= n, the LU decomposition is an m-by-n * unit lower triangular matrix L, an n-by-n upper triangular matrix U, * and a permutation vector piv of length m so that A(piv,:) = L*U. * If m < n, then L is m-by-m and U is m-by-n. * * The LU decompostion with pivoting always exists, even if the matrix is * singular, so the constructor will never fail. The primary use of the * LU decomposition is in the solution of square systems of simultaneous * linear equations. This will fail if isNonsingular() returns false. * * @author Paul Meagher * @author Bartosz Matosiuk * @author Michael Bommarito * * @version 1.1 * * @license PHP v3.0 * * Slightly changed to adapt the original code to PHP-ML library * @date 2017/04/24 * * @author Mustafa Karabulut */ namespace Phpml\Math\LinearAlgebra; use Phpml\Exception\MatrixException; use Phpml\Math\Matrix; class LUDecomposition { /** * Decomposition storage * * @var array */ private $LU = []; /** * Row dimension. * * @var int */ private $m; /** * Column dimension. * * @var int */ private $n; /** * Pivot sign. * * @var int */ private $pivsign; /** * Internal storage of pivot vector. * * @var array */ private $piv = []; /** * Constructs Structure to access L, U and piv. * * @param Matrix $A Rectangular matrix * * @throws MatrixException */ public function __construct(Matrix $A) { if ($A->getRows() != $A->getColumns()) { throw new MatrixException('Matrix is not square matrix'); } // Use a "left-looking", dot-product, Crout/Doolittle algorithm. $this->LU = $A->toArray(); $this->m = $A->getRows(); $this->n = $A->getColumns(); for ($i = 0; $i < $this->m; ++$i) { $this->piv[$i] = $i; } $this->pivsign = 1; $LUcolj = []; // Outer loop. for ($j = 0; $j < $this->n; ++$j) { // Make a copy of the j-th column to localize references. for ($i = 0; $i < $this->m; ++$i) { $LUcolj[$i] = &$this->LU[$i][$j]; } // Apply previous transformations. for ($i = 0; $i < $this->m; ++$i) { $LUrowi = $this->LU[$i]; // Most of the time is spent in the following dot product. $kmax = min($i, $j); $s = 0.0; for ($k = 0; $k < $kmax; ++$k) { $s += $LUrowi[$k] * $LUcolj[$k]; } $LUrowi[$j] = $LUcolj[$i] -= $s; } // Find pivot and exchange if necessary. $p = $j; for ($i = $j + 1; $i < $this->m; ++$i) { if (abs($LUcolj[$i]) > abs($LUcolj[$p])) { $p = $i; } } if ($p != $j) { for ($k = 0; $k < $this->n; ++$k) { $t = $this->LU[$p][$k]; $this->LU[$p][$k] = $this->LU[$j][$k]; $this->LU[$j][$k] = $t; } $k = $this->piv[$p]; $this->piv[$p] = $this->piv[$j]; $this->piv[$j] = $k; $this->pivsign = $this->pivsign * -1; } // Compute multipliers. if (($j < $this->m) && ($this->LU[$j][$j] != 0.0)) { for ($i = $j + 1; $i < $this->m; ++$i) { $this->LU[$i][$j] /= $this->LU[$j][$j]; } } } } /** * Get lower triangular factor. * * @return Matrix Lower triangular factor */ public function getL(): Matrix { $L = []; for ($i = 0; $i < $this->m; ++$i) { for ($j = 0; $j < $this->n; ++$j) { if ($i > $j) { $L[$i][$j] = $this->LU[$i][$j]; } elseif ($i == $j) { $L[$i][$j] = 1.0; } else { $L[$i][$j] = 0.0; } } } return new Matrix($L); } /** * Get upper triangular factor. * * @return Matrix Upper triangular factor */ public function getU(): Matrix { $U = []; for ($i = 0; $i < $this->n; ++$i) { for ($j = 0; $j < $this->n; ++$j) { if ($i <= $j) { $U[$i][$j] = $this->LU[$i][$j]; } else { $U[$i][$j] = 0.0; } } } return new Matrix($U); } /** * Return pivot permutation vector. * * @return array Pivot vector */ public function getPivot(): array { return $this->piv; } /** * Alias for getPivot * * @see getPivot */ public function getDoublePivot() { return $this->getPivot(); } /** * Is the matrix nonsingular? * * @return bool true if U, and hence A, is nonsingular. */ public function isNonsingular(): bool { for ($j = 0; $j < $this->n; ++$j) { if ($this->LU[$j][$j] == 0) { return false; } } return true; } public function det(): float { $d = $this->pivsign; for ($j = 0; $j < $this->n; ++$j) { $d *= $this->LU[$j][$j]; } return (float) $d; } /** * Solve A*X = B * * @param Matrix $B A Matrix with as many rows as A and any number of columns. * * @return array X so that L*U*X = B(piv,:) * * @throws MatrixException */ public function solve(Matrix $B): array { if ($B->getRows() != $this->m) { throw new MatrixException('Matrix is not square matrix'); } if (!$this->isNonsingular()) { throw new MatrixException('Matrix is singular'); } // Copy right hand side with pivoting $nx = $B->getColumns(); $X = $this->getSubMatrix($B->toArray(), $this->piv, 0, $nx - 1); // Solve L*Y = B(piv,:) for ($k = 0; $k < $this->n; ++$k) { for ($i = $k + 1; $i < $this->n; ++$i) { for ($j = 0; $j < $nx; ++$j) { $X[$i][$j] -= $X[$k][$j] * $this->LU[$i][$k]; } } } // Solve U*X = Y; for ($k = $this->n - 1; $k >= 0; --$k) { for ($j = 0; $j < $nx; ++$j) { $X[$k][$j] /= $this->LU[$k][$k]; } for ($i = 0; $i < $k; ++$i) { for ($j = 0; $j < $nx; ++$j) { $X[$i][$j] -= $X[$k][$j] * $this->LU[$i][$k]; } } } return $X; } protected function getSubMatrix(array $matrix, array $RL, int $j0, int $jF): array { $m = count($RL); $n = $jF - $j0; $R = array_fill(0, $m, array_fill(0, $n + 1, 0.0)); for ($i = 0; $i < $m; ++$i) { for ($j = $j0; $j <= $jF; ++$j) { $R[$i][$j - $j0] = $matrix[$RL[$i]][$j]; } } return $R; } }