/*************************************************************************
Copyright (c) 1992-2007 The University of Tennessee.  All rights reserved.

Contributors:
    * Sergey Bochkanov (ALGLIB project). Translation from FORTRAN to
      pseudocode.

See subroutines comments for additional copyrights.

Redistribution and use in source and binary forms, with or without
modification, are permitted provided that the following conditions are
met:

- Redistributions of source code must retain the above copyright
  notice, this list of conditions and the following disclaimer.

- Redistributions in binary form must reproduce the above copyright
  notice, this list of conditions and the following disclaimer listed
  in this license in the documentation and/or other materials
  provided with the distribution.

- Neither the name of the copyright holders nor the names of its
  contributors may be used to endorse or promote products derived from
  this software without specific prior written permission.

THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
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THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
*************************************************************************/

#include <stdafx.h>
#include "cholesky.h"

/*************************************************************************
Cholesky decomposition

The algorithm computes Cholesky decomposition of a symmetric
positive-definite matrix.

The result of an algorithm is a representation of matrix A as A = U'*U or
A = L*L'.

Input parameters:
    A       -   upper or lower triangle of a factorized matrix.
                array with elements [0..N-1, 0..N-1].
    N       -   size of matrix A.
    IsUpper -   if IsUpper=True, then A contains an upper triangle of
                a symmetric matrix, otherwise A contains a lower one.

Output parameters:
    A       -   the result of factorization. If IsUpper=True, then
                the upper triangle contains matrix U, so that A = U'*U,
                and the elements below the main diagonal are not modified.
                Similarly, if IsUpper = False.

Result:
    If the matrix is positive-definite, the function returns True.
    Otherwise, the function returns False. This means that the
    factorization could not be carried out.

  -- LAPACK routine (version 3.0) --
     Univ. of Tennessee, Univ. of California Berkeley, NAG Ltd.,
     Courant Institute, Argonne National Lab, and Rice University
     February 29, 1992
*************************************************************************/
bool spdmatrixcholesky(ap::real_2d_array& a, int n, bool isupper)
{
    bool result;
    int i;
    int j;
    double ajj;
    double v;

    
    //
    //     Test the input parameters.
    //
    ap::ap_error::make_assertion(n>=0, "Error in SMatrixCholesky: incorrect function arguments");
    
    //
    //     Quick return if possible
    //
    result = true;
    if( n<=0 )
    {
        return result;
    }
    if( isupper )
    {
        
        //
        // Compute the Cholesky factorization A = U'*U.
        //
        for(j = 0; j <= n-1; j++)
        {
            
            //
            // Compute U(J,J) and test for non-positive-definiteness.
            //
            v = ap::vdotproduct(a.getcolumn(j, 0, j-1), a.getcolumn(j, 0, j-1));
            ajj = a(j,j)-v;
            if( ajj<=0 )
            {
                result = false;
                return result;
            }
            ajj = sqrt(ajj);
            a(j,j) = ajj;
            
            //
            // Compute elements J+1:N of row J.
            //
            if( j<n-1 )
            {
                for(i = j+1; i <= n-1; i++)
                {
                    v = ap::vdotproduct(a.getcolumn(i, 0, j-1), a.getcolumn(j, 0, j-1));
                    a(j,i) = a(j,i)-v;
                }
                v = 1/ajj;
                ap::vmul(&a(j, j+1), ap::vlen(j+1,n-1), v);
            }
        }
    }
    else
    {
        
        //
        // Compute the Cholesky factorization A = L*L'.
        //
        for(j = 0; j <= n-1; j++)
        {
            
            //
            // Compute L(J,J) and test for non-positive-definiteness.
            //
            v = ap::vdotproduct(&a(j, 0), &a(j, 0), ap::vlen(0,j-1));
            ajj = a(j,j)-v;
            if( ajj<=0 )
            {
                result = false;
                return result;
            }
            ajj = sqrt(ajj);
            a(j,j) = ajj;
            
            //
            // Compute elements J+1:N of column J.
            //
            if( j<n-1 )
            {
                for(i = j+1; i <= n-1; i++)
                {
                    v = ap::vdotproduct(&a(i, 0), &a(j, 0), ap::vlen(0,j-1));
                    a(i,j) = a(i,j)-v;
                }
                v = 1/ajj;
                ap::vmul(a.getcolumn(j, j+1, n-1), v);
            }
        }
    }
    return result;
}


/*************************************************************************
Obsolete 1-based subroutine.
*************************************************************************/
bool choleskydecomposition(ap::real_2d_array& a, int n, bool isupper)
{
    bool result;
    int i;
    int j;
    double ajj;
    double v;
    int jm1;
    int jp1;

    
    //
    //     Test the input parameters.
    //
    ap::ap_error::make_assertion(n>=0, "Error in CholeskyDecomposition: incorrect function arguments");
    
    //
    //     Quick return if possible
    //
    result = true;
    if( n==0 )
    {
        return result;
    }
    if( isupper )
    {
        
        //
        // Compute the Cholesky factorization A = U'*U.
        //
        for(j = 1; j <= n; j++)
        {
            
            //
            // Compute U(J,J) and test for non-positive-definiteness.
            //
            jm1 = j-1;
            v = ap::vdotproduct(a.getcolumn(j, 1, jm1), a.getcolumn(j, 1, jm1));
            ajj = a(j,j)-v;
            if( ajj<=0 )
            {
                result = false;
                return result;
            }
            ajj = sqrt(ajj);
            a(j,j) = ajj;
            
            //
            // Compute elements J+1:N of row J.
            //
            if( j<n )
            {
                for(i = j+1; i <= n; i++)
                {
                    jm1 = j-1;
                    v = ap::vdotproduct(a.getcolumn(i, 1, jm1), a.getcolumn(j, 1, jm1));
                    a(j,i) = a(j,i)-v;
                }
                v = 1/ajj;
                jp1 = j+1;
                ap::vmul(&a(j, jp1), ap::vlen(jp1,n), v);
            }
        }
    }
    else
    {
        
        //
        // Compute the Cholesky factorization A = L*L'.
        //
        for(j = 1; j <= n; j++)
        {
            
            //
            // Compute L(J,J) and test for non-positive-definiteness.
            //
            jm1 = j-1;
            v = ap::vdotproduct(&a(j, 1), &a(j, 1), ap::vlen(1,jm1));
            ajj = a(j,j)-v;
            if( ajj<=0 )
            {
                result = false;
                return result;
            }
            ajj = sqrt(ajj);
            a(j,j) = ajj;
            
            //
            // Compute elements J+1:N of column J.
            //
            if( j<n )
            {
                for(i = j+1; i <= n; i++)
                {
                    jm1 = j-1;
                    v = ap::vdotproduct(&a(i, 1), &a(j, 1), ap::vlen(1,jm1));
                    a(i,j) = a(i,j)-v;
                }
                v = 1/ajj;
                jp1 = j+1;
                ap::vmul(a.getcolumn(j, jp1, n), v);
            }
        }
    }
    return result;
}



