Re: 0.9.5 release branch

Hi

Nando wrote:
>I'm testing VC 7/8/9 and so far everything is ok but the following
>error in the test suite:
>Testing QR solve...

Thanks for hint, this problem is caused by a bug in qrdecomposition.cpp. The
file attached should fix it (.. and valgrind is now fine with the test
suite). Give me another day to double check it.

regards
  Klaus

[qrdecomposition.cpp]

---

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2008 Klaus Spanderen

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@...>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file qrdecomposition.cpp
    \brief QR decomposition
*/

#include <ql/math/optimization/lmdif.hpp>
#include <ql/math/matrixutilities/qrdecomposition.hpp>

namespace QuantLib {

    Disposable<std::vector<Size> > qrDecomposition(const Matrix& M,
                                                       Matrix& q, Matrix& r,
                                                       bool pivot) {
        Matrix mT = transpose(M);
        const Size m = M.rows();
        const Size n = M.columns();
   
        boost::scoped_array<int> lipvt(new int[n]);
        boost::scoped_array<double> rdiag(new double[n]);
        boost::scoped_array<double> wa(new double[n]);
   
        MINPACK::qrfac(m, n, mT.begin(), 0, (pivot)?1:0,
                       lipvt.get(), n, rdiag.get(), rdiag.get(), wa.get());

        if (r.columns() != n || r.rows() !=n)
            r = Matrix(n, n);
   
        for (Size i=0; i < n; ++i) {
            std::fill(r.row_begin(i), r.row_begin(i)+i, 0.0);
            r[i][i] = rdiag[i];
            std::copy(mT.column_begin(i)+i+1, mT.column_end(i),
                      r.row_begin(i)+i+1);
        }

        if (q.rows() != m || q.columns() != n)
            q = Matrix(m, n);

        Array w(m);
        for (Size k=0; k < m; ++k) {
            std::fill(w.begin(), w.end(), 0.0);
            w[k] = 1.0;
   
            for (Size j=0; j < std::min(n, m); ++j) {
                const Real t3 = mT[j][j];
                if (t3 != 0.0) {
                    const Real t
                        = std::inner_product(mT.row_begin(j)+j, mT.row_end(j),
                                             w.begin()+j, 0.0)/t3;
                    for (Size i=j; i<m; ++i) {
                        w[i]-=mT[j][i]*t;
                    }
                }
                q[k][j] = w[j];
            }
            std::fill(q.row_begin(k) + std::min(n, m), q.row_end(k), 0.0);
        }
   
        std::vector<Size> ipvt(n);
        if (pivot) {
            std::copy(lipvt.get(), lipvt.get()+n, ipvt.begin());
        }
        else {
            for (Size i=0; i < n; ++i)
                ipvt[i] = i;
        }

        return ipvt;              
    }
       
    Disposable<Array> qrSolve(const Matrix& a, const Array& b,
                              bool pivot, const Array& d) {
        const Size m = a.rows();
        const Size n = a.columns();
               
        QL_REQUIRE(b.size() == m, "dimensions of A and b don't match");
        QL_REQUIRE(d.size() == n || d.empty(),
                   "dimensions of A and d don't match");
   
        Matrix q(m, n), r(n, n);
   
        std::vector<Size> lipvt = qrDecomposition(a, q, r, pivot);
        boost::scoped_array<int> ipvt(new int[n]);
        std::copy(lipvt.begin(), lipvt.end(), ipvt.get());
   
        Matrix aT = transpose(a);
        Matrix rT = transpose(r);

        boost::scoped_array<double> sdiag(new double[n]);
        boost::scoped_array<double> wa(new double[n]);
   
        Array ld(n, 0.0);
        if (!d.empty()) {
            std::copy(d.begin(), d.end(), ld.begin());
        }
        Array x(n);
        Array qtb = transpose(q)*b;

        MINPACK::qrsolv(n, rT.begin(), n, ipvt.get(),
                        ld.begin(), qtb.begin(),
                        x.begin(), sdiag.get(), wa.get());

        return x;
    }
}

---

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