Added compute few eigenvectors routine

shogun-toolbox · Jul 22, 2012 · f4b3852 · f4b3852
1 parent 532a5dd
commit f4b3852
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diff --git a/src/shogun/lib/SGMatrix.cpp b/src/shogun/lib/SGMatrix.cpp
@@ -592,6 +592,17 @@ double* SGMatrix<T>::compute_eigenvectors(double* matrix, int n, int m)
 	return eigenvalues;
 }
 
+template <class T>
+void SGMatrix<T>::compute_few_eigenvectors(double* matrix, double*& eigenvalues, double*& eigenvectors,
+                                           int n, int il, int iu)
+{
+	eigenvalues = SG_MALLOC(double, n);
+	eigenvectors = SG_MALLOC(double, (iu-il+1)*n);
+	int status = 0;
+	wrap_dsyevr('V','U',n,matrix,n,il,iu,eigenvalues,eigenvectors,&status);
+	ASSERT(status==0);
+}
+
 template <class T>
 SGMatrix<float64_t> SGMatrix<T>::matrix_multiply(
 		SGMatrix<float64_t> A, SGMatrix<float64_t> B,

diff --git a/src/shogun/lib/SGMatrix.h b/src/shogun/lib/SGMatrix.h
@@ -184,6 +184,19 @@ template<class T> class SGMatrix : public SGReferencedData
 		 * */
 		static double* compute_eigenvectors(double* matrix, int n, int m);
 
+		/** compute few eigenpairs of a symmetric matrix using LAPACK DSYEVR method
+		 * (Relatively Robust Representations). 
+		 * Has at least O(n^3/3) complexity
+		 * @param matrix symmetric matrix
+		 * @param eigenvalues contains iu-il+1 eigenvalues in ascending order (to be free'd)
+		 * @param eigenvectors contains iu-il+1 orthonormal eigenvectors of given matrix column-wise (to be free'd)
+		 * @param n dimension of matrix
+		 * @param il low index of requested eigenpairs (1<=il<=n)
+		 * @param iu high index of requested eigenpairs (1<=il<=iu<=n)
+		 */
+		void compute_few_eigenvectors(double* matrix, double*& eigenvalues, double*& eigenvectors,
+                                      int n, int il, int iu);
+
 		/* Computes scale* A*B, where A and B may be transposed.
 		 * Asserts for matching inner dimensions.
 		 * @param A matrix A