// 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 ( "gonum.org/v1/gonum/blas" "gonum.org/v1/gonum/blas/blas64" "gonum.org/v1/gonum/lapack/lapack64" ) // Solve solves the linear least squares problem // minimize over x |b - A*x|_2 // where A is an m×n matrix A, b is a given m element vector and x is n element // solution vector. Solve assumes that A has full rank, that is // rank(A) = min(m,n) // // If m >= n, Solve finds the unique least squares solution of an overdetermined // system. // // If m < n, there is an infinite number of solutions that satisfy b-A*x=0. In // this case Solve finds the unique solution of an underdetermined system that // minimizes |x|_2. // // Several right-hand side vectors b and solution vectors x can be handled in a // single call. Vectors b are stored in the columns of the m×k matrix B. Vectors // x will be stored in-place into the n×k receiver. // // If A does not have full rank, a Condition error is returned. See the // documentation for Condition for more information. func (m *Dense) Solve(a, b Matrix) error { ar, ac := a.Dims() br, bc := b.Dims() if ar != br { panic(ErrShape) } m.reuseAsNonZeroed(ac, bc) // TODO(btracey): Add special cases for SymDense, etc. aU, aTrans := untranspose(a) bU, bTrans := untranspose(b) switch rma := aU.(type) { case RawTriangular: side := blas.Left tA := blas.NoTrans if aTrans { tA = blas.Trans } switch rm := bU.(type) { case RawMatrixer: if m != bU || bTrans { if m == bU || m.checkOverlap(rm.RawMatrix()) { tmp := getWorkspace(br, bc, false) tmp.Copy(b) m.Copy(tmp) putWorkspace(tmp) break } m.Copy(b) } default: if m != bU { m.Copy(b) } else if bTrans { // m and b share data so Copy cannot be used directly. tmp := getWorkspace(br, bc, false) tmp.Copy(b) m.Copy(tmp) putWorkspace(tmp) } } rm := rma.RawTriangular() blas64.Trsm(side, tA, 1, rm, m.mat) work := getFloats(3*rm.N, false) iwork := getInts(rm.N, false) cond := lapack64.Trcon(CondNorm, rm, work, iwork) putFloats(work) putInts(iwork) if cond > ConditionTolerance { return Condition(cond) } return nil } switch { case ar == ac: if a == b { // x = I. if ar == 1 { m.mat.Data[0] = 1 return nil } for i := 0; i < ar; i++ { v := m.mat.Data[i*m.mat.Stride : i*m.mat.Stride+ac] zero(v) v[i] = 1 } return nil } var lu LU lu.Factorize(a) return lu.SolveTo(m, false, b) case ar > ac: var qr QR qr.Factorize(a) return qr.SolveTo(m, false, b) default: var lq LQ lq.Factorize(a) return lq.SolveTo(m, false, b) } } // SolveVec solves the linear least squares problem // minimize over x |b - A*x|_2 // where A is an m×n matrix A, b is a given m element vector and x is n element // solution vector. Solve assumes that A has full rank, that is // rank(A) = min(m,n) // // If m >= n, Solve finds the unique least squares solution of an overdetermined // system. // // If m < n, there is an infinite number of solutions that satisfy b-A*x=0. In // this case Solve finds the unique solution of an underdetermined system that // minimizes |x|_2. // // The solution vector x will be stored in-place into the receiver. // // If A does not have full rank, a Condition error is returned. See the // documentation for Condition for more information. func (v *VecDense) SolveVec(a Matrix, b Vector) error { if _, bc := b.Dims(); bc != 1 { panic(ErrShape) } _, c := a.Dims() // The Solve implementation is non-trivial, so rather than duplicate the code, // instead recast the VecDenses as Dense and call the matrix code. if rv, ok := b.(RawVectorer); ok { bmat := rv.RawVector() if v != b { v.checkOverlap(bmat) } v.reuseAsNonZeroed(c) m := v.asDense() // We conditionally create bm as m when b and v are identical // to prevent the overlap detection code from identifying m // and bm as overlapping but not identical. bm := m if v != b { b := VecDense{mat: bmat} bm = b.asDense() } return m.Solve(a, bm) } v.reuseAsNonZeroed(c) m := v.asDense() return m.Solve(a, b) }