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MatrixAlgebraKitGenericExt.jl
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230 lines (198 loc) · 7.68 KB
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module MatrixAlgebraKitGenericExt
using MatrixAlgebraKit
using MatrixAlgebraKit: LAPACK_SVDAlgorithm, LAPACK_EigAlgorithm, LAPACK_EighAlgorithm, LAPACK_QRIteration
using MatrixAlgebraKit: uppertriangular!
using MatrixAlgebraKit: @algdef, Algorithm, check_input
using MatrixAlgebraKit: sign_safe
using GenericLinearAlgebra
using GenericSchur
using LinearAlgebra: I, Diagonal
function MatrixAlgebraKit.default_svd_algorithm(::Type{T}; kwargs...) where {T <: StridedMatrix{<:Union{BigFloat, Complex{BigFloat}}}}
return BigFloat_svd_QRIteration()
end
function MatrixAlgebraKit.svd_compact!(A::AbstractMatrix{T}, USVᴴ, alg::BigFloat_svd_QRIteration) where {T <: Union{BigFloat, Complex{BigFloat}}}
check_input(svd_compact!, A, USVᴴ, alg)
U, S, V = GenericLinearAlgebra.svd(A)
return U, Diagonal(S), V' # conjugation to account for difference in convention
end
function MatrixAlgebraKit.svd_full!(A::AbstractMatrix{T}, USVᴴ, alg::BigFloat_svd_QRIteration)::Tuple{Matrix{T}, Matrix{BigFloat}, Matrix{T}} where {T <: Union{BigFloat, Complex{BigFloat}}}
check_input(svd_full!, A, USVᴴ, alg)
U, S, Vᴴ = USVᴴ
m, n = size(A)
minmn = min(m, n)
if minmn == 0
MatrixAlgebraKit.one!(U)
MatrixAlgebraKit.zero!(S)
MatrixAlgebraKit.one!(Vᴴ)
return USVᴴ
end
S̃ = zeros(eltype(S), size(S))
U_compact, S_compact, V_compact = GenericLinearAlgebra.svd(A)
S̃[1:minmn, 1:minmn] .= Diagonal(S_compact)
Ũ = _gram_schmidt(U_compact)
Ṽ = _gram_schmidt(V_compact)
copyto!(U, Ũ)
copyto!(S, S̃)
copyto!(Vᴴ, Ṽ')
return MatrixAlgebraKit.gaugefix!(svd_full!, U, S, Vᴴ, m, n)
end
function MatrixAlgebraKit.svd_vals!(A::AbstractMatrix{T}, S, alg::BigFloat_svd_QRIteration) where {T <: Union{BigFloat, Complex{BigFloat}}}
check_input(svd_vals!, A, S, alg)
S̃ = GenericLinearAlgebra.svdvals!(A)
copyto!(S, S̃)
return S
end
function MatrixAlgebraKit.default_eig_algorithm(::Type{T}; kwargs...) where {T <: StridedMatrix{<:Union{BigFloat, Complex{BigFloat}}}}
return BigFloat_eig_Francis(; kwargs...)
end
function MatrixAlgebraKit.eig_full!(A::AbstractMatrix{T}, DV, alg::BigFloat_eig_Francis)::Tuple{Diagonal{Complex{BigFloat}}, Matrix{Complex{BigFloat}}} where {T <: Union{BigFloat, Complex{BigFloat}}}
D, V = DV
D̃, Ṽ = GenericSchur.eigen!(A)
copyto!(D, Diagonal(D̃))
copyto!(V, Ṽ)
return D, V
end
function MatrixAlgebraKit.eig_vals!(A::AbstractMatrix{T}, D, alg::BigFloat_eig_Francis)::Vector{Complex{BigFloat}} where {T <: Union{BigFloat, Complex{BigFloat}}}
check_input(eig_vals!, A, D, alg)
eigval = GenericSchur.eigvals!(A)
return eigval
end
function MatrixAlgebraKit.default_eigh_algorithm(::Type{T}; kwargs...) where {T <: StridedMatrix{<:Union{BigFloat, Complex{BigFloat}}}}
return BigFloat_eigh_Francis(; kwargs...)
end
function MatrixAlgebraKit.eigh_full!(A::AbstractMatrix{T}, DV, alg::BigFloat_eigh_Francis)::Tuple{Diagonal{BigFloat}, Matrix{T}} where {T <: Union{BigFloat, Complex{BigFloat}}}
check_input(eigh_full!, A, DV, alg)
eigval, eigvec = GenericLinearAlgebra.eigen(A; sortby = λ -> real(λ))
return Diagonal(eigval), eigvec
end
function MatrixAlgebraKit.eigh_vals!(A::AbstractMatrix{T}, D, alg::BigFloat_eigh_Francis)::Vector{BigFloat} where {T <: Union{BigFloat, Complex{BigFloat}}}
check_input(eigh_vals!, A, D, alg)
D = GenericLinearAlgebra.eigvals(A; sortby = λ -> real(λ))
return real.(D)
end
function MatrixAlgebraKit.default_qr_algorithm(::Type{T}; kwargs...) where {T <: StridedMatrix{<:Union{BigFloat, Complex{BigFloat}}}}
return BigFloat_QR_Householder(; kwargs...)
end
function MatrixAlgebraKit.qr_full!(A::AbstractMatrix, QR, alg::BigFloat_QR_Householder)
Q, R = QR
m, n = size(A)
minmn = min(m, n)
computeR = length(R) > 0
Q_zero = zeros(eltype(Q), (m, minmn))
R_zero = zeros(eltype(R), (minmn, n))
Q_compact, R_compact = _bigfloat_householder_qr!(A, Q_zero, R_zero; alg.kwargs...)
copyto!(Q, _gram_schmidt(Q_compact[:, 1:min(m, n)]))
if computeR
R̃ = zeros(eltype(R), m, n)
R̃[1:minmn, 1:n] .= R_compact
copyto!(R, R̃)
end
return Q, R
end
function MatrixAlgebraKit.lq_full!(A::AbstractMatrix, LQ, alg::BigFloat_LQ_Householder)
L, Q = LQ
m, n = size(A)
minmn = min(m, n)
computeL = length(L) > 0
L_zero = zeros(eltype(L), (m, minmn))
Q_zero = zeros(eltype(Q), (minmn, n))
L_compact, Q_compact = _bigfloat_householder_lq!(A, L_zero, Q_zero; alg.kwargs...)
copyto!(Q, _gram_schmidt(Q_compact'[:, 1:min(m, n)])')
if computeL
L̃ = zeros(eltype(L), m, n)
L̃[1:m, 1:minmn] .= L_compact
copyto!(L, L̃)
end
return L, Q
end
function MatrixAlgebraKit.qr_compact!(A::AbstractMatrix, QR, alg::BigFloat_QR_Householder)
check_input(qr_compact!, A, QR, alg)
Q, R = QR
Q, R = _bigfloat_householder_qr!(A, Q, R; alg.kwargs...)
return Q, R
end
function _bigfloat_householder_qr!(A::AbstractMatrix{T}, Q, R; positive = false, blocksize = 1, pivoted = false) where {T <: Union{BigFloat, Complex{BigFloat}}}
pivoted && throw(ArgumentError("Only pivoted = false implemented for BigFloats."))
(blocksize == 1) || throw(ArgumentError("Only blocksize = 1 implemented for BigFloats."))
m, n = size(A)
k = min(m, n)
computeR = length(R) > 0
Q̃, R̃ = GenericLinearAlgebra.qr(A)
Q̃ = convert(Array, Q̃)
if positive
@inbounds for j in 1:k
s = sign_safe(R̃[j, j])
@simd for i in 1:m
Q̃[i, j] *= s
end
end
end
copyto!(Q, Q̃)
if computeR
if positive
@inbounds for j in n:-1:1
@simd for i in 1:min(k, j)
R̃[i, j] = R̃[i, j] * conj(sign_safe(R̃[i, i]))
end
end
end
copyto!(R, R̃)
end
return Q, R
end
function _gram_schmidt(Q_compact)
m, minmn = size(Q_compact)
if minmn >= m
return Q_compact
end
Q = zeros(eltype(Q_compact), (m, m))
Q[:, 1:minmn] .= Q_compact
for j in (minmn + 1):m
v = rand(eltype(Q), m)
for i in 1:(j - 1)
r = sum([v[k] * conj(Q[k, i])] for k in 1:size(v)[1])[1]
v .= v .- r * Q[:, i]
end
Q[:, j] = v ./ MatrixAlgebraKit.norm(v)
end
return Q
end
function MatrixAlgebraKit.default_lq_algorithm(::Type{T}; kwargs...) where {T <: StridedMatrix{<:Union{BigFloat, Complex{BigFloat}}}}
return BigFloat_LQ_Householder(; kwargs...)
end
function MatrixAlgebraKit.lq_compact!(A::AbstractMatrix, LQ, alg::BigFloat_LQ_Householder)
check_input(lq_compact!, A, LQ, alg)
L, Q = LQ
L, Q = _bigfloat_householder_lq!(A, L, Q; alg.kwargs...)
return L, Q
end
function _bigfloat_householder_lq!(A::AbstractMatrix{T}, L, Q; positive = false, blocksize = 1, pivoted = false) where {T <: Union{BigFloat, Complex{BigFloat}}}
pivoted && throw(ArgumentError("Only pivoted = false implemented for BigFloats."))
(blocksize == 1) || throw(ArgumentError("Only blocksize = 1 implemented for BigFloats."))
m, n = size(A)
k = min(m, n)
computeL = length(L) > 0
Q̃, R̃ = GenericLinearAlgebra.qr(A')
Q̃ = convert(Array, Q̃)
if positive
@inbounds for j in 1:k
s = sign_safe(R̃[j, j])
@simd for i in 1:n
Q̃[i, j] *= s
end
end
end
copyto!(Q, Q̃')
if computeL
if positive
@inbounds for j in m:-1:1
for i in 1:min(k, j)
R̃[i, j] = R̃[i, j] * conj(sign_safe(R̃[i, i]))
end
end
end
copyto!(L, R̃')
end
return L, Q
end
end