mextriang.c

斯坦福大学Grant和Boyd教授等开发的凸优化matlab工具箱

/**********************************************************************
*  y = mextriang(U,b,options)
*  Given nxn upper-triangular matrix U, 
*  options = 1 (default), solves     U *y = b, 
*          = 2          , solves     U'*y = b. 
*
*  Important: U is assumed to be dense. 
*********************************************************************/

#include <mex.h>
#include <math.h>
#include <matrix.h>

#if !defined(MX_API_VER) || ( MX_API_VER < 0x07030000 )
typedef int mwIndex;
typedef int mwSize;
#endif

#if !defined(SQR)
#define SQR(x) ((x)*(x))
#endif

#if !defined(MIN)
#define  MIN(A, B)   ((A) < (B) ? (A) : (B))
#endif

/**************************************************************
   TIME-CRITICAL PROCEDURE -- r=realdot(x,y,n)
   Computes r=sum(x_i * y_i) using LEVEL 8 loop-unrolling.
**************************************************************/
 double realdot(const double *x, const double *y, const int n)
 {
   int i;
   double r;

   r=0.0;
   for(r=0.0, i=0; i< n-7; i++){          /* LEVEL 8 */
      r+= x[i] * y[i]; i++;
      r+= x[i] * y[i]; i++;
      r+= x[i] * y[i]; i++;
      r+= x[i] * y[i]; i++;
      r+= x[i] * y[i]; i++;
      r+= x[i] * y[i]; i++;
      r+= x[i] * y[i]; i++;
      r+= x[i] * y[i];
   }
   if(i < n-3){                           /* LEVEL 4 */
     r+= x[i] * y[i]; i++;
     r+= x[i] * y[i]; i++;
     r+= x[i] * y[i]; i++;
     r+= x[i] * y[i]; i++;
   }
   if(i < n-1){                           /* LEVEL 2 */
     r+= x[i] * y[i]; i++;
     r+= x[i] * y[i]; i++;
   }
   if(i < n)                              /* LEVEL 1 */
     r+= x[i] * y[i];
   return r;
}
/*************************************************************
   TIME-CRITICAL PROCEDURE -- subscalarmul(x,alpha,y,n)
   Computes x -= alpha * y using LEVEL 8 loop-unrolling.
**************************************************************/
void subscalarmul(double *x, const double alpha, 
                  const double *y, const int n)
{ int i;

  for(i=0; i< n-7; i++){          /* LEVEL 8 */
    x[i] -= alpha * y[i]; i++;
    x[i] -= alpha * y[i]; i++;
    x[i] -= alpha * y[i]; i++;
    x[i] -= alpha * y[i]; i++;
    x[i] -= alpha * y[i]; i++;
    x[i] -= alpha * y[i]; i++;
    x[i] -= alpha * y[i]; i++;
    x[i] -= alpha * y[i];
  }
  if(i < n-3){                    /* LEVEL 4 */
    x[i] -= alpha * y[i]; i++;
    x[i] -= alpha * y[i]; i++;
    x[i] -= alpha * y[i]; i++;
    x[i] -= alpha * y[i]; i++;
  }
  if(i < n-1){                    /* LEVEL 2 */
    x[i] -= alpha * y[i]; i++;
    x[i] -= alpha * y[i]; i++;
  }
  if(i < n)                       /* LEVEL 1 */
    x[i] -= alpha * y[i];
}
/*************************************************************
   PROCEDURE fwsolve -- Solve y from U'*y = x. 
**************************************************************/
void fwsolve(double *y,const double *u,const double *x,const int n)
{
  int k;

  /*-----------------------------------------------
    u(1:k-1,k)'*y(1:k-1) + u(k,k)*y(k) = x(k).
   -----------------------------------------------*/
   for (k = 0; k < n; k++, u += n)
      y[k] = (x[k] - realdot(y,u,k)) / u[k];
}
/*************************************************************
   PROCEDURE ubsolve -- Solves xnew from U * xnew = x,

   UPDATED
     x - length n vector
     On input, contains the right-hand-side.
     On output, xnew = U\x
**************************************************************/
void bwsolve(double *x,const double *u,const int n)
{
   int j;

  /*---------------------------------------------
    xnew[j] = x[j] / u[j,j]
    Then, we update the right-hand side:
    xnew(0:j-1) = x(0:j-1) - xnew[j] * u(0:j-1)
   ---------------------------------------------*/
   j = n;
   u += SQR(n);
   while(j > 0){
     --j;
     u -= n;
     x[j] /= u[j];
     subscalarmul(x,x[j],u,j);
   }
}
/*************************************************************
*   PROCEDURE mexFunction - Entry for Matlab
**************************************************************/
 void mexFunction(int nlhs, mxArray *plhs[],
                  int nrhs, const mxArray *prhs[])

{  const double  *U;
   mwIndex       *irb, *jcb; 
   int            isspb;
   int            n, k, kend, options;   
   double        *y, *b, *btmp;

   if (nrhs < 2) {
      mexErrMsgTxt("mextriang requires 2 input arguments."); }
   if (nlhs > 1) {
      mexErrMsgTxt("mextriang generates 1 output argument."); }
 
   U = mxGetPr(prhs[0]);
   if (mxIsSparse(prhs[0])) {
      mexErrMsgTxt("mextriang: Sparse U not supported."); }
   n = mxGetM(prhs[0]); 
   if (mxGetN(prhs[0]) != n) {
      mexErrMsgTxt("mextriang: U should be square and upper triangular."); }
   isspb = mxIsSparse(prhs[1]); 
   if ( mxGetM(prhs[1])*mxGetN(prhs[1]) != n ) {
       mexErrMsgTxt("mextriang: size of U,b mismatch."); }
   if (nrhs > 2) { 
      options = (int)*mxGetPr(prhs[2]); }
   else {
      options = 1; 
   }
   if (isspb) {
      btmp = mxGetPr(prhs[1]);
      irb = mxGetIr(prhs[1]); jcb = mxGetJc(prhs[1]); 
      b = mxCalloc(n,sizeof(double));       
      kend = jcb[1]; 
      for (k=0; k<kend; k++) { b[irb[k]] = btmp[k]; } 
   } else {
      b = mxGetPr(prhs[1]); 
   }
   /************************************************/
   plhs[0] = mxCreateDoubleMatrix(n, 1, mxREAL);
   y = mxGetPr(plhs[0]);
  
   /************************************************/
   if (options==1) { 
      for (k=0; k<n; k++) { y[k]=b[k]; } 
      bwsolve(y,U,n);  
   } else if (options==2) { 
      fwsolve(y,U,b,n); 
   }   
   return;
}
/*************************************************************/