Merge pull request #197 from paulkoerbitz/master

Expose lapack routines for solving least squares problems

Cargo.toml

@@ -31,7 +31,7 @@ rand = "0.5"
 
 [dependencies.ndarray]
 version = "0.13.0"
-features = ["blas"]
+features = ["blas", "approx"]
 default-features = false
 
 [dependencies.blas-src]
@@ -51,6 +51,7 @@ optional = true
 [dev-dependencies]
 paste = "0.1.9"
 criterion = "0.3.1"
+approx = { version = "0.3.2", features = ["num-complex"] }
 
 [[bench]]
 name = "truncated_eig"

src/lapack/least_squares.rs

@@ -0,0 +1,132 @@
+//! Least squares
+
+use lapacke;
+use ndarray::{ErrorKind, ShapeError};
+use num_traits::Zero;
+
+use crate::error::*;
+use crate::layout::MatrixLayout;
+use crate::types::*;
+
+use super::into_result;
+
+/// Result of LeastSquares
+pub struct LeastSquaresOutput<A: Scalar> {
+    /// singular values
+    pub singular_values: Vec<A::Real>,
+    /// The rank of the input matrix A
+    pub rank: i32,
+}
+
+/// Wraps `*gelsd`
+pub trait LeastSquaresSvdDivideConquer_: Scalar {
+    unsafe fn least_squares(
+        a_layout: MatrixLayout,
+        a: &mut [Self],
+        b: &mut [Self],
+    ) -> Result<LeastSquaresOutput<Self>>;
+
+    unsafe fn least_squares_nrhs(
+        a_layout: MatrixLayout,
+        a: &mut [Self],
+        b_layout: MatrixLayout,
+        b: &mut [Self],
+    ) -> Result<LeastSquaresOutput<Self>>;
+}
+
+macro_rules! impl_least_squares {
+    ($scalar:ty, $gelsd:path) => {
+        impl LeastSquaresSvdDivideConquer_ for $scalar {
+            unsafe fn least_squares(
+                a_layout: MatrixLayout,
+                a: &mut [Self],
+                b: &mut [Self],
+            ) -> Result<LeastSquaresOutput<Self>> {
+                let (m, n) = a_layout.size();
+                if (m as usize) > b.len() || (n as usize) > b.len() {
+                    return Err(LinalgError::Shape(ShapeError::from_kind(
+                        ErrorKind::IncompatibleShape,
+                    )));
+                }
+                let k = ::std::cmp::min(m, n);
+                let nrhs = 1;
+                let rcond: Self::Real = -1.;
+                let mut singular_values: Vec<Self::Real> = vec![Self::Real::zero(); k as usize];
+                let mut rank: i32 = 0;
+
+                let status = $gelsd(
+                    a_layout.lapacke_layout(),
+                    m,
+                    n,
+                    nrhs,
+                    a,
+                    a_layout.lda(),
+                    b,
+                    // this is the 'leading dimension of b', in the case where
+                    // b is a single vector, this is 1
+                    nrhs,
+                    &mut singular_values,
+                    rcond,
+                    &mut rank,
+                );
+
+                into_result(
+                    status,
+                    LeastSquaresOutput {
+                        singular_values,
+                        rank,
+                    },
+                )
+            }
+
+            unsafe fn least_squares_nrhs(
+                a_layout: MatrixLayout,
+                a: &mut [Self],
+                b_layout: MatrixLayout,
+                b: &mut [Self],
+            ) -> Result<LeastSquaresOutput<Self>> {
+                let (m, n) = a_layout.size();
+                if (m as usize) > b.len()
+                    || (n as usize) > b.len()
+                    || a_layout.lapacke_layout() != b_layout.lapacke_layout()
+                {
+                    return Err(LinalgError::Shape(ShapeError::from_kind(
+                        ErrorKind::IncompatibleShape,
+                    )));
+                }
+                let k = ::std::cmp::min(m, n);
+                let nrhs = b_layout.size().1;
+                let rcond: Self::Real = -1.;
+                let mut singular_values: Vec<Self::Real> = vec![Self::Real::zero(); k as usize];
+                let mut rank: i32 = 0;
+
+                let status = $gelsd(
+                    a_layout.lapacke_layout(),
+                    m,
+                    n,
+                    nrhs,
+                    a,
+                    a_layout.lda(),
+                    b,
+                    b_layout.lda(),
+                    &mut singular_values,
+                    rcond,
+                    &mut rank,
+                );
+
+                into_result(
+                    status,
+                    LeastSquaresOutput {
+                        singular_values,
+                        rank,
+                    },
+                )
+            }
+        }
+    };
+}
+
+impl_least_squares!(f64, lapacke::dgelsd);
+impl_least_squares!(f32, lapacke::sgelsd);
+impl_least_squares!(c64, lapacke::zgelsd);
+impl_least_squares!(c32, lapacke::cgelsd);

src/lapack/mod.rs

@@ -3,6 +3,7 @@
 pub mod cholesky;
 pub mod eig;
 pub mod eigh;
+pub mod least_squares;
 pub mod opnorm;
 pub mod qr;
 pub mod solve;
@@ -14,6 +15,7 @@ pub mod triangular;
 pub use self::cholesky::*;
 pub use self::eig::*;
 pub use self::eigh::*;
+pub use self::least_squares::*;
 pub use self::opnorm::*;
 pub use self::qr::*;
 pub use self::solve::*;