I have an array of the length m*n, that stores a list of double element. 
How to convert it into a matrix of m*n?
This is the method signature.
//returns a matrix of [m,n], given arr is of length m*n
static double[,] ConvertMatrix(Array arr, int m, int n)
{
}
                While other programming languages mostly work with numbers one at a time, MATLAB® is designed to operate primarily on whole matrices and arrays. All MATLAB variables are multidimensional arrays, no matter what type of data. A matrix is a two-dimensional array often used for linear algebra.
An array is a vector with one or more dimensions. A one-dimensional array can be considered a vector, and an array with two dimensions can be considered a matrix.
Arrays are superset of matrices. Matrices are a subset, special case of array where dimensions is two. Limited set of collection-based operations.
You can use Buffer.BlockCopy to do this very efficiently:
using System;
class Test
{
    static double[,] ConvertMatrix(double[] flat, int m, int n)
    {
        if (flat.Length != m * n)
        {
            throw new ArgumentException("Invalid length");
        }
        double[,] ret = new double[m, n];
        // BlockCopy uses byte lengths: a double is 8 bytes
        Buffer.BlockCopy(flat, 0, ret, 0, flat.Length * sizeof(double));
        return ret;
    }
    static void Main()
    {
        double[] d = { 2, 5, 3, 5, 1, 6 };
        double[,] matrix = ConvertMatrix(d, 3, 2);
        for (int i = 0; i < 3; i++)
        {
            for (int j = 0; j < 2; j++)
            {
                Console.WriteLine("matrix[{0},{1}] = {2}", i, j, matrix[i, j]);
            }
        }
    }
}
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