sylvester.js 4.1 KB

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  1. import { factory } from '../../utils/factory.js';
  2. var name = 'sylvester';
  3. var dependencies = ['typed', 'schur', 'matrixFromColumns', 'matrix', 'multiply', 'range', 'concat', 'transpose', 'index', 'subset', 'add', 'subtract', 'identity', 'lusolve', 'abs'];
  4. export var createSylvester = /* #__PURE__ */factory(name, dependencies, _ref => {
  5. var {
  6. typed,
  7. schur,
  8. matrixFromColumns,
  9. matrix,
  10. multiply,
  11. range,
  12. concat,
  13. transpose,
  14. index,
  15. subset,
  16. add,
  17. subtract,
  18. identity,
  19. lusolve,
  20. abs
  21. } = _ref;
  22. /**
  23. *
  24. * Solves the real-valued Sylvester equation AX+XB=C for X, where A, B and C are
  25. * matrices of appropriate dimensions, being A and B squared. Notice that other
  26. * equivalent definitions for the Sylvester equation exist and this function
  27. * assumes the one presented in the original publication of the the Bartels-
  28. * Stewart algorithm, which is implemented by this function.
  29. * https://en.wikipedia.org/wiki/Sylvester_equation
  30. *
  31. * Syntax:
  32. *
  33. * math.sylvester(A, B, C)
  34. *
  35. * Examples:
  36. *
  37. * const A = [[-1, -2], [1, 1]]
  38. * const B = [[2, -1], [1, -2]]
  39. * const C = [[-3, 2], [3, 0]]
  40. * math.sylvester(A, B, C) // returns DenseMatrix [[-0.25, 0.25], [1.5, -1.25]]
  41. *
  42. * See also:
  43. *
  44. * schur, lyap
  45. *
  46. * @param {Matrix | Array} A Matrix A
  47. * @param {Matrix | Array} B Matrix B
  48. * @param {Matrix | Array} C Matrix C
  49. * @return {Matrix | Array} Matrix X, solving the Sylvester equation
  50. */
  51. return typed(name, {
  52. 'Matrix, Matrix, Matrix': _sylvester,
  53. 'Array, Matrix, Matrix': function ArrayMatrixMatrix(A, B, C) {
  54. return _sylvester(matrix(A), B, C);
  55. },
  56. 'Array, Array, Matrix': function ArrayArrayMatrix(A, B, C) {
  57. return _sylvester(matrix(A), matrix(B), C);
  58. },
  59. 'Array, Matrix, Array': function ArrayMatrixArray(A, B, C) {
  60. return _sylvester(matrix(A), B, matrix(C));
  61. },
  62. 'Matrix, Array, Matrix': function MatrixArrayMatrix(A, B, C) {
  63. return _sylvester(A, matrix(B), C);
  64. },
  65. 'Matrix, Array, Array': function MatrixArrayArray(A, B, C) {
  66. return _sylvester(A, matrix(B), matrix(C));
  67. },
  68. 'Matrix, Matrix, Array': function MatrixMatrixArray(A, B, C) {
  69. return _sylvester(A, B, matrix(C));
  70. },
  71. 'Array, Array, Array': function ArrayArrayArray(A, B, C) {
  72. return _sylvester(matrix(A), matrix(B), matrix(C)).toArray();
  73. }
  74. });
  75. function _sylvester(A, B, C) {
  76. var n = B.size()[0];
  77. var m = A.size()[0];
  78. var sA = schur(A);
  79. var F = sA.T;
  80. var U = sA.U;
  81. var sB = schur(multiply(-1, B));
  82. var G = sB.T;
  83. var V = sB.U;
  84. var D = multiply(multiply(transpose(U), C), V);
  85. var all = range(0, m);
  86. var y = [];
  87. var hc = (a, b) => concat(a, b, 1);
  88. var vc = (a, b) => concat(a, b, 0);
  89. for (var k = 0; k < n; k++) {
  90. if (k < n - 1 && abs(subset(G, index(k + 1, k))) > 1e-5) {
  91. var RHS = vc(subset(D, index(all, k)), subset(D, index(all, k + 1)));
  92. for (var j = 0; j < k; j++) {
  93. RHS = add(RHS, vc(multiply(y[j], subset(G, index(j, k))), multiply(y[j], subset(G, index(j, k + 1)))));
  94. }
  95. var gkk = multiply(identity(m), multiply(-1, subset(G, index(k, k))));
  96. var gmk = multiply(identity(m), multiply(-1, subset(G, index(k + 1, k))));
  97. var gkm = multiply(identity(m), multiply(-1, subset(G, index(k, k + 1))));
  98. var gmm = multiply(identity(m), multiply(-1, subset(G, index(k + 1, k + 1))));
  99. var LHS = vc(hc(add(F, gkk), gmk), hc(gkm, add(F, gmm)));
  100. var yAux = lusolve(LHS, RHS);
  101. y[k] = yAux.subset(index(range(0, m), 0));
  102. y[k + 1] = yAux.subset(index(range(m, 2 * m), 0));
  103. k++;
  104. } else {
  105. var _RHS = subset(D, index(all, k));
  106. for (var _j = 0; _j < k; _j++) {
  107. _RHS = add(_RHS, multiply(y[_j], subset(G, index(_j, k))));
  108. }
  109. var _gkk = subset(G, index(k, k));
  110. var _LHS = subtract(F, multiply(_gkk, identity(m)));
  111. y[k] = lusolve(_LHS, _RHS);
  112. }
  113. }
  114. var Y = matrix(matrixFromColumns(...y));
  115. var X = multiply(U, multiply(Y, transpose(V)));
  116. return X;
  117. }
  118. });