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Diffstat (limited to 'eigen/test/cholesky.cpp')
-rw-r--r-- | eigen/test/cholesky.cpp | 404 |
1 files changed, 404 insertions, 0 deletions
diff --git a/eigen/test/cholesky.cpp b/eigen/test/cholesky.cpp new file mode 100644 index 0000000..56885de --- /dev/null +++ b/eigen/test/cholesky.cpp @@ -0,0 +1,404 @@ +// This file is part of Eigen, a lightweight C++ template library +// for linear algebra. +// +// Copyright (C) 2008 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_NO_ASSERTION_CHECKING +#define EIGEN_NO_ASSERTION_CHECKING +#endif + +static int nb_temporaries; + +#define EIGEN_DENSE_STORAGE_CTOR_PLUGIN { if(size!=0) nb_temporaries++; } + +#include "main.h" +#include <Eigen/Cholesky> +#include <Eigen/QR> + +#define VERIFY_EVALUATION_COUNT(XPR,N) {\ + nb_temporaries = 0; \ + XPR; \ + if(nb_temporaries!=N) std::cerr << "nb_temporaries == " << nb_temporaries << "\n"; \ + VERIFY( (#XPR) && nb_temporaries==N ); \ + } + +template<typename MatrixType,template <typename,int> class CholType> void test_chol_update(const MatrixType& symm) +{ + typedef typename MatrixType::Scalar Scalar; + typedef typename MatrixType::RealScalar RealScalar; + typedef Matrix<Scalar, MatrixType::RowsAtCompileTime, 1> VectorType; + + MatrixType symmLo = symm.template triangularView<Lower>(); + MatrixType symmUp = symm.template triangularView<Upper>(); + MatrixType symmCpy = symm; + + CholType<MatrixType,Lower> chollo(symmLo); + CholType<MatrixType,Upper> cholup(symmUp); + + for (int k=0; k<10; ++k) + { + VectorType vec = VectorType::Random(symm.rows()); + RealScalar sigma = internal::random<RealScalar>(); + symmCpy += sigma * vec * vec.adjoint(); + + // we are doing some downdates, so it might be the case that the matrix is not SPD anymore + CholType<MatrixType,Lower> chol(symmCpy); + if(chol.info()!=Success) + break; + + chollo.rankUpdate(vec, sigma); + VERIFY_IS_APPROX(symmCpy, chollo.reconstructedMatrix()); + + cholup.rankUpdate(vec, sigma); + VERIFY_IS_APPROX(symmCpy, cholup.reconstructedMatrix()); + } +} + +template<typename MatrixType> void cholesky(const MatrixType& m) +{ + typedef typename MatrixType::Index Index; + /* this test covers the following files: + LLT.h LDLT.h + */ + Index rows = m.rows(); + Index cols = m.cols(); + + typedef typename MatrixType::Scalar Scalar; + typedef typename NumTraits<Scalar>::Real RealScalar; + typedef Matrix<Scalar, MatrixType::RowsAtCompileTime, MatrixType::RowsAtCompileTime> SquareMatrixType; + typedef Matrix<Scalar, MatrixType::RowsAtCompileTime, 1> VectorType; + + MatrixType a0 = MatrixType::Random(rows,cols); + VectorType vecB = VectorType::Random(rows), vecX(rows); + MatrixType matB = MatrixType::Random(rows,cols), matX(rows,cols); + SquareMatrixType symm = a0 * a0.adjoint(); + // let's make sure the matrix is not singular or near singular + for (int k=0; k<3; ++k) + { + MatrixType a1 = MatrixType::Random(rows,cols); + symm += a1 * a1.adjoint(); + } + + // to test if really Cholesky only uses the upper triangular part, uncomment the following + // FIXME: currently that fails !! + //symm.template part<StrictlyLower>().setZero(); + + { + SquareMatrixType symmUp = symm.template triangularView<Upper>(); + SquareMatrixType symmLo = symm.template triangularView<Lower>(); + + LLT<SquareMatrixType,Lower> chollo(symmLo); + VERIFY_IS_APPROX(symm, chollo.reconstructedMatrix()); + vecX = chollo.solve(vecB); + VERIFY_IS_APPROX(symm * vecX, vecB); + matX = chollo.solve(matB); + VERIFY_IS_APPROX(symm * matX, matB); + + // test the upper mode + LLT<SquareMatrixType,Upper> cholup(symmUp); + VERIFY_IS_APPROX(symm, cholup.reconstructedMatrix()); + vecX = cholup.solve(vecB); + VERIFY_IS_APPROX(symm * vecX, vecB); + matX = cholup.solve(matB); + VERIFY_IS_APPROX(symm * matX, matB); + + MatrixType neg = -symmLo; + chollo.compute(neg); + VERIFY(chollo.info()==NumericalIssue); + + VERIFY_IS_APPROX(MatrixType(chollo.matrixL().transpose().conjugate()), MatrixType(chollo.matrixU())); + VERIFY_IS_APPROX(MatrixType(chollo.matrixU().transpose().conjugate()), MatrixType(chollo.matrixL())); + VERIFY_IS_APPROX(MatrixType(cholup.matrixL().transpose().conjugate()), MatrixType(cholup.matrixU())); + VERIFY_IS_APPROX(MatrixType(cholup.matrixU().transpose().conjugate()), MatrixType(cholup.matrixL())); + + // test some special use cases of SelfCwiseBinaryOp: + MatrixType m1 = MatrixType::Random(rows,cols), m2(rows,cols); + m2 = m1; + m2 += symmLo.template selfadjointView<Lower>().llt().solve(matB); + VERIFY_IS_APPROX(m2, m1 + symmLo.template selfadjointView<Lower>().llt().solve(matB)); + m2 = m1; + m2 -= symmLo.template selfadjointView<Lower>().llt().solve(matB); + VERIFY_IS_APPROX(m2, m1 - symmLo.template selfadjointView<Lower>().llt().solve(matB)); + m2 = m1; + m2.noalias() += symmLo.template selfadjointView<Lower>().llt().solve(matB); + VERIFY_IS_APPROX(m2, m1 + symmLo.template selfadjointView<Lower>().llt().solve(matB)); + m2 = m1; + m2.noalias() -= symmLo.template selfadjointView<Lower>().llt().solve(matB); + VERIFY_IS_APPROX(m2, m1 - symmLo.template selfadjointView<Lower>().llt().solve(matB)); + } + + // LDLT + { + int sign = internal::random<int>()%2 ? 1 : -1; + + if(sign == -1) + { + symm = -symm; // test a negative matrix + } + + SquareMatrixType symmUp = symm.template triangularView<Upper>(); + SquareMatrixType symmLo = symm.template triangularView<Lower>(); + + LDLT<SquareMatrixType,Lower> ldltlo(symmLo); + VERIFY_IS_APPROX(symm, ldltlo.reconstructedMatrix()); + vecX = ldltlo.solve(vecB); + VERIFY_IS_APPROX(symm * vecX, vecB); + matX = ldltlo.solve(matB); + VERIFY_IS_APPROX(symm * matX, matB); + + LDLT<SquareMatrixType,Upper> ldltup(symmUp); + VERIFY_IS_APPROX(symm, ldltup.reconstructedMatrix()); + vecX = ldltup.solve(vecB); + VERIFY_IS_APPROX(symm * vecX, vecB); + matX = ldltup.solve(matB); + VERIFY_IS_APPROX(symm * matX, matB); + + VERIFY_IS_APPROX(MatrixType(ldltlo.matrixL().transpose().conjugate()), MatrixType(ldltlo.matrixU())); + VERIFY_IS_APPROX(MatrixType(ldltlo.matrixU().transpose().conjugate()), MatrixType(ldltlo.matrixL())); + VERIFY_IS_APPROX(MatrixType(ldltup.matrixL().transpose().conjugate()), MatrixType(ldltup.matrixU())); + VERIFY_IS_APPROX(MatrixType(ldltup.matrixU().transpose().conjugate()), MatrixType(ldltup.matrixL())); + + if(MatrixType::RowsAtCompileTime==Dynamic) + { + // note : each inplace permutation requires a small temporary vector (mask) + + // check inplace solve + matX = matB; + VERIFY_EVALUATION_COUNT(matX = ldltlo.solve(matX), 0); + VERIFY_IS_APPROX(matX, ldltlo.solve(matB).eval()); + + + matX = matB; + VERIFY_EVALUATION_COUNT(matX = ldltup.solve(matX), 0); + VERIFY_IS_APPROX(matX, ldltup.solve(matB).eval()); + } + + // restore + if(sign == -1) + symm = -symm; + + // check matrices coming from linear constraints with Lagrange multipliers + if(rows>=3) + { + SquareMatrixType A = symm; + int c = internal::random<int>(0,rows-2); + A.bottomRightCorner(c,c).setZero(); + // Make sure a solution exists: + vecX.setRandom(); + vecB = A * vecX; + vecX.setZero(); + ldltlo.compute(A); + VERIFY_IS_APPROX(A, ldltlo.reconstructedMatrix()); + vecX = ldltlo.solve(vecB); + VERIFY_IS_APPROX(A * vecX, vecB); + } + + // check non-full rank matrices + if(rows>=3) + { + int r = internal::random<int>(1,rows-1); + Matrix<Scalar,Dynamic,Dynamic> a = Matrix<Scalar,Dynamic,Dynamic>::Random(rows,r); + SquareMatrixType A = a * a.adjoint(); + // Make sure a solution exists: + vecX.setRandom(); + vecB = A * vecX; + vecX.setZero(); + ldltlo.compute(A); + VERIFY_IS_APPROX(A, ldltlo.reconstructedMatrix()); + vecX = ldltlo.solve(vecB); + VERIFY_IS_APPROX(A * vecX, vecB); + } + + // check matrices with a wide spectrum + if(rows>=3) + { + RealScalar s = (std::min)(16,std::numeric_limits<RealScalar>::max_exponent10/8); + Matrix<Scalar,Dynamic,Dynamic> a = Matrix<Scalar,Dynamic,Dynamic>::Random(rows,rows); + Matrix<RealScalar,Dynamic,1> d = Matrix<RealScalar,Dynamic,1>::Random(rows); + for(int k=0; k<rows; ++k) + d(k) = d(k)*std::pow(RealScalar(10),internal::random<RealScalar>(-s,s)); + SquareMatrixType A = a * d.asDiagonal() * a.adjoint(); + // Make sure a solution exists: + vecX.setRandom(); + vecB = A * vecX; + vecX.setZero(); + ldltlo.compute(A); + VERIFY_IS_APPROX(A, ldltlo.reconstructedMatrix()); + vecX = ldltlo.solve(vecB); + VERIFY_IS_APPROX(A * vecX, vecB); + } + } + + // update/downdate + CALL_SUBTEST(( test_chol_update<SquareMatrixType,LLT>(symm) )); + CALL_SUBTEST(( test_chol_update<SquareMatrixType,LDLT>(symm) )); +} + +template<typename MatrixType> void cholesky_cplx(const MatrixType& m) +{ + // classic test + cholesky(m); + + // test mixing real/scalar types + + typedef typename MatrixType::Index Index; + + Index rows = m.rows(); + Index cols = m.cols(); + + typedef typename MatrixType::Scalar Scalar; + typedef typename NumTraits<Scalar>::Real RealScalar; + typedef Matrix<RealScalar, MatrixType::RowsAtCompileTime, MatrixType::RowsAtCompileTime> RealMatrixType; + typedef Matrix<Scalar, MatrixType::RowsAtCompileTime, 1> VectorType; + + RealMatrixType a0 = RealMatrixType::Random(rows,cols); + VectorType vecB = VectorType::Random(rows), vecX(rows); + MatrixType matB = MatrixType::Random(rows,cols), matX(rows,cols); + RealMatrixType symm = a0 * a0.adjoint(); + // let's make sure the matrix is not singular or near singular + for (int k=0; k<3; ++k) + { + RealMatrixType a1 = RealMatrixType::Random(rows,cols); + symm += a1 * a1.adjoint(); + } + + { + RealMatrixType symmLo = symm.template triangularView<Lower>(); + + LLT<RealMatrixType,Lower> chollo(symmLo); + VERIFY_IS_APPROX(symm, chollo.reconstructedMatrix()); + vecX = chollo.solve(vecB); + VERIFY_IS_APPROX(symm * vecX, vecB); +// matX = chollo.solve(matB); +// VERIFY_IS_APPROX(symm * matX, matB); + } + + // LDLT + { + int sign = internal::random<int>()%2 ? 1 : -1; + + if(sign == -1) + { + symm = -symm; // test a negative matrix + } + + RealMatrixType symmLo = symm.template triangularView<Lower>(); + + LDLT<RealMatrixType,Lower> ldltlo(symmLo); + VERIFY_IS_APPROX(symm, ldltlo.reconstructedMatrix()); + vecX = ldltlo.solve(vecB); + VERIFY_IS_APPROX(symm * vecX, vecB); +// matX = ldltlo.solve(matB); +// VERIFY_IS_APPROX(symm * matX, matB); + } +} + +// regression test for bug 241 +template<typename MatrixType> void cholesky_bug241(const MatrixType& m) +{ + eigen_assert(m.rows() == 2 && m.cols() == 2); + + typedef typename MatrixType::Scalar Scalar; + typedef Matrix<Scalar, MatrixType::RowsAtCompileTime, 1> VectorType; + + MatrixType matA; + matA << 1, 1, 1, 1; + VectorType vecB; + vecB << 1, 1; + VectorType vecX = matA.ldlt().solve(vecB); + VERIFY_IS_APPROX(matA * vecX, vecB); +} + +// LDLT is not guaranteed to work for indefinite matrices, but happens to work fine if matrix is diagonal. +// This test checks that LDLT reports correctly that matrix is indefinite. +// See http://forum.kde.org/viewtopic.php?f=74&t=106942 and bug 736 +template<typename MatrixType> void cholesky_definiteness(const MatrixType& m) +{ + eigen_assert(m.rows() == 2 && m.cols() == 2); + MatrixType mat; + LDLT<MatrixType> ldlt(2); + + { + mat << 1, 0, 0, -1; + ldlt.compute(mat); + VERIFY(!ldlt.isNegative()); + VERIFY(!ldlt.isPositive()); + } + { + mat << 1, 2, 2, 1; + ldlt.compute(mat); + VERIFY(!ldlt.isNegative()); + VERIFY(!ldlt.isPositive()); + } + { + mat << 0, 0, 0, 0; + ldlt.compute(mat); + VERIFY(ldlt.isNegative()); + VERIFY(ldlt.isPositive()); + } + { + mat << 0, 0, 0, 1; + ldlt.compute(mat); + VERIFY(!ldlt.isNegative()); + VERIFY(ldlt.isPositive()); + } + { + mat << -1, 0, 0, 0; + ldlt.compute(mat); + VERIFY(ldlt.isNegative()); + VERIFY(!ldlt.isPositive()); + } +} + +template<typename MatrixType> void cholesky_verify_assert() +{ + MatrixType tmp; + + LLT<MatrixType> llt; + VERIFY_RAISES_ASSERT(llt.matrixL()) + VERIFY_RAISES_ASSERT(llt.matrixU()) + VERIFY_RAISES_ASSERT(llt.solve(tmp)) + VERIFY_RAISES_ASSERT(llt.solveInPlace(&tmp)) + + LDLT<MatrixType> ldlt; + VERIFY_RAISES_ASSERT(ldlt.matrixL()) + VERIFY_RAISES_ASSERT(ldlt.permutationP()) + VERIFY_RAISES_ASSERT(ldlt.vectorD()) + VERIFY_RAISES_ASSERT(ldlt.isPositive()) + VERIFY_RAISES_ASSERT(ldlt.isNegative()) + VERIFY_RAISES_ASSERT(ldlt.solve(tmp)) + VERIFY_RAISES_ASSERT(ldlt.solveInPlace(&tmp)) +} + +void test_cholesky() +{ + int s = 0; + for(int i = 0; i < g_repeat; i++) { + CALL_SUBTEST_1( cholesky(Matrix<double,1,1>()) ); + CALL_SUBTEST_3( cholesky(Matrix2d()) ); + CALL_SUBTEST_3( cholesky_bug241(Matrix2d()) ); + CALL_SUBTEST_3( cholesky_definiteness(Matrix2d()) ); + CALL_SUBTEST_4( cholesky(Matrix3f()) ); + CALL_SUBTEST_5( cholesky(Matrix4d()) ); + s = internal::random<int>(1,EIGEN_TEST_MAX_SIZE); + CALL_SUBTEST_2( cholesky(MatrixXd(s,s)) ); + s = internal::random<int>(1,EIGEN_TEST_MAX_SIZE/2); + CALL_SUBTEST_6( cholesky_cplx(MatrixXcd(s,s)) ); + } + + CALL_SUBTEST_4( cholesky_verify_assert<Matrix3f>() ); + CALL_SUBTEST_7( cholesky_verify_assert<Matrix3d>() ); + CALL_SUBTEST_8( cholesky_verify_assert<MatrixXf>() ); + CALL_SUBTEST_2( cholesky_verify_assert<MatrixXd>() ); + + // Test problem size constructors + CALL_SUBTEST_9( LLT<MatrixXf>(10) ); + CALL_SUBTEST_9( LDLT<MatrixXf>(10) ); + + TEST_SET_BUT_UNUSED_VARIABLE(s) + TEST_SET_BUT_UNUSED_VARIABLE(nb_temporaries) +} |