vslsparametrizedmatrix.c

来自「使用INTEL矢量统计类库的程序,包括以下功能: &#61623 Raw」· C语言 代码 · 共 144 行

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!  Content:
!  Parametrization of correlation matrix  Example Program Text
!******************************************************************************/

#include <stdio.h>
#include "vsl_ss.h"

/* parameters of the task */
#define DIM 3      /* dimension of the task */

#define RETURN_ON_ERROR                 \
    if(status<0)                        \
    {                                   \
        printf("Error: %i\n", status);  \
        return 0;                       \
    }
/* Distorted correlation matrix */
static float Cin[DIM*DIM] = { 1.0, 0.9, 0.7,
                                0.9, 1.0, 0.29,
                                0.7, 0.29, 1.0  };

int main()
{
    VSLSSTaskPtr task=0;

    MKL_INT i, j, k1, k2, incx=1;
    MKL_INT dim = DIM, lwork = 25*DIM;
    MKL_INT cor_storage, parametrized_cor_storage;
    int status;

    float Cout[DIM*DIM];
    float B[DIM*DIM], Work[25*DIM];
    float EigenVect[DIM];
    char uplo, jobz;

    printf("\nDisturbed correlation matrix\n\n");
    for( i = 0 ; i < DIM ; i++ )
    {
        for( j = 0 ; j < DIM ; j++ )
        {
            printf("%+1.5f ", Cin[i*DIM + j]);
        }
        printf("\n");
    }
    printf("\n");
    
    for( j = 0 ; j < DIM*DIM ; j++ )
    {
        B[j] = Cin[j];
    }
    
    uplo = 'U';
    jobz = 'N';
    ssyev( &jobz, &uplo, &dim, B, &dim, EigenVect, Work, &lwork, &status );
    RETURN_ON_ERROR;

    printf("Eigenvalue of the disturbed correlation matrix\n\n");
    for( j = 0 ; j < DIM ; j++ )
    {
        printf("%+1.5f ", EigenVect[j]);
    }
    printf("\n");

    /* Create task */
    status = vslsSSNewTask( &task, &dim, 0, 0, 0, 0, 0 );

    cor_storage = VSL_SS_MATRIX_FULL_STORAGE;
    parametrized_cor_storage = VSL_SS_MATRIX_FULL_STORAGE;

    /* Register arrays for parameterization of the correlation matrix */
    status = vslsSSEditMatrixParameterization( task,
             Cin, &cor_storage,
             Cout, &parametrized_cor_storage );
    RETURN_ON_ERROR;

    /* Execute task */
    status = vslsSSCompute( task, VSL_SS_MATRIX_PARAMETERIZATION,
                            VSL_SS_SPECTRAL_DECOMPOSITION_METHOD );
    if( status != 0 )
    {
        printf("Error/Warning: %i\n", status);
    }

    /* Delete task */
    status = vslSSDeleteTask( &task );
    RETURN_ON_ERROR;

    printf("\n\nParametrized correlation matrix\n\n");
    for ( i = 0 ; i < DIM ; i++ )
    {
        for( j = 0 ; j < DIM ; j++ )
        {
            printf("%+1.5f ", Cout[ i*DIM + j ]);
        }
        printf("\n");
    }
    for( j = 0 ; j < DIM*DIM ; j++ )
    {
        B[j] = Cout[j];
    }

    uplo = 'U';
    jobz = 'N';
    ssyev( &jobz, &uplo, &dim, B, &dim, EigenVect, Work, &lwork, &status );
    RETURN_ON_ERROR;

    printf("\nEigenvalue of the parametrized correlation matrix\n\n");
    for( j = 0 ; j < DIM ; j++ )
    {
        printf("%+1.5f ", EigenVect[j]);
    }
    printf("\n");

    if( EigenVect[0] < -1e-6 )
    {
        printf("\nTEST FAILED\n");
    }
    else
    {
        printf("\nTEST PASSED\n");
    }

    return 0;
}