lu_solve.cpp

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LuSolve With Complex Arguments: Example and Test

# include <cppad/utility/lu_solve.hpp>       // for CppAD::LuSolve
# include <cppad/utility/near_equal.hpp>     // for CppAD::NearEqual
# include <cppad/utility/vector.hpp>  // for CppAD::vector
# include <complex>               // for std::complex

typedef std::complex<double> Complex;    // define the Complex type
bool LuSolve(void)
{  bool  ok = true;
   using namespace CppAD;

   size_t   n = 3;           // number rows in A and B
   size_t   m = 2;           // number columns in B, X and S

   // A is an n by n matrix, B, X, and S are n by m matrices
   CppAD::vector<Complex> A(n * n), B(n * m), X(n * m) , S(n * m);

   Complex  logdet;          // log of determinant of A
   int      signdet;         // zero if A is singular
   Complex  det;             // determinant of A
   size_t   i, j, k;         // some temporary indices

   // set A equal to the n by n Hilbert Matrix
   for(i = 0; i < n; i++)
      for(j = 0; j < n; j++)
         A[i * n + j] = 1. / (double) (i + j + 1);

   // set S to the solution of the equation we will solve
   for(j = 0; j < n; j++)
      for(k = 0; k < m; k++)
         S[ j * m + k ] = Complex(double(j), double(j + k));

   // set B = A * S
   size_t ik;
   Complex sum;
   for(k = 0; k < m; k++)
   {  for(i = 0; i < n; i++)
      {  sum = 0.;
         for(j = 0; j < n; j++)
            sum += A[i * n + j] * S[j * m + k];
         B[i * m + k] = sum;
      }
   }

   // solve the equation A * X = B and compute determinant of A
   signdet = CppAD::LuSolve(n, m, A, B, X, logdet);
   det     = Complex( signdet ) * exp( logdet );

   double cond  = 4.62963e-4;       // condition number of A when n = 3
   double determinant = 1. / 2160.; // determinant of A when n = 3
   double delta = 1e-14 / cond;     // accuracy expected in X

   // check determinant
   ok &= CppAD::NearEqual(det, determinant, delta, delta);

   // check solution
   for(ik = 0; ik < n * m; ik++)
      ok &= CppAD::NearEqual(X[ik], S[ik], delta, delta);

   return ok;
}