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invcholfac.c
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Sun, Jul 20, 20:45

invcholfac.c
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/*
% y = invcholfac(u,K, perm)
% INVCHOLFAC Computes y(perm,perm) = u' * u, with u upper triangular.
%
% SEE ALSO sedumi, getada3
% ******************** INTERNAL FUNCTION OF SEDUMI ********************
function y = invcholfac(u,K, perm)
% This file is part of SeDuMi 1.1 by Imre Polik and Oleksandr Romanko
% Copyright (C) 2005 McMaster University, Hamilton, CANADA (since 1.1)
%
% Copyright (C) 2001 Jos F. Sturm (up to 1.05R5)
% Dept. Econometrics & O.R., Tilburg University, the Netherlands.
% Supported by the Netherlands Organization for Scientific Research (NWO).
%
% Affiliation SeDuMi 1.03 and 1.04Beta (2000):
% Dept. Quantitative Economics, Maastricht University, the Netherlands.
%
% Affiliations up to SeDuMi 1.02 (AUG1998):
% CRL, McMaster University, Canada.
% Supported by the Netherlands Organization for Scientific Research (NWO).
%
% This program is free software; you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation; either version 2 of the License, or
% (at your option) any later version.
%
% 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
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with this program; if not, write to the Free Software
% Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
% 02110-1301, USA
*/
#include "mex.h"
#include "triuaux.h"
#define Y_OUT plhs[0]
#define NPAROUT 1
#define U_IN prhs[0]
#define K_IN prhs[1]
#define NPARINMIN 2
#define PERM_IN prhs[2]
#define NPARIN 3
/* ============================================================
MAIN: MEXFUNCTION
============================================================ */
/* ************************************************************
PROCEDURE mexFunction - Entry for Matlab
************************************************************ */
void mexFunction(int nlhs, mxArray *plhs[],
int nrhs, const mxArray *prhs[])
{
mwIndex i, k, nk, nksqr, lenud, fwsiz;
double *fwork, *fworkpi, *y, *permPr;
const double *u;
mwIndex *perm, *iwork;
coneK cK;
char isperm;
/* ------------------------------------------------------------
Check for proper number of arguments
------------------------------------------------------------ */
if(nrhs < NPARIN){
isperm = 0;
mxAssert(nrhs >= NPARINMIN, "invcholfac requires at least 2 input arguments.");
}
else{
permPr = mxGetPr(PERM_IN);
isperm = (mxGetM(PERM_IN) * mxGetN(PERM_IN) > 0);
}
mxAssert(nlhs <= NPAROUT, "invcholfac generates 1 output argument.");
/* ------------------------------------------------------------
Disassemble cone K structure
------------------------------------------------------------ */
conepars(K_IN, &cK);
/* ------------------------------------------------------------
Get statistics of cone K structure
------------------------------------------------------------ */
lenud = cK.rDim + cK.hDim;
/* ------------------------------------------------------------
Get input U
------------------------------------------------------------ */
u = mxGetPr(U_IN);
mxAssert(mxGetM(U_IN) * mxGetN(U_IN) == lenud, "u size mismatch");
/* ------------------------------------------------------------
Allocate output Y
------------------------------------------------------------ */
Y_OUT = mxCreateDoubleMatrix(lenud, (mwSize)1, mxREAL);
y = mxGetPr(Y_OUT);
/* ------------------------------------------------------------
Allocate fwork = double( max(cK.rMaxn^2, 2*cK.hMaxn^2) )
iwork = mwIndex(rLen+hLen)
------------------------------------------------------------ */
fwsiz = MAX(SQR(cK.rMaxn),2*SQR(cK.hMaxn));
fwork = (double *) mxCalloc( MAX(1,fwsiz), sizeof(double));
iwork = (mwIndex *) mxCalloc( MAX(1, cK.rLen + cK.hLen), sizeof(mwIndex) );
/* ------------------------------------------------------------
Let perm=iwork, and fworkpi = fwork + SQR(cK.hMaxn)
------------------------------------------------------------ */
perm = iwork;
fworkpi = fwork + SQR(cK.hMaxn);
/* ------------------------------------------------------------
Convert Fortran to C-style in perm:
------------------------------------------------------------ */
if(isperm){
for(k = 0; k < cK.rLen + cK.hLen; k++){
i = permPr[k];
perm[k] = --i;
}
/* ------------------------------------------------------------
The actual job is done here: Y = invperm(U'*U)
------------------------------------------------------------ */
for(k = 0; k < cK.rsdpN; k++){ /* real symmetric */
nk = cK.sdpNL[k];
utmulx(fwork, u,u,nk);
triu2sym(fwork,nk);
invmatperm(y,fwork,perm,nk); /* Y(perm,perm) = Z */
nksqr = SQR(nk);
y += nksqr; u += nksqr;
perm += nk;
}
for(; k < cK.sdpN; k++){
nk = cK.sdpNL[k];
nksqr = SQR(nk);
prpiutmulx(fwork,fworkpi, u,u+nksqr,u,u+nksqr, nk);
triu2herm(fwork,fworkpi,nk);
invmatperm(y,fwork,perm,nk); /* Y(perm,perm) = Z */
invmatperm(y+nksqr,fworkpi,perm,nk); /* imaginary part */
nksqr += nksqr;
y += nksqr; u += nksqr;
perm += nk;
}
}
else{
/* ------------------------------------------------------------
Without permutation, it's simply Y = U'*U.
------------------------------------------------------------ */
for(k = 0; k < cK.rsdpN; k++){ /* real symmetric */
nk = cK.sdpNL[k];
utmulx(y, u,u,nk);
triu2sym(y,nk);
nksqr = SQR(nk);
y += nksqr; u += nksqr;
}
for(; k < cK.sdpN; k++){
nk = cK.sdpNL[k];
nksqr = SQR(nk);
prpiutmulx(y,y+nksqr, u,u+nksqr,u,u+nksqr, nk);
triu2herm(y,y+nksqr,nk);
nksqr += nksqr;
y += nksqr; u += nksqr;
}
}
/* ------------------------------------------------------------
Release working arrays.
------------------------------------------------------------ */
mxFree(fwork);
mxFree(iwork);
}

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