109 lines
3.2 KiB
C++
109 lines
3.2 KiB
C++
// Copyright (C) 2016-2019 Yixuan Qiu <yixuan.qiu@cos.name>
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//
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// This Source Code Form is subject to the terms of the Mozilla
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// Public License v. 2.0. If a copy of the MPL was not distributed
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// with this file, You can obtain one at https://mozilla.org/MPL/2.0/.
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#ifndef DENSE_CHOLESKY_H
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#define DENSE_CHOLESKY_H
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#include <Eigen/Core>
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#include <Eigen/Cholesky>
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#include <stdexcept>
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#include "../Util/CompInfo.h"
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namespace Spectra {
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///
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/// \ingroup MatOp
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///
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/// This class defines the operations related to Cholesky decomposition on a
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/// positive definite matrix, \f$B=LL'\f$, where \f$L\f$ is a lower triangular
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/// matrix. It is mainly used in the SymGEigsSolver generalized eigen solver
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/// in the Cholesky decomposition mode.
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///
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template <typename Scalar, int Uplo = Eigen::Lower>
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class DenseCholesky
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{
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private:
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typedef Eigen::Index Index;
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typedef Eigen::Matrix<Scalar, Eigen::Dynamic, Eigen::Dynamic> Matrix;
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typedef Eigen::Matrix<Scalar, Eigen::Dynamic, 1> Vector;
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typedef Eigen::Map<const Matrix> MapConstMat;
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typedef Eigen::Map<const Vector> MapConstVec;
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typedef Eigen::Map<Vector> MapVec;
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typedef const Eigen::Ref<const Matrix> ConstGenericMatrix;
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const Index m_n;
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Eigen::LLT<Matrix, Uplo> m_decomp;
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int m_info; // status of the decomposition
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public:
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///
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/// Constructor to create the matrix operation object.
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///
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/// \param mat An **Eigen** matrix object, whose type can be
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/// `Eigen::Matrix<Scalar, ...>` (e.g. `Eigen::MatrixXd` and
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/// `Eigen::MatrixXf`), or its mapped version
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/// (e.g. `Eigen::Map<Eigen::MatrixXd>`).
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///
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DenseCholesky(ConstGenericMatrix& mat) :
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m_n(mat.rows()), m_info(NOT_COMPUTED)
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{
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if (mat.rows() != mat.cols())
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throw std::invalid_argument("DenseCholesky: matrix must be square");
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m_decomp.compute(mat);
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m_info = (m_decomp.info() == Eigen::Success) ?
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SUCCESSFUL :
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NUMERICAL_ISSUE;
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}
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///
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/// Returns the number of rows of the underlying matrix.
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///
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Index rows() const { return m_n; }
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///
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/// Returns the number of columns of the underlying matrix.
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///
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Index cols() const { return m_n; }
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///
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/// Returns the status of the computation.
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/// The full list of enumeration values can be found in \ref Enumerations.
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///
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int info() const { return m_info; }
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///
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/// Performs the lower triangular solving operation \f$y=L^{-1}x\f$.
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///
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/// \param x_in Pointer to the \f$x\f$ vector.
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/// \param y_out Pointer to the \f$y\f$ vector.
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///
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// y_out = inv(L) * x_in
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void lower_triangular_solve(const Scalar* x_in, Scalar* y_out) const
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{
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MapConstVec x(x_in, m_n);
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MapVec y(y_out, m_n);
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y.noalias() = m_decomp.matrixL().solve(x);
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}
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///
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/// Performs the upper triangular solving operation \f$y=(L')^{-1}x\f$.
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///
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/// \param x_in Pointer to the \f$x\f$ vector.
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/// \param y_out Pointer to the \f$y\f$ vector.
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///
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// y_out = inv(L') * x_in
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void upper_triangular_solve(const Scalar* x_in, Scalar* y_out) const
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{
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MapConstVec x(x_in, m_n);
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MapVec y(y_out, m_n);
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y.noalias() = m_decomp.matrixU().solve(x);
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}
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};
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} // namespace Spectra
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#endif // DENSE_CHOLESKY_H
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