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use matrix::{Matrix, MatrixSlice, BaseMatrix, BaseMatrixMut};
use vector::Vector;
use error::{Error, ErrorKind};
use matrix::decomposition::{
Decomposition,
HouseholderReflection,
HouseholderComposition
};
use matrix::decomposition::householder;
use std::any::Any;
use libnum::Float;
/// The result of unpacking a QR decomposition.
///
/// Let `A` denote the `m x n` matrix given by `A = QR`.
/// Then `Q` is an `m x m` orthogonal matrix, and `R`
/// is an `m x n` upper trapezoidal matrix .
///
/// More precisely, if `m > n`, then we have the decomposition
///
/// ```text
/// A = QR = Q [ R1 ]
/// [ 0 ]
/// ```
/// where `R1` is an `n x n` upper triangular matrix.
/// On the other hand, if `m < n`, we have
///
/// ```text
/// A = QR = Q [ R1 R2 ]
/// ```
///
/// where `R1` is an `m x m` upper triangular matrix and
/// `R2` is an `m x (n - m)` general matrix.
///
/// To actually compute the QR decomposition, see
/// [Householder QR](struct.HouseholderQr.html).
#[derive(Debug, Clone)]
pub struct QR<T> {
/// The orthogonal matrix `Q` in the decomposition `A = QR`.
pub q: Matrix<T>,
/// The upper-trapezoidal matrix `R` in the decomposition `A = QR`.
pub r: Matrix<T>
}
/// The result of computing a *thin* (or *reduced*) QR decomposition.
///
/// Let `A` denote the `m x n` matrix given by `A = QR`.
/// Then `Q` is an `m x m` orthogonal matrix, and `R`
/// is an `m x n` upper trapezoidal matrix.
///
/// If `m > n`, we may write
///
/// ```text
/// A = QR = [ Q1 Q2 ] [ R1 ] = Q1 R1
/// [ 0 ]
/// ```
///
/// where `Q1` is an `m x n` matrix with orthogonal columns,
/// and `R1` is an `n x n` upper triangular matrix.
/// For some applications, the remaining (m - n) columns
/// of the full `Q` matrix are not needed, in which case
/// the thin QR decomposition is substantially cheaper if
/// `m >> n`.
///
/// If `m <= n`, then the thin QR decomposition coincides with
/// the usual decomposition. See [QR](struct.QR.html) for details.
///
/// To actually compute the QR decomposition, see
/// [Householder QR](struct.HouseholderQr.html).
#[derive(Debug, Clone)]
pub struct ThinQR<T> {
/// The matrix `Q1` in the decomposition `A = Q1 R1`.
pub q1: Matrix<T>,
/// The upper-triangular matrix `R1` in the decomposition `A = Q1 R1`.
pub r1: Matrix<T>
}
/// QR decomposition based on Householder reflections.
///
/// For any `m x n` matrix `A`, there exist an `m x m`
/// orthogonal matrix `Q` and an `m x n` upper trapezoidal
/// (triangular) matrix `R` such that
///
/// ```text
/// A = QR.
/// ```
///
/// `HouseholderQr` holds the result of a QR decomposition
/// procedure based on Householder reflections. The full
/// factors `Q` and `R` can be acquired by calling `unpack()`.
/// However, it turns out that the orthogonal factor `Q`
/// can be represented much more efficiently than as a
/// full `m x m` matrix. For this purpose, the [q()](#method.q)
/// method provides access to an instance of
/// [HouseholderComposition](struct.HouseholderComposition.html)
/// which allows the efficient application of the (implicit)
/// `Q` matrix.
///
/// For some applications, it is sufficient to compute a
/// *thin* (or *reduced*) QR decomposition. The thin QR decomposition
/// can be obtained by calling [unpack_thin()](#method.unpack_thin)
/// on the decomposition object.
///
/// # Examples
///
/// ```
/// # #[macro_use] extern crate rulinalg; fn main() {
/// use rulinalg::matrix::Matrix;
/// use rulinalg::matrix::decomposition::{
/// Decomposition, HouseholderQr, QR
/// };
///
/// let a = matrix![ 3.0, 2.0;
/// -5.0, 1.0;
/// 4.0, -2.0 ];
/// let identity = Matrix::identity(3);
///
/// let qr = HouseholderQr::decompose(a.clone());
/// let QR { q, r } = qr.unpack();
///
/// // Check that `Q` is orthogonal
/// assert_matrix_eq!(&q * q.transpose(), identity, comp = float);
/// assert_matrix_eq!(q.transpose() * &q, identity, comp = float);
///
/// // Check that `A = QR`
/// assert_matrix_eq!(q * r, a, comp = float);
/// # }
/// ```
///
/// # Internal storage format
/// Upon decomposition, the `HouseholderQr` struct takes ownership
/// of the matrix and repurposes its storage to compactly
/// store the factors `Q` and `R`.
/// In addition, a vector `tau` of size `min(m, n)`
/// holds auxiliary information about the Householder reflectors
/// which together constitute the `Q` matrix.
///
/// Specifically, given an input matrix `A`,
/// the upper triangular factor `R` is stored in `A_ij` for
/// `j >= i`. The orthogonal factor `Q` is implicitly stored
/// as the composition of `p := min(m, n)` Householder reflectors
/// `Q_i`, such that
///
/// ```text
/// Q = Q_1 * Q_2 * ... * Q_p.
/// ```
///
/// Each such Householder reflection `Q_i` corresponds to a
/// transformation of the form (using MATLAB-like colon notation)
///
/// ```text
/// Q_i [1:(i-1), 1:(i-1)] = I
/// Q_i [i:m, i:m] = I - τ_i * v_i * transpose(v_i)
/// ```
///
/// where `I` denotes the identity matrix of appropriate size,
/// `v_i` is the *Householder vector* normalized in such a way that
/// its first element is implicitly `1` (and thus does not need to
/// be stored) and `τ_i` is an appropriate scale factor. Each vector
/// `v_i` has length `m - i + 1`, and since the first element does not
/// need to be stored, each `v_i` can be stored in column `i` of
/// the matrix `A`.
///
/// The scale factors `τ_i` are stored in a separate vector.
///
/// This storage scheme should be compatible with LAPACK, although
/// this has yet to be put to the test. For the same reason,
/// the internal storage is not exposed in the public API at this point.
#[derive(Debug, Clone)]
pub struct HouseholderQr<T> {
qr: Matrix<T>,
tau: Vec<T>
}
impl<T> HouseholderQr<T> where T: Float {
/// Decomposes the given matrix into implicitly stored factors
/// `Q` and `R` as described in the struct documentation.
pub fn decompose(matrix: Matrix<T>) -> HouseholderQr<T> {
use std::cmp::min;
// The implementation here is based on
// Algorithm 5.2.1 (Householder QR) from
// Matrix Computations, 4th Ed,
// by Golub & Van Loan
let m = matrix.rows();
let n = matrix.cols();
let p = min(m, n);
let mut qr = matrix;
let mut tau = vec![T::zero(); p];
// In order to avoid frequently allocating new vectors
// to hold the householder reflections, we allocate a single
// buffer which we can reuse for every iteration. We also
// need one as work space when applying the Householder
// transformations.
let mut buffer = vec![T::zero(); m];
let mut multiply_buffer = vec![T::zero(); n];
for j in 0 .. p {
let mut bottom_right = qr.sub_slice_mut([j, j], m - j, n - j);
// The householder vector which we will hold in the buffer
// gets shorter for each iteration, so we truncate the buffer
// to the appropriate length.
buffer.truncate(m - j);
multiply_buffer.truncate(bottom_right.cols());
bottom_right.col(0).clone_into_slice(&mut buffer);
let house = HouseholderReflection::compute(Vector::new(buffer));
house.buffered_left_multiply_into(&mut bottom_right,
&mut multiply_buffer);
house.store_in_col(&mut bottom_right.col_mut(0));
tau[j] = house.tau();
buffer = house.into_vector().into_vec();
}
HouseholderQr {
qr: qr,
tau: tau
}
}
/// Returns the orthogonal factor `Q` as an instance of a
/// [HouseholderComposition](struct.HouseholderComposition.html)
/// operator.
pub fn q(&self) -> HouseholderComposition<T> {
householder::create_composition(&self.qr, &self.tau)
}
/// Computes the *thin* (or reduced) QR decomposition.
///
/// If `m <= n`, the thin QR decomposition coincides with the
/// usual QR decomposition. See [ThinQR](struct.ThinQR.html)
/// for details.
///
/// # Examples
/// ```
/// # #[macro_use] extern crate rulinalg; fn main() {
/// # use rulinalg::matrix::Matrix;
/// # let x: Matrix<f64> = matrix![];
/// use rulinalg::matrix::decomposition::{HouseholderQr, ThinQR};
/// let x = matrix![3.0, 2.0;
/// 1.0, 2.0;
/// 4.0, 5.0];
/// let ThinQR { q1, r1 } = HouseholderQr::decompose(x).unpack_thin();
/// # }
/// ```
pub fn unpack_thin(self) -> ThinQR<T> {
// Note: currently, there is no need to take ownership of
// `self`. However, it is actually possible to compute the
// rectangular Q1 factor in-place, but it is not currently
// done. By taking `self` now, we can make this change in
// the future without breaking changes.
let m = self.qr.rows();
let n = self.qr.cols();
if m <= n {
// If m <= n, Thin QR coincides with regular QR
let qr = self.unpack();
ThinQR {
q1: qr.q,
r1: qr.r
}
} else {
let composition = householder::create_composition(&self.qr, &self.tau);
let q1 = composition.first_k_columns(n);
let r1 = extract_r1(&self.qr);
ThinQR {
q1: q1,
r1: r1
}
}
}
}
impl<T: Float> Decomposition for HouseholderQr<T> {
type Factors = QR<T>;
fn unpack(self) -> QR<T> {
use internal_utils;
let q = assemble_q(&self.qr, &self.tau);
let mut r = self.qr;
internal_utils::nullify_lower_triangular_part(&mut r);
QR {
q: q,
r: r
}
}
}
fn assemble_q<T: Float>(qr: &Matrix<T>, tau: &Vec<T>) -> Matrix<T> {
let m = qr.rows();
let q_operator = householder::create_composition(qr, tau);
q_operator.first_k_columns(m)
}
fn extract_r1<T: Float>(qr: &Matrix<T>) -> Matrix<T> {
let m = qr.rows();
let n = qr.cols();
let mut data = Vec::<T>::with_capacity(m * n);
assert!(m > n, "We only want to extract r1 if m > n!");
for (i, row) in qr.row_iter().take(n).enumerate() {
for _ in 0 .. i {
data.push(T::zero());
}
for element in row.raw_slice().iter().skip(i).cloned() {
data.push(element);
}
}
Matrix::new(n, n, data)
}
impl<T> Matrix<T>
where T: Any + Float
{
/// Compute the QR decomposition of the matrix.
///
/// Returns the tuple (Q,R).
///
/// Note: this function is deprecated in favor of
/// [HouseholderQr](./decomposition/struct.HouseholderQr.html)
/// and will be removed in a future release.
///
/// # Examples
///
/// ```
/// # #[macro_use] extern crate rulinalg; fn main() {
/// use rulinalg::matrix::Matrix;
///
/// let m = matrix![1.0, 0.5, 0.5;
/// 0.5, 1.0, 0.5;
/// 0.5, 0.5, 1.0];
///
/// let (q, r) = m.qr_decomp().unwrap();
/// # }
/// ```
///
/// # Failures
///
/// - Cannot compute the QR decomposition.
#[deprecated]
pub fn qr_decomp(self) -> Result<(Matrix<T>, Matrix<T>), Error> {
let m = self.rows();
let n = self.cols();
let mut q = Matrix::<T>::identity(m);
let mut r = self;
for i in 0..(n - ((m == n) as usize)) {
let holder_transform: Result<Matrix<T>, Error>;
{
let lower_slice = MatrixSlice::from_matrix(&r, [i, i], m - i, 1);
holder_transform =
Matrix::make_householder(&lower_slice.iter().cloned().collect::<Vec<_>>());
}
if !holder_transform.is_ok() {
return Err(Error::new(ErrorKind::DecompFailure,
"Cannot compute QR decomposition."));
} else {
let mut holder_data = holder_transform.unwrap().into_vec();
// This bit is inefficient
// using for now as we'll swap to lapack eventually.
let mut h_full_data = Vec::with_capacity(m * m);
for j in 0..m {
let mut row_data: Vec<T>;
if j < i {
row_data = vec![T::zero(); m];
row_data[j] = T::one();
h_full_data.extend(row_data);
} else {
row_data = vec![T::zero(); i];
h_full_data.extend(row_data);
h_full_data.extend(holder_data.drain(..m - i));
}
}
let h = Matrix::new(m, m, h_full_data);
q = q * &h;
r = h * &r;
}
}
Ok((q, r))
}
}
#[cfg(test)]
mod tests {
use super::HouseholderQr;
use super::{QR, ThinQR};
use matrix::{Matrix, BaseMatrix};
use matrix::decomposition::Decomposition;
use testsupport::is_upper_triangular;
fn verify_qr(x: Matrix<f64>, qr: QR<f64>) {
let m = x.rows();
let QR { ref q, ref r } = qr;
assert_matrix_eq!(q * r, x, comp = float, ulp = 100);
assert!(is_upper_triangular(r));
// check orthogonality
assert_matrix_eq!(q.transpose() * q, Matrix::identity(m),
comp = float, ulp = 100);
assert_matrix_eq!(q * q.transpose(), Matrix::identity(m),
comp = float, ulp = 100);
}
fn verify_thin_qr(x: Matrix<f64>, qr: ThinQR<f64>) {
use std::cmp::min;
let m = x.rows();
let n = x.cols();
let ThinQR { ref q1, ref r1 } = qr;
assert_matrix_eq!(q1 * r1, x, comp = float, ulp = 100);
assert!(is_upper_triangular(r1));
// Check that q1 has orthogonal columns
assert_matrix_eq!(q1.transpose() * q1, Matrix::identity(min(m, n)),
comp = float, ulp = 100);
}
#[test]
pub fn householder_qr_unpack_reconstruction() {
{
// 1x1
let x = matrix![1.0];
let qr = HouseholderQr::decompose(x.clone()).unpack();
verify_qr(x, qr);
}
{
// 1x2
let x = matrix![1.0, 2.0];
let qr = HouseholderQr::decompose(x.clone()).unpack();
verify_qr(x, qr);
}
{
// 2x1
let x = matrix![1.0;
2.0];
let qr = HouseholderQr::decompose(x.clone()).unpack();
verify_qr(x, qr);
}
{
// 2x2
let x = matrix![1.0, 2.0;
3.0, 4.0];
let qr = HouseholderQr::decompose(x.clone()).unpack();
verify_qr(x, qr);
}
{
// 3x2
let x = matrix![1.0, 2.0;
3.0, 4.0;
4.0, 5.0];
let qr = HouseholderQr::decompose(x.clone()).unpack();
verify_qr(x, qr);
}
{
// 2x3
let x = matrix![1.0, 2.0, 3.0;
4.0, 5.0, 6.0];
let qr = HouseholderQr::decompose(x.clone()).unpack();
verify_qr(x, qr);
}
{
// 3x3
let x = matrix![1.0, 2.0, 3.0;
4.0, 5.0, 6.0;
7.0, 8.0, 9.0];
let qr = HouseholderQr::decompose(x.clone()).unpack();
verify_qr(x, qr);
}
}
#[test]
fn householder_qr_unpack_square_reconstruction_corner_cases() {
{
let x = matrix![-1.0, 0.0;
0.0, 1.0];
let qr = HouseholderQr::decompose(x.clone()).unpack();
verify_qr(x, qr);
}
{
let x = matrix![1.0, 0.0, 0.0;
0.0, 1.0, 0.0;
0.0, 0.0, -1.0];
let qr = HouseholderQr::decompose(x.clone()).unpack();
verify_qr(x, qr);
}
{
let x = matrix![1.0, 0.0, 0.0;
0.0, -1.0, 0.0;
0.0, 0.0, -1.0];
let qr = HouseholderQr::decompose(x.clone()).unpack();
verify_qr(x, qr);
}
}
#[test]
fn householder_qr_unpack_thin_reconstruction() {
{
// 1x1
let x = matrix![1.0];
let qr = HouseholderQr::decompose(x.clone()).unpack_thin();
verify_thin_qr(x, qr);
}
{
// 1x2
let x = matrix![1.0, 2.0];
let qr = HouseholderQr::decompose(x.clone()).unpack_thin();
verify_thin_qr(x, qr);
}
{
// 2x1
let x = matrix![1.0;
2.0];
let qr = HouseholderQr::decompose(x.clone()).unpack_thin();
verify_thin_qr(x, qr);
}
{
// 2x2
let x = matrix![1.0, 2.0;
3.0, 4.0];
let qr = HouseholderQr::decompose(x.clone()).unpack_thin();
verify_thin_qr(x, qr);
}
{
// 3x2
let x = matrix![1.0, 2.0;
3.0, 4.0;
4.0, 5.0];
let qr = HouseholderQr::decompose(x.clone()).unpack_thin();
verify_thin_qr(x, qr);
}
{
// 2x3
let x = matrix![1.0, 2.0, 3.0;
4.0, 5.0, 6.0];
let qr = HouseholderQr::decompose(x.clone()).unpack_thin();
verify_thin_qr(x, qr);
}
{
// 3x3
let x = matrix![1.0, 2.0, 3.0;
4.0, 5.0, 6.0;
7.0, 8.0, 9.0];
let qr = HouseholderQr::decompose(x.clone()).unpack_thin();
verify_thin_qr(x, qr);
}
}
}