Merge commit 'refs/pull/263/head' of ssh://git.jetbrains.space/mipt-npm/sci/kmath into feature/tensor-algebra

kmath-core/src/commonMain/kotlin/space/kscience/kmath/tensors/LinearOpsTensorAlgebra.kt

@@ -14,7 +14,7 @@ public interface LinearOpsTensorAlgebra<T, TensorType : TensorStructure<T>, Inde
     public fun TensorType.cholesky(): TensorType
 
     //https://pytorch.org/docs/stable/linalg.html#torch.linalg.qr
-    public fun TensorType.qr(): TensorType
+    public fun TensorType.qr(): Pair<TensorType, TensorType>
 
     //https://pytorch.org/docs/stable/generated/torch.lu.html
     public fun TensorType.lu(): Pair<TensorType, IndexTensorType>

kmath-core/src/commonMain/kotlin/space/kscience/kmath/tensors/core/DoubleLinearOpsTensorAlgebra.kt

@@ -42,7 +42,8 @@ public class DoubleLinearOpsTensorAlgebra :
         //todo checks
         checkSquareMatrix(luTensor.shape)
         check(
-            luTensor.shape.dropLast(1).toIntArray() contentEquals pivotsTensor.shape
+            luTensor.shape.dropLast(2).toIntArray() contentEquals pivotsTensor.shape.dropLast(1).toIntArray() ||
+                    luTensor.shape.last() == pivotsTensor.shape.last() - 1
         ) { "Bed shapes ((" } //todo rewrite
 
         val n = luTensor.shape.last()
@@ -76,8 +77,56 @@ public class DoubleLinearOpsTensorAlgebra :
         return lTensor
     }
 
-    override fun DoubleTensor.qr(): DoubleTensor {
+    private fun MutableStructure1D<Double>.dot(other: MutableStructure1D<Double>): Double {
-        TODO("ANDREI")
+        var res = 0.0
+        for (i in 0 until size) {
+            res += this[i] * other[i]
+        }
+        return res
+    }
+
+    private fun MutableStructure1D<Double>.l2Norm(): Double {
+        var squareSum = 0.0
+        for (i in 0 until size) {
+            squareSum += this[i] * this[i]
+        }
+        return sqrt(squareSum)
+    }
+
+    fun qrHelper(
+        matrix: MutableStructure2D<Double>,
+        q: MutableStructure2D<Double>,
+        r: MutableStructure2D<Double>
+    ) {
+        //todo check square
+        val n = matrix.colNum
+        for (j in 0 until n) {
+            val v = matrix.columns[j]
+            if (j > 0) {
+                for (i in 0 until j) {
+                    r[i, j] = q.columns[i].dot(matrix.columns[j])
+                    for (k in 0 until n) {
+                        v[k] = v[k] - r[i, j] * q.columns[i][k]
+                    }
+                }
+            }
+            r[j, j] = v.l2Norm()
+            for (i in 0 until n) {
+                q[i, j] = v[i] / r[j, j]
+            }
+        }
+    }
+
+    override fun DoubleTensor.qr(): Pair<DoubleTensor, DoubleTensor> {
+        checkSquareMatrix(shape)
+        val qTensor = zeroesLike()
+        val rTensor = zeroesLike()
+        val seq = matrixSequence().zip((qTensor.matrixSequence().zip(rTensor.matrixSequence())))
+        for ((matrix, qr) in seq) {
+            val (q, r) = qr
+            qrHelper(matrix.as2D(), q.as2D(), r.as2D())
+        }
+        return Pair(qTensor, rTensor)
     }
 
     override fun DoubleTensor.svd(): Triple<DoubleTensor, DoubleTensor, DoubleTensor> {

kmath-core/src/commonTest/kotlin/space/kscience/kmath/tensors/core/TestDoubleLinearOpsAlgebra.kt

@@ -76,4 +76,50 @@ class TestDoubleLinearOpsTensorAlgebra {
         val b = fromArray(intArrayOf(3), doubleArrayOf(5.5, 2.6, 6.4))
         assertEquals(a.dot(b).value(), 59.92)
     }
+
+    @Test
+    fun testQR() = DoubleLinearOpsTensorAlgebra {
+        val shape = intArrayOf(2, 2, 2)
+        val buffer = doubleArrayOf(
+            1.0, 3.0,
+            1.0, 2.0,
+            1.5, 1.0,
+            10.0, 2.0
+        )
+
+        val tensor = fromArray(shape, buffer)
+
+        val (q, r) = tensor.qr()
+
+        assertTrue { q.shape contentEquals shape }
+        assertTrue { r.shape contentEquals shape }
+
+        assertTrue { q.dot(r).buffer.array().epsEqual(buffer) }
+
+        //todo check orthogonality/upper triang.
+    }
+
+    @Test
+    fun testLU() = DoubleLinearOpsTensorAlgebra {
+        val shape = intArrayOf(2, 2, 2)
+        val buffer = doubleArrayOf(
+            1.0, 3.0,
+            1.0, 2.0,
+            1.5, 1.0,
+            10.0, 2.0
+        )
+        val tensor = fromArray(shape, buffer)
+
+        val (lu, pivots) = tensor.lu()
+
+        // todo check lu
+
+        val (p, l, u) = luPivot(lu, pivots)
+
+        assertTrue { p.shape contentEquals shape }
+        assertTrue { l.shape contentEquals shape }
+        assertTrue { u.shape contentEquals shape }
+
+        assertTrue { p.dot(tensor).buffer.array().epsEqual(l.dot(u).buffer.array()) }
+    }
 }