Adding Generalized Eigenvalue functions to IT++

I have added a functions call to lapack DGGEV and ZGGEV functions to solve generalized eigenvalue problem. There are three files to modify: lapack.h, eigen.h, and eigen.cpp. The diff files can be obtained from this link.

To test the code, I ran an example for generalized complex eigenvalue problem found in the NAG site. The test program is shown below:

#include 

using namespace itpp;

//These lines are needed for use of cout and endl
using std::cout;
using std::endl;

int main()
{

  cmat cA,cB;
  cA="-21.10-22.50i 53.50-50.50i -34.50+127.50i 7.50+0.50i; 
        -0.46-7.78i -3.50-37.50i -15.50+58.50i -10.50-1.50i; 
        4.30-5.50i 39.70-17.10i -68.50+12.50i -7.50-3.50i; 
        5.50+4.40i 14.40+43.30i -32.50-46.00i -19.00-32.50i";

  cB="1.00-5.00i 1.60+1.20i -3.00+0.00i 0.00-1.00i; 
        0.80-0.60i 3.00-5.00i -4.00+3.00i -2.40-3.20i;  
        1.00+0.00i  2.40+1.80i -4.00-5.00i 0.00-3.00i;  
        0.00+1.00i -1.80+2.40i  0.00-4.00i  4.00-5.00i";

  cout<< "cA = " << cA<<endl;
  cout<< "cB = " << cB<<endl;

  cvec lambda;
  cmat evecs;
  eig(cA,cB,lambda,evecs);
  cout<< "eig(cA,cB)\n";
  cout << "lambda = "<<lambda<<endl;
  cout << "evecs = "<<evecs<<endl;

  //Exit program:
  return 0;

}

And the output is:

cA = [[-21.1-22.5i 53.5-50.5i -34.5+127.5i 7.5+0.5i]
 [-0.46-7.78i -3.5-37.5i -15.5+58.5i -10.5-1.5i]
 [4.3-5.5i 39.7-17.1i -68.5+12.5i -7.5-3.5i]
 [5.5+4.4i 14.4+43.3i -32.5-46i -19-32.5i]]
cB = [[1-5i 1.6+1.2i -3+0i 0-1i]
 [0.8-0.6i 3-5i -4+3i -2.4-3.2i]
 [1+0i 2.4+1.8i -4-5i 0-3i]
 [0+1i -1.8+2.4i 0-4i 4-5i]]
eig(cA,cB)
lambda = [3-9i 2-5i 3-1i 4-5i]
evecs = [[-0.823768-0.176232i 0.639741+0.360259i 
                  0.977535+0.0224645i -0.906234+0.0937662i]
 [-0.152951+0.0706552i 0.0041597-0.000546503i 
                  0.159101-0.11371i -0.0074303+0.00687504i]
 [-0.0706552-0.152951i 0.0402123+0.0226448i 
                  0.120899-0.15371i 0.0302078-0.00312554i]
 [0.152951-0.0706552i -0.0226448+0.0402123i 
                  0.15371+0.120899i -0.0145859-0.14097i]]

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Calling lapack functions from C++ codes

I have been using IT++ for my C++ class matrix and vectors. It is a great libraries. However, it lacks the function to solve generalized eigenvalue problem. so I need to link directly to lapack to do this. I follow the wrapper used in eigen.cpp to link to ZGGEV function of lapack. I tested the code with the problem shown in NAG website for ZGGEV examples.

To use IT++ matrix and vector classes, we need to include:
#include <itpp/base.h>

Then we need to declare the ZGGEV function prototype. Refer to this page for details on ZGGEV parameters. We can then define

extern "C"{
void zggev_(char *jobvl, char *jobvr, int *n, std::complex *a,
            int *lda, std::complex *b, int *ldb, std::complex *alpha,
            std::complex *beta, std::complex *vl,
            int *ldvl, std::complex *vr, int *ldvr,
            std::complex *work, int *lwork, double *rwork, int *info);
}

To call the functions, we simply type:

zggev_(&jobvl, &jobvr, &n, cA._data(), &lda, 
           cB._data(), &ldb, alpha._data(),  beta._data(), vl._data(), 
           &ldvl, vr._data(), &ldvr, work._data(), &lwork, 
           rwork._data(), &info);

and then we need to compile and link. These are the command:

gcc -I$HOME/local/include -I$HOME/Download/boost_1_36_0 \
     -L$HOME/local/lib testzlapack.cpp -o tzlapack \
     -llapack -lcblas -lf77blas -latlas -litpp -g


Note that I use a modified IT++ library that uses Boost libraries to compute complex function acos.

The complete source code is:

//file:testzlapack.cpp
#include &lt itpp/base.h &gt

using namespace itpp;

//These lines are needed for use of cout and endl
using std::cout;
using std::endl;

extern "C"{
void zggev_(char *jobvl, char *jobvr, int *n, std::complex *a,
            int *lda, std::complex *b, int *ldb, std::complex *alpha,
            std::complex *beta, std::complex *vl,
            int *ldvl, std::complex *vr, int *ldvr,
            std::complex *work, int *lwork, double *rwork, int *info);
}

int main()
{

  cmat cA,cB;
  cA="-21.10-22.50i 53.50-50.50i -34.50+127.50i 7.50+0.50i; 
    -0.46-7.78i -3.50-37.50i -15.50+58.50i -10.50-1.50i; 
    4.30-5.50i 39.70-17.10i -68.50+12.50i -7.50-3.50i; 
    5.50+4.40i 14.40+43.30i -32.50-46.00i -19.00-32.50i";

 cB="1.00-5.00i 1.60+1.20i -3.00+0.00i 0.00-1.00i; 
   0.80-0.60i 3.00-5.00i -4.00+3.00i -2.40-3.20i;  
   1.00+0.00i  2.40+1.80i -4.00-5.00i 0.00-3.00i;  
   0.00+1.00i -1.80+2.40i  0.00-4.00i  4.00-5.00i";

  cout<< "cA = " << cA<<endl;
  cout<< "cB = " << cB<<endl;

  cvec lambda;
  cmat evecs;
//  eig(cA,lambda,evecs);
  char jobvl = 'N', jobvr = 'V';
  int n, lda, ldb, ldvl, ldvr, lwork, info;
  n=lda=cA.rows();
  ldb = cB.rows();
  ldvl = 1;
  ldvr = n;
  lwork = std::max(1,  n*n+64); // This may be choosen better!

  cvec work(lwork);
  vec rwork(8*n); // This may be choosen better
  cvec alpha(n), beta(n);
  cmat vl(1,1), vr(n, n);
  zggev_(&jobvl, &jobvr, &n, cA._data(), &lda, 
       cB._data(), &ldb, alpha._data(),  beta._data(), vl._data(), 
       &ldvl, vr._data(), &ldvr, work._data(), &lwork, 
       rwork._data(), &info);
  lambda=elem_div(alpha,beta);
  evecs=vr;
  cout<<endl;
  cout<< "eig(cA,cB)= \n";
  cout << "lambda = "<<lambda<<endl;
  cout << "evecs = "<<evecs<<endl;

  //Exit program:
  return 0;

}


And we get the output:

cA = [[-21.1-22.5i 53.5-50.5i -34.5+127.5i 7.5+0.5i]
 [-0.46-7.78i -3.5-37.5i -15.5+58.5i -10.5-1.5i]
 [4.3-5.5i 39.7-17.1i -68.5+12.5i -7.5-3.5i]
 [5.5+4.4i 14.4+43.3i -32.5-46i -19-32.5i]]
cB = [[1-5i 1.6+1.2i -3+0i 0-1i]
 [0.8-0.6i 3-5i -4+3i -2.4-3.2i]
 [1+0i 2.4+1.8i -4-5i 0-3i]
 [0+1i -1.8+2.4i 0-4i 4-5i]]

 eig(cA,cB)=
lambda = [3-9i 2-5i 3-1i 4-5i]
evecs = [[-0.823768-0.176232i 0.639741+0.360259i 
                     0.977535+0.0224645i -0.906234+0.0937662i]
 [-0.152951+0.0706552i 0.0041597-0.000546503i 
                     0.159101-0.11371i -0.0074303+0.00687504i]
 [-0.0706552-0.152951i 0.0402123+0.0226448i 
                     0.120899-0.15371i 0.0302078-0.00312554i]
 [0.152951-0.0706552i -0.0226448+0.0402123i 
                     0.15371+0.120899i -0.0145859-0.14097i]]

which agrees with the results shown in NAG site.

IT++ multiplication scalar and matrix

I got error when I tried to multiply a double with a complex matrix. It turns out because IT++ 4.0.6 only implement :
operator*(const double, const cmat)

So it gives error when do : (cmat*double)

To fix this, apply the patch below:
— itpp-4.0.6/itpp/base/operators.cpp 2008-10-08 19:52:24.000000000 +0800
+++ NumericalComputation/itpp-4.0.6/itpp/base/operators.cpp 2009-03-10 14:08:55.000000000 +0800
@@ -238,6 +238,7 @@
return temp;
}

+
cmat operator*(const std::complex &s, const mat &m)
{
it_assert_debug(m.rows() > 0 && m.cols() > 0, “operator*(): Matrix of zero length”);
@@ -261,6 +262,17 @@
return temp;
}

+cmat operator*(const cmat &m, const double &s)
+{
+ it_assert_debug(m.rows() > 0 && m.cols() > 0, “operator*(): Matrix of zero length”);
+
+ cmat temp = m;
+ for (int i = 0;i < m._datasize();i++) {
+ temp._data()[i] *= (double)s;
+ }
+ return temp;
+}
+
//———————- between matrix and scalar ——————–

//———– Multiplication of a scalar and a vec —————–

and for operators.h:
— itpp-4.0.6/itpp/base/operators.h 2008-10-08 19:52:24.000000000 +0800
+++ NumericalComputation/itpp-4.0.6/itpp/base/operators.h 2009-03-10 14:40:02.000000000 +0800
@@ -654,6 +654,8 @@
*/
cmat operator/(const cmat &m, const double &s);

+cmat operator*(const cmat &m, const double &s);
+
//———————- between vec and vectors ——————–

/*!