svd.c

来自「这个代码是policy iteration算法关于强化学习的. 请您用winzi」· C语言 代码 · 共 60 行

/* svd.c: Perform a singular value decomposition A = USV' of square matrix.
 *
 * This routine has been adapted with permission from a Pascal implementation
 * (c) 1988 J. C. Nash, "Compact numerical methods for computers", Hilger 1990.
 * The A matrix must be pre-allocated with 2n rows and n columns. On calling
 * the matrix to be decomposed is contained in the first n rows of A. On return
 * the n first rows of A contain the product US and the lower n rows contain V
 * (not V'). The S2 vector returns the square of the singular values.
 */

#include <stdio.h>
#include <math.h>

void svd(double **A, double *S2, int n)
{
	int  i, j, k, EstColRank = n, RotCount = n, SweepCount = 0,
		slimit = (n<120) ? 30 : n/4;
	double eps = 1e-15, e2 = 10.0*n*eps*eps, tol = 0.1*eps, vt, p, x0,
		y0, q, r, c0, s0, d1, d2;
	
	for (i=0; i<n; i++) { for (j=0; j<n; j++) A[n+i][j] = 0.0; A[n+i][i] = 1.0; }
	while (RotCount != 0 && SweepCount++ <= slimit) {
		RotCount = EstColRank*(EstColRank-1)/2;
		for (j=0; j<EstColRank-1; j++) 
			for (k=j+1; k<EstColRank; k++) {
				p = q = r = 0.0;
				for (i=0; i<n; i++) {
					x0 = A[i][j]; y0 = A[i][k];
					p += x0*y0; q += x0*x0; r += y0*y0;
				}
				S2[j] = q; S2[k] = r;
				if (q >= r) {
					if (q<=e2*S2[0] || fabs(p)<=tol*q)
						RotCount--;
					else {
						p /= q; r = 1.0-r/q; vt = sqrt(4.0*p*p+r*r);
						c0 = sqrt(0.5*(1.0+r/vt)); s0 = p/(vt*c0);
						for (i=0; i<2*n; i++) {
							d1 = A[i][j]; d2 = A[i][k];
							A[i][j] = d1*c0+d2*s0; A[i][k] = -d1*s0+d2*c0;
						}
					}
				} else {
					p /= r; q = q/r-1.0; vt = sqrt(4.0*p*p+q*q);
					s0 = sqrt(0.5*(1.0-q/vt));
					if (p<0.0) s0 = -s0;
					c0 = p/(vt*s0);
					for (i=0; i<2*n; i++) {
						d1 = A[i][j]; d2 = A[i][k];
						A[i][j] = d1*c0+d2*s0; A[i][k] = -d1*s0+d2*c0;
					}
				}
			}
			while (EstColRank>2 && S2[EstColRank-1]<=S2[0]*tol+tol*tol) EstColRank--;
	}
	if (SweepCount > slimit)
		printf("Warning: Reached maximum number of sweeps (%d) in SVD routine...\n"
		,slimit);
}