [im 1; 1 -im]
2×2 Matrix{Complex{Int64}}:
0+1im 1+0im
1+0im 0-1im
julia> kron(A, B)
4×4 Matrix{Complex{Int64}}:
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
julia> v = [1, 2]; w = [3, 4, 5];
julia> w*transpose(v)
3×2 Matrix{Int64}:
3 6
4 8
5 10
julia> reshape(kron(v,w), (length(w), length(v)))
3×2 Matrix{Int64}:
3 6
4 8
5 10
```
"""
function kron(A::AbstractVecOrMat{T}, B::AbstractVecOrMat{S}) where {T,S}
C = Matrix{promote_op(*,T,S)}(undef, _kronsize(A, B))
return kron!(C, A, B)
end
function kron(a::AbstractVector{T}, b::AbstractVector{S}) where {T,S}
c = Vector{promote_op(*,T,S)}(undef, length(a)*length(b))
return kron!(c, a, b)
end
kron(a::Number, b::Union{Number, AbstractVecOrMat}) = a * b
kron(a::AbstractVecOrMat, b::Number) = a * b
kron(a::AdjointAbsVec, b::AdjointAbsVec) = adjoint(kron(adjoint(a), adjoint(b)))
kron(a::AdjOrTransAbsVec, b::AdjOrTransAbsVec) = transpose(kron(transpose(a), transpose(b)))
# Matrix power
(^)(A::AbstractMatrix, p::Integer) = p < 0 ? power_by_squaring(inv(A), -p) : power_by_squaring(A, p)
function (^)(A::AbstractMatrix{T}, p::Integer) where T<:Integer
# make sure that e.g. [1 1;1 0]^big(3)
# gets promotes in a similar way as 2^big(3)
TT = promote_op(^, T, typeof(p))
return power_by_squaring(convert(AbstractMatrix{TT}, A), p)
end
function integerpow(A::AbstractMatrix{T}, p) where T
TT = promote_op(^, T, typeof(p))
return (TT == T ? A : convert(AbstractMatrix{TT}, A))^Integer(p)
end
function schurpow(A::AbstractMatrix, p)
if istriu(A)
# Integer part
retmat = A ^ floor(Integer, p)
# Real part
if p - floor(p) == 0.5
# special case: A^0.5 === sqrt(A)
retmat = retmat * sqrt(A)
else
retmat = retmat * powm!(UpperTriangular(float.(A)), real(p - floor(p)))
end
else
S,Q,d = Schur{Complex}(schur(A))
# Integer part
R = S ^ floor(Integer, p)
# Real part
if p - floor(p) == 0.5
# special case: A^0.5 === sqrt(A)
R = R * sqrt(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
function (^)(A::AbstractMatrix{T}, p::Real) where T
checksquare(A)
# Quicker return if A is diagonal
if isdiag(A)
TT = promote_op(^, T, typeof(p))
retmat = copymutable_oftype(A, TT)
for i in diagind(retmat, IndexStyle(retmat))
retmat[i] = retmat[i] ^ p
end
return retmat
end
# For integer powers, use power_by_squaring
isinteger(p) && return integerpow(A, p)
# If possible, use diagonalization
if ishermitian(A)
return (Hermitian(A)^p)
end
# Otherwise, use Schur decomposition
return schurpow(A, p)
end
"""
^(A::AbstractMatrix, p::Number)
Matrix power, equivalent to ``\\exp(p\\log(A))``
# Examples
```jldoctest
julia> [1 2; 0 3]^3
2×2 Matrix{Int64}:
1 26
0 27
```
"""
(^)(A::AbstractMatrix, p::Number) = exp(p*log(A))
# Matrix exponential
"""
exp(A::AbstractMatrix)
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 ([`eigen`](@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](https://doi.org/10.1137/090768539)
# Examples
```jldoctest
julia> A = Matrix(1.0I, 2, 2)
2×2 Matrix{Float64}:
1.0 0.0
0.0 1.0
julia> exp(A)
2×2 Matrix{Float64}:
2.71828 0.0
0.0 2.71828
```
"""
exp(A::AbstractMatrix) = exp!(copy_similar(A, eigtype(eltype(A))))
exp(A::AdjointAbsMat) = adjoint(exp(parent(A)))
exp(A::TransposeAbsMat) = transpose(exp(parent(A)))
"""
cis(A::AbstractMatrix)
More efficient method for `exp(im*A)` of square matrix `A`
(especially if `A` is `Hermitian` or real-`Symmetric`).
See also [`cispi`](@ref), [`sincos`](@ref), [`exp`](@ref).
!!! compat "Julia 1.7"
Support for using `cis` with matrices was added in Julia 1.7.
# Examples
```jldoctest
julia> cis([π 0; 0 π]) ≈ -I
true
```
"""
cis(A::AbstractMatrix) = exp(im * A) # fallback
cis(A::AbstractMatrix{<:Base.HWNumber}) = exp_maybe_inplace(float.(im .* A))
exp_maybe_inplace(A::StridedMatrix{<:Union{ComplexF32, ComplexF64}}) = exp!(A)
exp_maybe_inplace(A) = exp(A)
"""
^(b::Number, A::AbstractMatrix)
Matrix exponential, equivalent to ``\\exp(\\log(b)A)``.
!!! compat "Julia 1.1"
Support for raising `Irrational` numbers (like `ℯ`)
to a matrix was added in Julia 1.1.
# Examples
```jldoctest
julia> 2^[1 2; 0 3]
2×2 Matrix{Float64}:
2.0 6.0
0.0 8.0
julia> ℯ^[1 2; 0 3]
2×2 Matrix{Float64}:
2.71828 17.3673
0.0 20.0855
```
"""
Base.:^(b::Number, A::AbstractMatrix) = exp!(log(b)*A)
# method for ℯ to explicitly elide the log(b) multiplication
Base.:^(::Irrational{:ℯ}, A::AbstractMatrix) = exp(A)
## Destructive matrix exponential using algorithm from Higham, 2008,
## "Functions of Matrices: Theory and Computation", SIAM
function exp!(A::StridedMatrix{T}) where T<:BlasFloat
n = checksquare(A)
if isdiag(A)
for i in diagind(A, IndexStyle(A))
A[i] = exp(A[i])
end
return A
elseif ishermitian(A)
return copytri!(parent(exp(Hermitian(A))), 'U', true)
end
ilo, ihi, scale = LAPACK.gebal!('B', A) # modifies A
nA = opnorm(A, 1)
## 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
# Compute U and V: Even/odd terms in Padé numerator & denom
# Expansion of k=1 in for loop
P = A2
U = similar(P)
V = similar(P)
for ind in CartesianIndices(P)
U[ind] = C[4]*P[ind] + C[2]*I[ind]
V[ind] = C[3]*P[ind] + C[1]*I[ind]
end
for k in 2:(div(length(C), 2) - 1)
P *= A2
for ind in eachindex(P, U, V)
U[ind] += C[2k + 2] * P[ind]
V[ind] += C[2k + 1] * P[ind]
end
end
# U = A * U, but we overwrite P to avoid an allocation
mul!(P, A, U)
# P may be seen as an alias for U in the following code
# Padé approximant: (V-U)\(V+U)
VminU, VplusU = V, U # Reuse already allocated arrays
for ind in eachindex(V, U)
vi, ui = V[ind], P[ind]
VminU[ind] = vi - ui
VplusU[ind] = vi + ui
end
X = LAPACK.gesv!(VminU, VplusU)[1]
else
s = log2(nA/5.4) # power of 2 later reversed by squaring
if s > 0
si = ceil(Int,s)
twopowsi = convert(T,2^si)
for ind in eachindex(A)
A[ind] /= twopowsi
end
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
tmp1, tmp2 = similar(A6), similar(A6)
# Allocation economical version of:
# U = A * (A6 * (CC[14].*A6 .+ CC[12].*A4 .+ CC[10].*A2) .+
# CC[8].*A6 .+ CC[6].*A4 .+ CC[4]*A2+CC[2]*I)
for ind in eachindex(tmp1)
tmp1[ind] = CC[14]*A6[ind] + CC[12]*A4[ind] + CC[10]*A2[ind]
tmp2[ind] = CC[8]*A6[ind] + CC[6]*A4[ind] + CC[4]*A2[ind]
end
mul!(tmp2, true,CC[2]*I, true, true) # tmp2 .+= CC[2]*I
U = mul!(tmp2, A6, tmp1, true, true)
U, tmp1 = mul!(tmp1, A, U), A # U = A * U0
# Allocation economical version of:
# V = A6 * (CC[13].*A6 .+ CC[11].*A4 .+ CC[9].*A2) .+
# CC[7].*A6 .+ CC[5].*A4 .+ CC[3]*A2 .+ CC[1]*I
for ind in eachindex(tmp1)
tmp1[ind] = CC[13]*A6[ind] + CC[11]*A4[ind] + CC[9]*A2[ind]
tmp2[ind] = CC[7]*A6[ind] + CC[5]*A4[ind] + CC[3]*A2[ind]
end
mul!(tmp2, true, CC[1]*I, true, true) # tmp2 .+= CC[1]*I
V = mul!(tmp2, A6, tmp1, true, true)
for ind in eachindex(tmp1)
tmp1[ind] = V[ind] + U[ind]
tmp2[ind] = V[ind] - U[ind] # tmp2 already contained V but this seems more readable
end
X = LAPACK.gesv!(tmp2, tmp1)[1] # X now contains r_13 in Higham 2008
if s > 0
# Repeated squaring to compute X = r_13^(2^si)
for t=1:si
mul!(tmp2, X, X)
X, tmp2 = tmp2, 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::AbstractMatrix{<:Number})
for k = axes(X,1)
X[k,i], X[k,j] = X[k,j], X[k,i]
end
for k = axes(X,2)
X[i,k], X[j,k] = X[j,k], X[i,k]
end
end
"""
log(A::AbstractMatrix)
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 ([`eigen`](@ref)) is
used, if `A` is triangular an improved version of the inverse scaling and squaring method is
employed (see [^AH12] and [^AHR13]). If `A` is real with no negative eigenvalues, then
the real Schur form is computed. Otherwise, the complex Schur form is computed. Then
the upper (quasi-)triangular algorithm in [^AHR13] is used on the upper (quasi-)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](https://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](https://doi.org/10.1137/120885991)
# Examples
```jldoctest
julia> A = Matrix(2.7182818*I, 2, 2)
2×2 Matrix{Float64}:
2.71828 0.0
0.0 2.71828
julia> log(A)
2×2 Matrix{Float64}:
1.0 0.0
0.0 1.0
```
"""
function log(A::AbstractMatrix)
# If possible, use diagonalization
if ishermitian(A)
logHermA = log(Hermitian(A))
return ishermitian(logHermA) ? copytri!(parent(logHermA), 'U', true) : parent(logHermA)
elseif istriu(A)
return triu!(parent(log(UpperTriangular(A))))
elseif isreal(A)
SchurF = schur(real(A))
if istriu(SchurF.T)
logA = SchurF.Z * log(UpperTriangular(SchurF.T)) * SchurF.Z'
else
# real log exists whenever all eigenvalues are positive
is_log_real = !any(x -> isreal(x) && real(x) ≤ 0, SchurF.values)
if is_log_real
logA = SchurF.Z * log_quasitriu(SchurF.T) * SchurF.Z'
else
SchurS = Schur{Complex}(SchurF)
logA = SchurS.Z * log(UpperTriangular(SchurS.T)) * SchurS.Z'
end
end
return eltype(A) <: Complex ? complex(logA) : logA
else
SchurF = schur(A)
return SchurF.vectors * log(UpperTriangular(SchurF.T)) * SchurF.vectors'
end
end
log(A::AdjointAbsMat) = adjoint(log(parent(A)))
log(A::TransposeAbsMat) = transpose(log(parent(A)))
"""
sqrt(A::AbstractMatrix)
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 real-symmetric or Hermitian, its eigendecomposition ([`eigen`](@ref)) is
used to compute the square root. For such matrices, eigenvalues λ that
appear to be slightly negative due to roundoff errors are treated as if they were zero.
More precisely, matrices with all eigenvalues `≥ -rtol*(max |λ|)` are treated as semidefinite
(yielding a Hermitian square root), with negative eigenvalues taken to be zero.
`rtol` is a keyword argument to `sqrt` (in the Hermitian/real-symmetric case only) that
defaults to machine precision scaled by `size(A,1)`.
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.
If a real square root exists, then an extension of this method [^H87] that computes the real
Schur form and then the real square root of the quasi-triangular factor is instead used.
[^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](https://doi.org/10.1016/0024-3795(83)80010-X)
[^H87]:
Nicholas J. Higham, "Computing real square roots of a real matrix",
Linear Algebra and its Applications, 88-89, 1987, 405-430.
[doi:10.1016/0024-3795(87)90118-2](https://doi.org/10.1016/0024-3795(87)90118-2)
# Examples
```jldoctest
julia> A = [4 0; 0 4]
2×2 Matrix{Int64}:
4 0
0 4
julia> sqrt(A)
2×2 Matrix{Float64}:
2.0 0.0
0.0 2.0
```
"""
sqrt(::AbstractMatrix)
function sqrt(A::AbstractMatrix{T}) where {T<:Union{Real,Complex}}
if checksquare(A) == 0
return copy(A)
elseif ishermitian(A)
sqrtHermA = sqrt(Hermitian(A))
return ishermitian(sqrtHermA) ? copytri!(parent(sqrtHermA), 'U', true) : parent(sqrtHermA)
elseif istriu(A)
return triu!(parent(sqrt(UpperTriangular(A))))
elseif isreal(A)
SchurF = schur(real(A))
if istriu(SchurF.T)
sqrtA = SchurF.Z * sqrt(UpperTriangular(SchurF.T)) * SchurF.Z'
else
# real sqrt exists whenever no eigenvalues are negative
is_sqrt_real = !any(x -> isreal(x) && real(x) < 0, SchurF.values)
# sqrt_quasitriu uses LAPACK functions for non-triu inputs
if typeof(sqrt(zero(T))) <: BlasFloat && is_sqrt_real
sqrtA = SchurF.Z * sqrt_quasitriu(SchurF.T) * SchurF.Z'
else
SchurS = Schur{Complex}(SchurF)
sqrtA = SchurS.Z * sqrt(UpperTriangular(SchurS.T)) * SchurS.Z'
end
end
return eltype(A) <: Complex ? complex(sqrtA) : sqrtA
else
SchurF = schur(A)
return SchurF.vectors * sqrt(UpperTriangular(SchurF.T)) * SchurF.vectors'
end
end
sqrt(A::AdjointAbsMat) = adjoint(sqrt(parent(A)))