Diff: src/Cholesky/LLT.h

Revision:

0:13a5d365ba16

--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/src/Cholesky/LLT.h	Thu Oct 13 04:07:23 2016 +0000
@@ -0,0 +1,498 @@
+// 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_LLT_H
+#define EIGEN_LLT_H
+
+namespace Eigen { 
+
+namespace internal{
+template<typename MatrixType, int UpLo> struct LLT_Traits;
+}
+
+/** \ingroup Cholesky_Module
+  *
+  * \class LLT
+  *
+  * \brief Standard Cholesky decomposition (LL^T) of a matrix and associated features
+  *
+  * \param MatrixType the type of the matrix of which we are computing the LL^T Cholesky decomposition
+  * \param UpLo the triangular part that will be used for the decompositon: Lower (default) or Upper.
+  *             The other triangular part won't be read.
+  *
+  * This class performs a LL^T Cholesky decomposition of a symmetric, positive definite
+  * matrix A such that A = LL^* = U^*U, where L is lower triangular.
+  *
+  * While the Cholesky decomposition is particularly useful to solve selfadjoint problems like  D^*D x = b,
+  * for that purpose, we recommend the Cholesky decomposition without square root which is more stable
+  * and even faster. Nevertheless, this standard Cholesky decomposition remains useful in many other
+  * situations like generalised eigen problems with hermitian matrices.
+  *
+  * Remember that Cholesky decompositions are not rank-revealing. This LLT decomposition is only stable on positive definite matrices,
+  * use LDLT instead for the semidefinite case. Also, do not use a Cholesky decomposition to determine whether a system of equations
+  * has a solution.
+  *
+  * Example: \include LLT_example.cpp
+  * Output: \verbinclude LLT_example.out
+  *    
+  * \sa MatrixBase::llt(), class LDLT
+  */
+ /* HEY THIS DOX IS DISABLED BECAUSE THERE's A BUG EITHER HERE OR IN LDLT ABOUT THAT (OR BOTH)
+  * Note that during the decomposition, only the upper triangular part of A is considered. Therefore,
+  * the strict lower part does not have to store correct values.
+  */
+template<typename _MatrixType, int _UpLo> class LLT
+{
+  public:
+    typedef _MatrixType MatrixType;
+    enum {
+      RowsAtCompileTime = MatrixType::RowsAtCompileTime,
+      ColsAtCompileTime = MatrixType::ColsAtCompileTime,
+      Options = MatrixType::Options,
+      MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
+    };
+    typedef typename MatrixType::Scalar Scalar;
+    typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
+    typedef typename MatrixType::Index Index;
+
+    enum {
+      PacketSize = internal::packet_traits<Scalar>::size,
+      AlignmentMask = int(PacketSize)-1,
+      UpLo = _UpLo
+    };
+
+    typedef internal::LLT_Traits<MatrixType,UpLo> Traits;
+
+    /**
+      * \brief Default Constructor.
+      *
+      * The default constructor is useful in cases in which the user intends to
+      * perform decompositions via LLT::compute(const MatrixType&).
+      */
+    LLT() : m_matrix(), m_isInitialized(false) {}
+
+    /** \brief Default Constructor with memory preallocation
+      *
+      * Like the default constructor but with preallocation of the internal data
+      * according to the specified problem \a size.
+      * \sa LLT()
+      */
+    LLT(Index size) : m_matrix(size, size),
+                    m_isInitialized(false) {}
+
+    LLT(const MatrixType& matrix)
+      : m_matrix(matrix.rows(), matrix.cols()),
+        m_isInitialized(false)
+    {
+      compute(matrix);
+    }
+
+    /** \returns a view of the upper triangular matrix U */
+    inline typename Traits::MatrixU matrixU() const
+    {
+      eigen_assert(m_isInitialized && "LLT is not initialized.");
+      return Traits::getU(m_matrix);
+    }
+
+    /** \returns a view of the lower triangular matrix L */
+    inline typename Traits::MatrixL matrixL() const
+    {
+      eigen_assert(m_isInitialized && "LLT is not initialized.");
+      return Traits::getL(m_matrix);
+    }
+
+    /** \returns the solution x of \f$ A x = b \f$ using the current decomposition of A.
+      *
+      * Since this LLT class assumes anyway that the matrix A is invertible, the solution
+      * theoretically exists and is unique regardless of b.
+      *
+      * Example: \include LLT_solve.cpp
+      * Output: \verbinclude LLT_solve.out
+      *
+      * \sa solveInPlace(), MatrixBase::llt()
+      */
+    template<typename Rhs>
+    inline const internal::solve_retval<LLT, Rhs>
+    solve(const MatrixBase<Rhs>& b) const
+    {
+      eigen_assert(m_isInitialized && "LLT is not initialized.");
+      eigen_assert(m_matrix.rows()==b.rows()
+                && "LLT::solve(): invalid number of rows of the right hand side matrix b");
+      return internal::solve_retval<LLT, Rhs>(*this, b.derived());
+    }
+
+    #ifdef EIGEN2_SUPPORT
+    template<typename OtherDerived, typename ResultType>
+    bool solve(const MatrixBase<OtherDerived>& b, ResultType *result) const
+    {
+      *result = this->solve(b);
+      return true;
+    }
+    
+    bool isPositiveDefinite() const { return true; }
+    #endif
+
+    template<typename Derived>
+    void solveInPlace(MatrixBase<Derived> &bAndX) const;
+
+    LLT& compute(const MatrixType& matrix);
+
+    /** \returns the LLT decomposition matrix
+      *
+      * TODO: document the storage layout
+      */
+    inline const MatrixType& matrixLLT() const
+    {
+      eigen_assert(m_isInitialized && "LLT is not initialized.");
+      return m_matrix;
+    }
+
+    MatrixType reconstructedMatrix() const;
+
+
+    /** \brief Reports whether previous computation was successful.
+      *
+      * \returns \c Success if computation was succesful,
+      *          \c NumericalIssue if the matrix.appears to be negative.
+      */
+    ComputationInfo info() const
+    {
+      eigen_assert(m_isInitialized && "LLT is not initialized.");
+      return m_info;
+    }
+
+    inline Index rows() const { return m_matrix.rows(); }
+    inline Index cols() const { return m_matrix.cols(); }
+
+    template<typename VectorType>
+    LLT rankUpdate(const VectorType& vec, const RealScalar& sigma = 1);
+
+  protected:
+    
+    static void check_template_parameters()
+    {
+      EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar);
+    }
+    
+    /** \internal
+      * Used to compute and store L
+      * The strict upper part is not used and even not initialized.
+      */
+    MatrixType m_matrix;
+    bool m_isInitialized;
+    ComputationInfo m_info;
+};
+
+namespace internal {
+
+template<typename Scalar, int UpLo> struct llt_inplace;
+
+template<typename MatrixType, typename VectorType>
+static typename MatrixType::Index llt_rank_update_lower(MatrixType& mat, const VectorType& vec, const typename MatrixType::RealScalar& sigma)
+{
+  using std::sqrt;
+  typedef typename MatrixType::Scalar Scalar;
+  typedef typename MatrixType::RealScalar RealScalar;
+  typedef typename MatrixType::Index Index;
+  typedef typename MatrixType::ColXpr ColXpr;
+  typedef typename internal::remove_all<ColXpr>::type ColXprCleaned;
+  typedef typename ColXprCleaned::SegmentReturnType ColXprSegment;
+  typedef Matrix<Scalar,Dynamic,1> TempVectorType;
+  typedef typename TempVectorType::SegmentReturnType TempVecSegment;
+
+  Index n = mat.cols();
+  eigen_assert(mat.rows()==n && vec.size()==n);
+
+  TempVectorType temp;
+
+  if(sigma>0)
+  {
+    // This version is based on Givens rotations.
+    // It is faster than the other one below, but only works for updates,
+    // i.e., for sigma > 0
+    temp = sqrt(sigma) * vec;
+
+    for(Index i=0; i<n; ++i)
+    {
+      JacobiRotation<Scalar> g;
+      g.makeGivens(mat(i,i), -temp(i), &mat(i,i));
+
+      Index rs = n-i-1;
+      if(rs>0)
+      {
+        ColXprSegment x(mat.col(i).tail(rs));
+        TempVecSegment y(temp.tail(rs));
+        apply_rotation_in_the_plane(x, y, g);
+      }
+    }
+  }
+  else
+  {
+    temp = vec;
+    RealScalar beta = 1;
+    for(Index j=0; j<n; ++j)
+    {
+      RealScalar Ljj = numext::real(mat.coeff(j,j));
+      RealScalar dj = numext::abs2(Ljj);
+      Scalar wj = temp.coeff(j);
+      RealScalar swj2 = sigma*numext::abs2(wj);
+      RealScalar gamma = dj*beta + swj2;
+
+      RealScalar x = dj + swj2/beta;
+      if (x<=RealScalar(0))
+        return j;
+      RealScalar nLjj = sqrt(x);
+      mat.coeffRef(j,j) = nLjj;
+      beta += swj2/dj;
+
+      // Update the terms of L
+      Index rs = n-j-1;
+      if(rs)
+      {
+        temp.tail(rs) -= (wj/Ljj) * mat.col(j).tail(rs);
+        if(gamma != 0)
+          mat.col(j).tail(rs) = (nLjj/Ljj) * mat.col(j).tail(rs) + (nLjj * sigma*numext::conj(wj)/gamma)*temp.tail(rs);
+      }
+    }
+  }
+  return -1;
+}
+
+template<typename Scalar> struct llt_inplace<Scalar, Lower>
+{
+  typedef typename NumTraits<Scalar>::Real RealScalar;
+  template<typename MatrixType>
+  static typename MatrixType::Index unblocked(MatrixType& mat)
+  {
+    using std::sqrt;
+    typedef typename MatrixType::Index Index;
+    
+    eigen_assert(mat.rows()==mat.cols());
+    const Index size = mat.rows();
+    for(Index k = 0; k < size; ++k)
+    {
+      Index rs = size-k-1; // remaining size
+
+      Block<MatrixType,Dynamic,1> A21(mat,k+1,k,rs,1);
+      Block<MatrixType,1,Dynamic> A10(mat,k,0,1,k);
+      Block<MatrixType,Dynamic,Dynamic> A20(mat,k+1,0,rs,k);
+
+      RealScalar x = numext::real(mat.coeff(k,k));
+      if (k>0) x -= A10.squaredNorm();
+      if (x<=RealScalar(0))
+        return k;
+      mat.coeffRef(k,k) = x = sqrt(x);
+      if (k>0 && rs>0) A21.noalias() -= A20 * A10.adjoint();
+      if (rs>0) A21 /= x;
+    }
+    return -1;
+  }
+
+  template<typename MatrixType>
+  static typename MatrixType::Index blocked(MatrixType& m)
+  {
+    typedef typename MatrixType::Index Index;
+    eigen_assert(m.rows()==m.cols());
+    Index size = m.rows();
+    if(size<32)
+      return unblocked(m);
+
+    Index blockSize = size/8;
+    blockSize = (blockSize/16)*16;
+    blockSize = (std::min)((std::max)(blockSize,Index(8)), Index(128));
+
+    for (Index k=0; k<size; k+=blockSize)
+    {
+      // partition the matrix:
+      //       A00 |  -  |  -
+      // lu  = A10 | A11 |  -
+      //       A20 | A21 | A22
+      Index bs = (std::min)(blockSize, size-k);
+      Index rs = size - k - bs;
+      Block<MatrixType,Dynamic,Dynamic> A11(m,k,   k,   bs,bs);
+      Block<MatrixType,Dynamic,Dynamic> A21(m,k+bs,k,   rs,bs);
+      Block<MatrixType,Dynamic,Dynamic> A22(m,k+bs,k+bs,rs,rs);
+
+      Index ret;
+      if((ret=unblocked(A11))>=0) return k+ret;
+      if(rs>0) A11.adjoint().template triangularView<Upper>().template solveInPlace<OnTheRight>(A21);
+      if(rs>0) A22.template selfadjointView<Lower>().rankUpdate(A21,-1); // bottleneck
+    }
+    return -1;
+  }
+
+  template<typename MatrixType, typename VectorType>
+  static typename MatrixType::Index rankUpdate(MatrixType& mat, const VectorType& vec, const RealScalar& sigma)
+  {
+    return Eigen::internal::llt_rank_update_lower(mat, vec, sigma);
+  }
+};
+  
+template<typename Scalar> struct llt_inplace<Scalar, Upper>
+{
+  typedef typename NumTraits<Scalar>::Real RealScalar;
+
+  template<typename MatrixType>
+  static EIGEN_STRONG_INLINE typename MatrixType::Index unblocked(MatrixType& mat)
+  {
+    Transpose<MatrixType> matt(mat);
+    return llt_inplace<Scalar, Lower>::unblocked(matt);
+  }
+  template<typename MatrixType>
+  static EIGEN_STRONG_INLINE typename MatrixType::Index blocked(MatrixType& mat)
+  {
+    Transpose<MatrixType> matt(mat);
+    return llt_inplace<Scalar, Lower>::blocked(matt);
+  }
+  template<typename MatrixType, typename VectorType>
+  static typename MatrixType::Index rankUpdate(MatrixType& mat, const VectorType& vec, const RealScalar& sigma)
+  {
+    Transpose<MatrixType> matt(mat);
+    return llt_inplace<Scalar, Lower>::rankUpdate(matt, vec.conjugate(), sigma);
+  }
+};
+
+template<typename MatrixType> struct LLT_Traits<MatrixType,Lower>
+{
+  typedef const TriangularView<const MatrixType, Lower> MatrixL;
+  typedef const TriangularView<const typename MatrixType::AdjointReturnType, Upper> MatrixU;
+  static inline MatrixL getL(const MatrixType& m) { return m; }
+  static inline MatrixU getU(const MatrixType& m) { return m.adjoint(); }
+  static bool inplace_decomposition(MatrixType& m)
+  { return llt_inplace<typename MatrixType::Scalar, Lower>::blocked(m)==-1; }
+};
+
+template<typename MatrixType> struct LLT_Traits<MatrixType,Upper>
+{
+  typedef const TriangularView<const typename MatrixType::AdjointReturnType, Lower> MatrixL;
+  typedef const TriangularView<const MatrixType, Upper> MatrixU;
+  static inline MatrixL getL(const MatrixType& m) { return m.adjoint(); }
+  static inline MatrixU getU(const MatrixType& m) { return m; }
+  static bool inplace_decomposition(MatrixType& m)
+  { return llt_inplace<typename MatrixType::Scalar, Upper>::blocked(m)==-1; }
+};
+
+} // end namespace internal
+
+/** Computes / recomputes the Cholesky decomposition A = LL^* = U^*U of \a matrix
+  *
+  * \returns a reference to *this
+  *
+  * Example: \include TutorialLinAlgComputeTwice.cpp
+  * Output: \verbinclude TutorialLinAlgComputeTwice.out
+  */
+template<typename MatrixType, int _UpLo>
+LLT<MatrixType,_UpLo>& LLT<MatrixType,_UpLo>::compute(const MatrixType& a)
+{
+  check_template_parameters();
+  
+  eigen_assert(a.rows()==a.cols());
+  const Index size = a.rows();
+  m_matrix.resize(size, size);
+  m_matrix = a;
+
+  m_isInitialized = true;
+  bool ok = Traits::inplace_decomposition(m_matrix);
+  m_info = ok ? Success : NumericalIssue;
+
+  return *this;
+}
+
+/** Performs a rank one update (or dowdate) of the current decomposition.
+  * If A = LL^* before the rank one update,
+  * then after it we have LL^* = A + sigma * v v^* where \a v must be a vector
+  * of same dimension.
+  */
+template<typename _MatrixType, int _UpLo>
+template<typename VectorType>
+LLT<_MatrixType,_UpLo> LLT<_MatrixType,_UpLo>::rankUpdate(const VectorType& v, const RealScalar& sigma)
+{
+  EIGEN_STATIC_ASSERT_VECTOR_ONLY(VectorType);
+  eigen_assert(v.size()==m_matrix.cols());
+  eigen_assert(m_isInitialized);
+  if(internal::llt_inplace<typename MatrixType::Scalar, UpLo>::rankUpdate(m_matrix,v,sigma)>=0)
+    m_info = NumericalIssue;
+  else
+    m_info = Success;
+
+  return *this;
+}
+    
+namespace internal {
+template<typename _MatrixType, int UpLo, typename Rhs>
+struct solve_retval<LLT<_MatrixType, UpLo>, Rhs>
+  : solve_retval_base<LLT<_MatrixType, UpLo>, Rhs>
+{
+  typedef LLT<_MatrixType,UpLo> LLTType;
+  EIGEN_MAKE_SOLVE_HELPERS(LLTType,Rhs)
+
+  template<typename Dest> void evalTo(Dest& dst) const
+  {
+    dst = rhs();
+    dec().solveInPlace(dst);
+  }
+};
+}
+
+/** \internal use x = llt_object.solve(x);
+  * 
+  * This is the \em in-place version of solve().
+  *
+  * \param bAndX represents both the right-hand side matrix b and result x.
+  *
+  * \returns true always! If you need to check for existence of solutions, use another decomposition like LU, QR, or SVD.
+  *
+  * This version avoids a copy when the right hand side matrix b is not
+  * needed anymore.
+  *
+  * \sa LLT::solve(), MatrixBase::llt()
+  */
+template<typename MatrixType, int _UpLo>
+template<typename Derived>
+void LLT<MatrixType,_UpLo>::solveInPlace(MatrixBase<Derived> &bAndX) const
+{
+  eigen_assert(m_isInitialized && "LLT is not initialized.");
+  eigen_assert(m_matrix.rows()==bAndX.rows());
+  matrixL().solveInPlace(bAndX);
+  matrixU().solveInPlace(bAndX);
+}
+
+/** \returns the matrix represented by the decomposition,
+ * i.e., it returns the product: L L^*.
+ * This function is provided for debug purpose. */
+template<typename MatrixType, int _UpLo>
+MatrixType LLT<MatrixType,_UpLo>::reconstructedMatrix() const
+{
+  eigen_assert(m_isInitialized && "LLT is not initialized.");
+  return matrixL() * matrixL().adjoint().toDenseMatrix();
+}
+
+/** \cholesky_module
+  * \returns the LLT decomposition of \c *this
+  */
+template<typename Derived>
+inline const LLT<typename MatrixBase<Derived>::PlainObject>
+MatrixBase<Derived>::llt() const
+{
+  return LLT<PlainObject>(derived());
+}
+
+/** \cholesky_module
+  * \returns the LLT decomposition of \c *this
+  */
+template<typename MatrixType, unsigned int UpLo>
+inline const LLT<typename SelfAdjointView<MatrixType, UpLo>::PlainObject, UpLo>
+SelfAdjointView<MatrixType, UpLo>::llt() const
+{
+  return LLT<PlainObject,UpLo>(m_matrix);
+}
+
+} // end namespace Eigen
+
+#endif // EIGEN_LLT_H
\ No newline at end of file