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author | Stanislaw Halik <sthalik@misaki.pl> | 2019-03-03 21:09:10 +0100 |
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committer | Stanislaw Halik <sthalik@misaki.pl> | 2019-03-03 21:10:13 +0100 |
commit | f0238cfb6997c4acfc2bd200de7295f3fa36968f (patch) | |
tree | b215183760e4f615b9c1dabc1f116383b72a1b55 /eigen/Eigen/src/IterativeLinearSolvers/IncompleteCholesky.h | |
parent | 543edd372a5193d04b3de9f23c176ab439e51b31 (diff) |
don't index Eigen
Diffstat (limited to 'eigen/Eigen/src/IterativeLinearSolvers/IncompleteCholesky.h')
-rw-r--r-- | eigen/Eigen/src/IterativeLinearSolvers/IncompleteCholesky.h | 400 |
1 files changed, 0 insertions, 400 deletions
diff --git a/eigen/Eigen/src/IterativeLinearSolvers/IncompleteCholesky.h b/eigen/Eigen/src/IterativeLinearSolvers/IncompleteCholesky.h deleted file mode 100644 index e45c272..0000000 --- a/eigen/Eigen/src/IterativeLinearSolvers/IncompleteCholesky.h +++ /dev/null @@ -1,400 +0,0 @@ -// This file is part of Eigen, a lightweight C++ template library -// for linear algebra. -// -// Copyright (C) 2012 Désiré Nuentsa-Wakam <desire.nuentsa_wakam@inria.fr> -// Copyright (C) 2015 Gael Guennebaud <gael.guennebaud@inria.fr> -// -// This Source Code Form is subject to the terms of the Mozilla -// Public License v. 2.0. If a copy of the MPL was not distributed -// with this file, You can obtain one at http://mozilla.org/MPL/2.0/. - -#ifndef EIGEN_INCOMPLETE_CHOlESKY_H -#define EIGEN_INCOMPLETE_CHOlESKY_H - -#include <vector> -#include <list> - -namespace Eigen { -/** - * \brief Modified Incomplete Cholesky with dual threshold - * - * References : C-J. Lin and J. J. Moré, Incomplete Cholesky Factorizations with - * Limited memory, SIAM J. Sci. Comput. 21(1), pp. 24-45, 1999 - * - * \tparam Scalar the scalar type of the input matrices - * \tparam _UpLo The triangular part that will be used for the computations. It can be Lower - * or Upper. Default is Lower. - * \tparam _OrderingType The ordering method to use, either AMDOrdering<> or NaturalOrdering<>. Default is AMDOrdering<int>, - * unless EIGEN_MPL2_ONLY is defined, in which case the default is NaturalOrdering<int>. - * - * \implsparsesolverconcept - * - * It performs the following incomplete factorization: \f$ S P A P' S \approx L L' \f$ - * where L is a lower triangular factor, S is a diagonal scaling matrix, and P is a - * fill-in reducing permutation as computed by the ordering method. - * - * \b Shifting \b strategy: Let \f$ B = S P A P' S \f$ be the scaled matrix on which the factorization is carried out, - * and \f$ \beta \f$ be the minimum value of the diagonal. If \f$ \beta > 0 \f$ then, the factorization is directly performed - * on the matrix B. Otherwise, the factorization is performed on the shifted matrix \f$ B + (\sigma+|\beta| I \f$ where - * \f$ \sigma \f$ is the initial shift value as returned and set by setInitialShift() method. The default value is \f$ \sigma = 10^{-3} \f$. - * If the factorization fails, then the shift in doubled until it succeed or a maximum of ten attempts. If it still fails, as returned by - * the info() method, then you can either increase the initial shift, or better use another preconditioning technique. - * - */ -template <typename Scalar, int _UpLo = Lower, typename _OrderingType = -#ifndef EIGEN_MPL2_ONLY -AMDOrdering<int> -#else -NaturalOrdering<int> -#endif -> -class IncompleteCholesky : public SparseSolverBase<IncompleteCholesky<Scalar,_UpLo,_OrderingType> > -{ - protected: - typedef SparseSolverBase<IncompleteCholesky<Scalar,_UpLo,_OrderingType> > Base; - using Base::m_isInitialized; - public: - typedef typename NumTraits<Scalar>::Real RealScalar; - typedef _OrderingType OrderingType; - typedef typename OrderingType::PermutationType PermutationType; - typedef typename PermutationType::StorageIndex StorageIndex; - typedef SparseMatrix<Scalar,ColMajor,StorageIndex> FactorType; - typedef Matrix<Scalar,Dynamic,1> VectorSx; - typedef Matrix<RealScalar,Dynamic,1> VectorRx; - typedef Matrix<StorageIndex,Dynamic, 1> VectorIx; - typedef std::vector<std::list<StorageIndex> > VectorList; - enum { UpLo = _UpLo }; - enum { - ColsAtCompileTime = Dynamic, - MaxColsAtCompileTime = Dynamic - }; - public: - - /** Default constructor leaving the object in a partly non-initialized stage. - * - * You must call compute() or the pair analyzePattern()/factorize() to make it valid. - * - * \sa IncompleteCholesky(const MatrixType&) - */ - IncompleteCholesky() : m_initialShift(1e-3),m_factorizationIsOk(false) {} - - /** Constructor computing the incomplete factorization for the given matrix \a matrix. - */ - template<typename MatrixType> - IncompleteCholesky(const MatrixType& matrix) : m_initialShift(1e-3),m_factorizationIsOk(false) - { - compute(matrix); - } - - /** \returns number of rows of the factored matrix */ - Index rows() const { return m_L.rows(); } - - /** \returns number of columns of the factored matrix */ - Index cols() const { return m_L.cols(); } - - - /** \brief Reports whether previous computation was successful. - * - * It triggers an assertion if \c *this has not been initialized through the respective constructor, - * or a call to compute() or analyzePattern(). - * - * \returns \c Success if computation was successful, - * \c NumericalIssue if the matrix appears to be negative. - */ - ComputationInfo info() const - { - eigen_assert(m_isInitialized && "IncompleteCholesky is not initialized."); - return m_info; - } - - /** \brief Set the initial shift parameter \f$ \sigma \f$. - */ - void setInitialShift(RealScalar shift) { m_initialShift = shift; } - - /** \brief Computes the fill reducing permutation vector using the sparsity pattern of \a mat - */ - template<typename MatrixType> - void analyzePattern(const MatrixType& mat) - { - OrderingType ord; - PermutationType pinv; - ord(mat.template selfadjointView<UpLo>(), pinv); - if(pinv.size()>0) m_perm = pinv.inverse(); - else m_perm.resize(0); - m_L.resize(mat.rows(), mat.cols()); - m_analysisIsOk = true; - m_isInitialized = true; - m_info = Success; - } - - /** \brief Performs the numerical factorization of the input matrix \a mat - * - * The method analyzePattern() or compute() must have been called beforehand - * with a matrix having the same pattern. - * - * \sa compute(), analyzePattern() - */ - template<typename MatrixType> - void factorize(const MatrixType& mat); - - /** Computes or re-computes the incomplete Cholesky factorization of the input matrix \a mat - * - * It is a shortcut for a sequential call to the analyzePattern() and factorize() methods. - * - * \sa analyzePattern(), factorize() - */ - template<typename MatrixType> - void compute(const MatrixType& mat) - { - analyzePattern(mat); - factorize(mat); - } - - // internal - template<typename Rhs, typename Dest> - void _solve_impl(const Rhs& b, Dest& x) const - { - eigen_assert(m_factorizationIsOk && "factorize() should be called first"); - if (m_perm.rows() == b.rows()) x = m_perm * b; - else x = b; - x = m_scale.asDiagonal() * x; - x = m_L.template triangularView<Lower>().solve(x); - x = m_L.adjoint().template triangularView<Upper>().solve(x); - x = m_scale.asDiagonal() * x; - if (m_perm.rows() == b.rows()) - x = m_perm.inverse() * x; - } - - /** \returns the sparse lower triangular factor L */ - const FactorType& matrixL() const { eigen_assert("m_factorizationIsOk"); return m_L; } - - /** \returns a vector representing the scaling factor S */ - const VectorRx& scalingS() const { eigen_assert("m_factorizationIsOk"); return m_scale; } - - /** \returns the fill-in reducing permutation P (can be empty for a natural ordering) */ - const PermutationType& permutationP() const { eigen_assert("m_analysisIsOk"); return m_perm; } - - protected: - FactorType m_L; // The lower part stored in CSC - VectorRx m_scale; // The vector for scaling the matrix - RealScalar m_initialShift; // The initial shift parameter - bool m_analysisIsOk; - bool m_factorizationIsOk; - ComputationInfo m_info; - PermutationType m_perm; - - private: - inline void updateList(Ref<const VectorIx> colPtr, Ref<VectorIx> rowIdx, Ref<VectorSx> vals, const Index& col, const Index& jk, VectorIx& firstElt, VectorList& listCol); -}; - -// Based on the following paper: -// C-J. Lin and J. J. Moré, Incomplete Cholesky Factorizations with -// Limited memory, SIAM J. Sci. Comput. 21(1), pp. 24-45, 1999 -// http://ftp.mcs.anl.gov/pub/tech_reports/reports/P682.pdf -template<typename Scalar, int _UpLo, typename OrderingType> -template<typename _MatrixType> -void IncompleteCholesky<Scalar,_UpLo, OrderingType>::factorize(const _MatrixType& mat) -{ - using std::sqrt; - eigen_assert(m_analysisIsOk && "analyzePattern() should be called first"); - - // Dropping strategy : Keep only the p largest elements per column, where p is the number of elements in the column of the original matrix. Other strategies will be added - - // Apply the fill-reducing permutation computed in analyzePattern() - if (m_perm.rows() == mat.rows() ) // To detect the null permutation - { - // The temporary is needed to make sure that the diagonal entry is properly sorted - FactorType tmp(mat.rows(), mat.cols()); - tmp = mat.template selfadjointView<_UpLo>().twistedBy(m_perm); - m_L.template selfadjointView<Lower>() = tmp.template selfadjointView<Lower>(); - } - else - { - m_L.template selfadjointView<Lower>() = mat.template selfadjointView<_UpLo>(); - } - - Index n = m_L.cols(); - Index nnz = m_L.nonZeros(); - Map<VectorSx> vals(m_L.valuePtr(), nnz); //values - Map<VectorIx> rowIdx(m_L.innerIndexPtr(), nnz); //Row indices - Map<VectorIx> colPtr( m_L.outerIndexPtr(), n+1); // Pointer to the beginning of each row - VectorIx firstElt(n-1); // for each j, points to the next entry in vals that will be used in the factorization - VectorList listCol(n); // listCol(j) is a linked list of columns to update column j - VectorSx col_vals(n); // Store a nonzero values in each column - VectorIx col_irow(n); // Row indices of nonzero elements in each column - VectorIx col_pattern(n); - col_pattern.fill(-1); - StorageIndex col_nnz; - - - // Computes the scaling factors - m_scale.resize(n); - m_scale.setZero(); - for (Index j = 0; j < n; j++) - for (Index k = colPtr[j]; k < colPtr[j+1]; k++) - { - m_scale(j) += numext::abs2(vals(k)); - if(rowIdx[k]!=j) - m_scale(rowIdx[k]) += numext::abs2(vals(k)); - } - - m_scale = m_scale.cwiseSqrt().cwiseSqrt(); - - for (Index j = 0; j < n; ++j) - if(m_scale(j)>(std::numeric_limits<RealScalar>::min)()) - m_scale(j) = RealScalar(1)/m_scale(j); - else - m_scale(j) = 1; - - // TODO disable scaling if not needed, i.e., if it is roughly uniform? (this will make solve() faster) - - // Scale and compute the shift for the matrix - RealScalar mindiag = NumTraits<RealScalar>::highest(); - for (Index j = 0; j < n; j++) - { - for (Index k = colPtr[j]; k < colPtr[j+1]; k++) - vals[k] *= (m_scale(j)*m_scale(rowIdx[k])); - eigen_internal_assert(rowIdx[colPtr[j]]==j && "IncompleteCholesky: only the lower triangular part must be stored"); - mindiag = numext::mini(numext::real(vals[colPtr[j]]), mindiag); - } - - FactorType L_save = m_L; - - RealScalar shift = 0; - if(mindiag <= RealScalar(0.)) - shift = m_initialShift - mindiag; - - m_info = NumericalIssue; - - // Try to perform the incomplete factorization using the current shift - int iter = 0; - do - { - // Apply the shift to the diagonal elements of the matrix - for (Index j = 0; j < n; j++) - vals[colPtr[j]] += shift; - - // jki version of the Cholesky factorization - Index j=0; - for (; j < n; ++j) - { - // Left-looking factorization of the j-th column - // First, load the j-th column into col_vals - Scalar diag = vals[colPtr[j]]; // It is assumed that only the lower part is stored - col_nnz = 0; - for (Index i = colPtr[j] + 1; i < colPtr[j+1]; i++) - { - StorageIndex l = rowIdx[i]; - col_vals(col_nnz) = vals[i]; - col_irow(col_nnz) = l; - col_pattern(l) = col_nnz; - col_nnz++; - } - { - typename std::list<StorageIndex>::iterator k; - // Browse all previous columns that will update column j - for(k = listCol[j].begin(); k != listCol[j].end(); k++) - { - Index jk = firstElt(*k); // First element to use in the column - eigen_internal_assert(rowIdx[jk]==j); - Scalar v_j_jk = numext::conj(vals[jk]); - - jk += 1; - for (Index i = jk; i < colPtr[*k+1]; i++) - { - StorageIndex l = rowIdx[i]; - if(col_pattern[l]<0) - { - col_vals(col_nnz) = vals[i] * v_j_jk; - col_irow[col_nnz] = l; - col_pattern(l) = col_nnz; - col_nnz++; - } - else - col_vals(col_pattern[l]) -= vals[i] * v_j_jk; - } - updateList(colPtr,rowIdx,vals, *k, jk, firstElt, listCol); - } - } - - // Scale the current column - if(numext::real(diag) <= 0) - { - if(++iter>=10) - return; - - // increase shift - shift = numext::maxi(m_initialShift,RealScalar(2)*shift); - // restore m_L, col_pattern, and listCol - vals = Map<const VectorSx>(L_save.valuePtr(), nnz); - rowIdx = Map<const VectorIx>(L_save.innerIndexPtr(), nnz); - colPtr = Map<const VectorIx>(L_save.outerIndexPtr(), n+1); - col_pattern.fill(-1); - for(Index i=0; i<n; ++i) - listCol[i].clear(); - - break; - } - - RealScalar rdiag = sqrt(numext::real(diag)); - vals[colPtr[j]] = rdiag; - for (Index k = 0; k<col_nnz; ++k) - { - Index i = col_irow[k]; - //Scale - col_vals(k) /= rdiag; - //Update the remaining diagonals with col_vals - vals[colPtr[i]] -= numext::abs2(col_vals(k)); - } - // Select the largest p elements - // p is the original number of elements in the column (without the diagonal) - Index p = colPtr[j+1] - colPtr[j] - 1 ; - Ref<VectorSx> cvals = col_vals.head(col_nnz); - Ref<VectorIx> cirow = col_irow.head(col_nnz); - internal::QuickSplit(cvals,cirow, p); - // Insert the largest p elements in the matrix - Index cpt = 0; - for (Index i = colPtr[j]+1; i < colPtr[j+1]; i++) - { - vals[i] = col_vals(cpt); - rowIdx[i] = col_irow(cpt); - // restore col_pattern: - col_pattern(col_irow(cpt)) = -1; - cpt++; - } - // Get the first smallest row index and put it after the diagonal element - Index jk = colPtr(j)+1; - updateList(colPtr,rowIdx,vals,j,jk,firstElt,listCol); - } - - if(j==n) - { - m_factorizationIsOk = true; - m_info = Success; - } - } while(m_info!=Success); -} - -template<typename Scalar, int _UpLo, typename OrderingType> -inline void IncompleteCholesky<Scalar,_UpLo, OrderingType>::updateList(Ref<const VectorIx> colPtr, Ref<VectorIx> rowIdx, Ref<VectorSx> vals, const Index& col, const Index& jk, VectorIx& firstElt, VectorList& listCol) -{ - if (jk < colPtr(col+1) ) - { - Index p = colPtr(col+1) - jk; - Index minpos; - rowIdx.segment(jk,p).minCoeff(&minpos); - minpos += jk; - if (rowIdx(minpos) != rowIdx(jk)) - { - //Swap - std::swap(rowIdx(jk),rowIdx(minpos)); - std::swap(vals(jk),vals(minpos)); - } - firstElt(col) = internal::convert_index<StorageIndex,Index>(jk); - listCol[rowIdx(jk)].push_back(internal::convert_index<StorageIndex,Index>(col)); - } -} - -} // end namespace Eigen - -#endif |