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Eigne Matrix Class Library

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src/QR/ColPivHouseholderQR_MKL.h@0:13a5d365ba16, 2016-10-13 (annotated)

Committer:
ykuroda
Date:
Thu Oct 13 04:07:23 2016 +0000
Revision:
0:13a5d365ba16
First commint, Eigne Matrix Class Library

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ykuroda 0:13a5d365ba16 1 /*
ykuroda 0:13a5d365ba16 2 Copyright (c) 2011, Intel Corporation. All rights reserved.
ykuroda 0:13a5d365ba16 3
ykuroda 0:13a5d365ba16 4 Redistribution and use in source and binary forms, with or without modification,
ykuroda 0:13a5d365ba16 5 are permitted provided that the following conditions are met:
ykuroda 0:13a5d365ba16 6
ykuroda 0:13a5d365ba16 7 * Redistributions of source code must retain the above copyright notice, this
ykuroda 0:13a5d365ba16 8 list of conditions and the following disclaimer.
ykuroda 0:13a5d365ba16 9 * Redistributions in binary form must reproduce the above copyright notice,
ykuroda 0:13a5d365ba16 10 this list of conditions and the following disclaimer in the documentation
ykuroda 0:13a5d365ba16 11 and/or other materials provided with the distribution.
ykuroda 0:13a5d365ba16 12 * Neither the name of Intel Corporation nor the names of its contributors may
ykuroda 0:13a5d365ba16 13 be used to endorse or promote products derived from this software without
ykuroda 0:13a5d365ba16 14 specific prior written permission.
ykuroda 0:13a5d365ba16 15
ykuroda 0:13a5d365ba16 16 THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
ykuroda 0:13a5d365ba16 17 ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
ykuroda 0:13a5d365ba16 18 WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
ykuroda 0:13a5d365ba16 19 DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
ykuroda 0:13a5d365ba16 20 ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
ykuroda 0:13a5d365ba16 21 (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
ykuroda 0:13a5d365ba16 22 LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON
ykuroda 0:13a5d365ba16 23 ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
ykuroda 0:13a5d365ba16 24 (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
ykuroda 0:13a5d365ba16 25 SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
ykuroda 0:13a5d365ba16 26
ykuroda 0:13a5d365ba16 27 ********************************************************************************
ykuroda 0:13a5d365ba16 28 * Content : Eigen bindings to Intel(R) MKL
ykuroda 0:13a5d365ba16 29 * Householder QR decomposition of a matrix with column pivoting based on
ykuroda 0:13a5d365ba16 30 * LAPACKE_?geqp3 function.
ykuroda 0:13a5d365ba16 31 ********************************************************************************
ykuroda 0:13a5d365ba16 32 */
ykuroda 0:13a5d365ba16 33
ykuroda 0:13a5d365ba16 34 #ifndef EIGEN_COLPIVOTINGHOUSEHOLDERQR_MKL_H
ykuroda 0:13a5d365ba16 35 #define EIGEN_COLPIVOTINGHOUSEHOLDERQR_MKL_H
ykuroda 0:13a5d365ba16 36
ykuroda 0:13a5d365ba16 37 #include "Eigen/src/Core/util/MKL_support.h"
ykuroda 0:13a5d365ba16 38
ykuroda 0:13a5d365ba16 39 namespace Eigen {
ykuroda 0:13a5d365ba16 40
ykuroda 0:13a5d365ba16 41 /** \internal Specialization for the data types supported by MKL */
ykuroda 0:13a5d365ba16 42
ykuroda 0:13a5d365ba16 43 #define EIGEN_MKL_QR_COLPIV(EIGTYPE, MKLTYPE, MKLPREFIX, EIGCOLROW, MKLCOLROW) \
ykuroda 0:13a5d365ba16 44 template<> inline \
ykuroda 0:13a5d365ba16 45 ColPivHouseholderQR<Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic> >& \
ykuroda 0:13a5d365ba16 46 ColPivHouseholderQR<Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic> >::compute( \
ykuroda 0:13a5d365ba16 47 const Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic>& matrix) \
ykuroda 0:13a5d365ba16 48 \
ykuroda 0:13a5d365ba16 49 { \
ykuroda 0:13a5d365ba16 50 using std::abs; \
ykuroda 0:13a5d365ba16 51 typedef Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic> MatrixType; \
ykuroda 0:13a5d365ba16 52 typedef MatrixType::RealScalar RealScalar; \
ykuroda 0:13a5d365ba16 53 Index rows = matrix.rows();\
ykuroda 0:13a5d365ba16 54 Index cols = matrix.cols();\
ykuroda 0:13a5d365ba16 55 Index size = matrix.diagonalSize();\
ykuroda 0:13a5d365ba16 56 \
ykuroda 0:13a5d365ba16 57 m_qr = matrix;\
ykuroda 0:13a5d365ba16 58 m_hCoeffs.resize(size);\
ykuroda 0:13a5d365ba16 59 \
ykuroda 0:13a5d365ba16 60 m_colsTranspositions.resize(cols);\
ykuroda 0:13a5d365ba16 61 /*Index number_of_transpositions = 0;*/ \
ykuroda 0:13a5d365ba16 62 \
ykuroda 0:13a5d365ba16 63 m_nonzero_pivots = 0; \
ykuroda 0:13a5d365ba16 64 m_maxpivot = RealScalar(0);\
ykuroda 0:13a5d365ba16 65 m_colsPermutation.resize(cols); \
ykuroda 0:13a5d365ba16 66 m_colsPermutation.indices().setZero(); \
ykuroda 0:13a5d365ba16 67 \
ykuroda 0:13a5d365ba16 68 lapack_int lda = m_qr.outerStride(), i; \
ykuroda 0:13a5d365ba16 69 lapack_int matrix_order = MKLCOLROW; \
ykuroda 0:13a5d365ba16 70 LAPACKE_##MKLPREFIX##geqp3( matrix_order, rows, cols, (MKLTYPE*)m_qr.data(), lda, (lapack_int*)m_colsPermutation.indices().data(), (MKLTYPE*)m_hCoeffs.data()); \
ykuroda 0:13a5d365ba16 71 m_isInitialized = true; \
ykuroda 0:13a5d365ba16 72 m_maxpivot=m_qr.diagonal().cwiseAbs().maxCoeff(); \
ykuroda 0:13a5d365ba16 73 m_hCoeffs.adjointInPlace(); \
ykuroda 0:13a5d365ba16 74 RealScalar premultiplied_threshold = abs(m_maxpivot) * threshold(); \
ykuroda 0:13a5d365ba16 75 lapack_int *perm = m_colsPermutation.indices().data(); \
ykuroda 0:13a5d365ba16 76 for(i=0;i<size;i++) { \
ykuroda 0:13a5d365ba16 77 m_nonzero_pivots += (abs(m_qr.coeff(i,i)) > premultiplied_threshold);\
ykuroda 0:13a5d365ba16 78 } \
ykuroda 0:13a5d365ba16 79 for(i=0;i<cols;i++) perm[i]--;\
ykuroda 0:13a5d365ba16 80 \
ykuroda 0:13a5d365ba16 81 /*m_det_pq = (number_of_transpositions%2) ? -1 : 1; // TODO: It's not needed now; fix upon availability in Eigen */ \
ykuroda 0:13a5d365ba16 82 \
ykuroda 0:13a5d365ba16 83 return *this; \
ykuroda 0:13a5d365ba16 84 }
ykuroda 0:13a5d365ba16 85
ykuroda 0:13a5d365ba16 86 EIGEN_MKL_QR_COLPIV(double, double, d, ColMajor, LAPACK_COL_MAJOR)
ykuroda 0:13a5d365ba16 87 EIGEN_MKL_QR_COLPIV(float, float, s, ColMajor, LAPACK_COL_MAJOR)
ykuroda 0:13a5d365ba16 88 EIGEN_MKL_QR_COLPIV(dcomplex, MKL_Complex16, z, ColMajor, LAPACK_COL_MAJOR)
ykuroda 0:13a5d365ba16 89 EIGEN_MKL_QR_COLPIV(scomplex, MKL_Complex8, c, ColMajor, LAPACK_COL_MAJOR)
ykuroda 0:13a5d365ba16 90
ykuroda 0:13a5d365ba16 91 EIGEN_MKL_QR_COLPIV(double, double, d, RowMajor, LAPACK_ROW_MAJOR)
ykuroda 0:13a5d365ba16 92 EIGEN_MKL_QR_COLPIV(float, float, s, RowMajor, LAPACK_ROW_MAJOR)
ykuroda 0:13a5d365ba16 93 EIGEN_MKL_QR_COLPIV(dcomplex, MKL_Complex16, z, RowMajor, LAPACK_ROW_MAJOR)
ykuroda 0:13a5d365ba16 94 EIGEN_MKL_QR_COLPIV(scomplex, MKL_Complex8, c, RowMajor, LAPACK_ROW_MAJOR)
ykuroda 0:13a5d365ba16 95
ykuroda 0:13a5d365ba16 96 } // end namespace Eigen
ykuroda 0:13a5d365ba16 97
ykuroda 0:13a5d365ba16 98 #endif // EIGEN_COLPIVOTINGHOUSEHOLDERQR_MKL_H