1*bf2c3715SXin Li // This file is part of Eigen, a lightweight C++ template library 2*bf2c3715SXin Li // for linear algebra. 3*bf2c3715SXin Li // 4*bf2c3715SXin Li // Copyright (C) 2008-2012 Gael Guennebaud <[email protected]> 5*bf2c3715SXin Li // 6*bf2c3715SXin Li // This Source Code Form is subject to the terms of the Mozilla 7*bf2c3715SXin Li // Public License v. 2.0. If a copy of the MPL was not distributed 8*bf2c3715SXin Li // with this file, You can obtain one at http://mozilla.org/MPL/2.0/. 9*bf2c3715SXin Li 10*bf2c3715SXin Li #ifndef EIGEN_SIMPLICIAL_CHOLESKY_H 11*bf2c3715SXin Li #define EIGEN_SIMPLICIAL_CHOLESKY_H 12*bf2c3715SXin Li 13*bf2c3715SXin Li namespace Eigen { 14*bf2c3715SXin Li 15*bf2c3715SXin Li enum SimplicialCholeskyMode { 16*bf2c3715SXin Li SimplicialCholeskyLLT, 17*bf2c3715SXin Li SimplicialCholeskyLDLT 18*bf2c3715SXin Li }; 19*bf2c3715SXin Li 20*bf2c3715SXin Li namespace internal { 21*bf2c3715SXin Li template<typename CholMatrixType, typename InputMatrixType> 22*bf2c3715SXin Li struct simplicial_cholesky_grab_input { 23*bf2c3715SXin Li typedef CholMatrixType const * ConstCholMatrixPtr; runsimplicial_cholesky_grab_input24*bf2c3715SXin Li static void run(const InputMatrixType& input, ConstCholMatrixPtr &pmat, CholMatrixType &tmp) 25*bf2c3715SXin Li { 26*bf2c3715SXin Li tmp = input; 27*bf2c3715SXin Li pmat = &tmp; 28*bf2c3715SXin Li } 29*bf2c3715SXin Li }; 30*bf2c3715SXin Li 31*bf2c3715SXin Li template<typename MatrixType> 32*bf2c3715SXin Li struct simplicial_cholesky_grab_input<MatrixType,MatrixType> { 33*bf2c3715SXin Li typedef MatrixType const * ConstMatrixPtr; 34*bf2c3715SXin Li static void run(const MatrixType& input, ConstMatrixPtr &pmat, MatrixType &/*tmp*/) 35*bf2c3715SXin Li { 36*bf2c3715SXin Li pmat = &input; 37*bf2c3715SXin Li } 38*bf2c3715SXin Li }; 39*bf2c3715SXin Li } // end namespace internal 40*bf2c3715SXin Li 41*bf2c3715SXin Li /** \ingroup SparseCholesky_Module 42*bf2c3715SXin Li * \brief A base class for direct sparse Cholesky factorizations 43*bf2c3715SXin Li * 44*bf2c3715SXin Li * This is a base class for LL^T and LDL^T Cholesky factorizations of sparse matrices that are 45*bf2c3715SXin Li * selfadjoint and positive definite. These factorizations allow for solving A.X = B where 46*bf2c3715SXin Li * X and B can be either dense or sparse. 47*bf2c3715SXin Li * 48*bf2c3715SXin Li * In order to reduce the fill-in, a symmetric permutation P is applied prior to the factorization 49*bf2c3715SXin Li * such that the factorized matrix is P A P^-1. 50*bf2c3715SXin Li * 51*bf2c3715SXin Li * \tparam Derived the type of the derived class, that is the actual factorization type. 52*bf2c3715SXin Li * 53*bf2c3715SXin Li */ 54*bf2c3715SXin Li template<typename Derived> 55*bf2c3715SXin Li class SimplicialCholeskyBase : public SparseSolverBase<Derived> 56*bf2c3715SXin Li { 57*bf2c3715SXin Li typedef SparseSolverBase<Derived> Base; 58*bf2c3715SXin Li using Base::m_isInitialized; 59*bf2c3715SXin Li 60*bf2c3715SXin Li public: 61*bf2c3715SXin Li typedef typename internal::traits<Derived>::MatrixType MatrixType; 62*bf2c3715SXin Li typedef typename internal::traits<Derived>::OrderingType OrderingType; 63*bf2c3715SXin Li enum { UpLo = internal::traits<Derived>::UpLo }; 64*bf2c3715SXin Li typedef typename MatrixType::Scalar Scalar; 65*bf2c3715SXin Li typedef typename MatrixType::RealScalar RealScalar; 66*bf2c3715SXin Li typedef typename MatrixType::StorageIndex StorageIndex; 67*bf2c3715SXin Li typedef SparseMatrix<Scalar,ColMajor,StorageIndex> CholMatrixType; 68*bf2c3715SXin Li typedef CholMatrixType const * ConstCholMatrixPtr; 69*bf2c3715SXin Li typedef Matrix<Scalar,Dynamic,1> VectorType; 70*bf2c3715SXin Li typedef Matrix<StorageIndex,Dynamic,1> VectorI; 71*bf2c3715SXin Li 72*bf2c3715SXin Li enum { 73*bf2c3715SXin Li ColsAtCompileTime = MatrixType::ColsAtCompileTime, 74*bf2c3715SXin Li MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime 75*bf2c3715SXin Li }; 76*bf2c3715SXin Li 77*bf2c3715SXin Li public: 78*bf2c3715SXin Li 79*bf2c3715SXin Li using Base::derived; 80*bf2c3715SXin Li 81*bf2c3715SXin Li /** Default constructor */ 82*bf2c3715SXin Li SimplicialCholeskyBase() 83*bf2c3715SXin Li : m_info(Success), 84*bf2c3715SXin Li m_factorizationIsOk(false), 85*bf2c3715SXin Li m_analysisIsOk(false), 86*bf2c3715SXin Li m_shiftOffset(0), 87*bf2c3715SXin Li m_shiftScale(1) 88*bf2c3715SXin Li {} 89*bf2c3715SXin Li 90*bf2c3715SXin Li explicit SimplicialCholeskyBase(const MatrixType& matrix) 91*bf2c3715SXin Li : m_info(Success), 92*bf2c3715SXin Li m_factorizationIsOk(false), 93*bf2c3715SXin Li m_analysisIsOk(false), 94*bf2c3715SXin Li m_shiftOffset(0), 95*bf2c3715SXin Li m_shiftScale(1) 96*bf2c3715SXin Li { 97*bf2c3715SXin Li derived().compute(matrix); 98*bf2c3715SXin Li } 99*bf2c3715SXin Li 100*bf2c3715SXin Li ~SimplicialCholeskyBase() 101*bf2c3715SXin Li { 102*bf2c3715SXin Li } 103*bf2c3715SXin Li 104*bf2c3715SXin Li Derived& derived() { return *static_cast<Derived*>(this); } 105*bf2c3715SXin Li const Derived& derived() const { return *static_cast<const Derived*>(this); } 106*bf2c3715SXin Li 107*bf2c3715SXin Li inline Index cols() const { return m_matrix.cols(); } 108*bf2c3715SXin Li inline Index rows() const { return m_matrix.rows(); } 109*bf2c3715SXin Li 110*bf2c3715SXin Li /** \brief Reports whether previous computation was successful. 111*bf2c3715SXin Li * 112*bf2c3715SXin Li * \returns \c Success if computation was successful, 113*bf2c3715SXin Li * \c NumericalIssue if the matrix.appears to be negative. 114*bf2c3715SXin Li */ 115*bf2c3715SXin Li ComputationInfo info() const 116*bf2c3715SXin Li { 117*bf2c3715SXin Li eigen_assert(m_isInitialized && "Decomposition is not initialized."); 118*bf2c3715SXin Li return m_info; 119*bf2c3715SXin Li } 120*bf2c3715SXin Li 121*bf2c3715SXin Li /** \returns the permutation P 122*bf2c3715SXin Li * \sa permutationPinv() */ 123*bf2c3715SXin Li const PermutationMatrix<Dynamic,Dynamic,StorageIndex>& permutationP() const 124*bf2c3715SXin Li { return m_P; } 125*bf2c3715SXin Li 126*bf2c3715SXin Li /** \returns the inverse P^-1 of the permutation P 127*bf2c3715SXin Li * \sa permutationP() */ 128*bf2c3715SXin Li const PermutationMatrix<Dynamic,Dynamic,StorageIndex>& permutationPinv() const 129*bf2c3715SXin Li { return m_Pinv; } 130*bf2c3715SXin Li 131*bf2c3715SXin Li /** Sets the shift parameters that will be used to adjust the diagonal coefficients during the numerical factorization. 132*bf2c3715SXin Li * 133*bf2c3715SXin Li * During the numerical factorization, the diagonal coefficients are transformed by the following linear model:\n 134*bf2c3715SXin Li * \c d_ii = \a offset + \a scale * \c d_ii 135*bf2c3715SXin Li * 136*bf2c3715SXin Li * The default is the identity transformation with \a offset=0, and \a scale=1. 137*bf2c3715SXin Li * 138*bf2c3715SXin Li * \returns a reference to \c *this. 139*bf2c3715SXin Li */ 140*bf2c3715SXin Li Derived& setShift(const RealScalar& offset, const RealScalar& scale = 1) 141*bf2c3715SXin Li { 142*bf2c3715SXin Li m_shiftOffset = offset; 143*bf2c3715SXin Li m_shiftScale = scale; 144*bf2c3715SXin Li return derived(); 145*bf2c3715SXin Li } 146*bf2c3715SXin Li 147*bf2c3715SXin Li #ifndef EIGEN_PARSED_BY_DOXYGEN 148*bf2c3715SXin Li /** \internal */ 149*bf2c3715SXin Li template<typename Stream> 150*bf2c3715SXin Li void dumpMemory(Stream& s) 151*bf2c3715SXin Li { 152*bf2c3715SXin Li int total = 0; 153*bf2c3715SXin Li s << " L: " << ((total+=(m_matrix.cols()+1) * sizeof(int) + m_matrix.nonZeros()*(sizeof(int)+sizeof(Scalar))) >> 20) << "Mb" << "\n"; 154*bf2c3715SXin Li s << " diag: " << ((total+=m_diag.size() * sizeof(Scalar)) >> 20) << "Mb" << "\n"; 155*bf2c3715SXin Li s << " tree: " << ((total+=m_parent.size() * sizeof(int)) >> 20) << "Mb" << "\n"; 156*bf2c3715SXin Li s << " nonzeros: " << ((total+=m_nonZerosPerCol.size() * sizeof(int)) >> 20) << "Mb" << "\n"; 157*bf2c3715SXin Li s << " perm: " << ((total+=m_P.size() * sizeof(int)) >> 20) << "Mb" << "\n"; 158*bf2c3715SXin Li s << " perm^-1: " << ((total+=m_Pinv.size() * sizeof(int)) >> 20) << "Mb" << "\n"; 159*bf2c3715SXin Li s << " TOTAL: " << (total>> 20) << "Mb" << "\n"; 160*bf2c3715SXin Li } 161*bf2c3715SXin Li 162*bf2c3715SXin Li /** \internal */ 163*bf2c3715SXin Li template<typename Rhs,typename Dest> 164*bf2c3715SXin Li void _solve_impl(const MatrixBase<Rhs> &b, MatrixBase<Dest> &dest) const 165*bf2c3715SXin Li { 166*bf2c3715SXin Li eigen_assert(m_factorizationIsOk && "The decomposition is not in a valid state for solving, you must first call either compute() or symbolic()/numeric()"); 167*bf2c3715SXin Li eigen_assert(m_matrix.rows()==b.rows()); 168*bf2c3715SXin Li 169*bf2c3715SXin Li if(m_info!=Success) 170*bf2c3715SXin Li return; 171*bf2c3715SXin Li 172*bf2c3715SXin Li if(m_P.size()>0) 173*bf2c3715SXin Li dest = m_P * b; 174*bf2c3715SXin Li else 175*bf2c3715SXin Li dest = b; 176*bf2c3715SXin Li 177*bf2c3715SXin Li if(m_matrix.nonZeros()>0) // otherwise L==I 178*bf2c3715SXin Li derived().matrixL().solveInPlace(dest); 179*bf2c3715SXin Li 180*bf2c3715SXin Li if(m_diag.size()>0) 181*bf2c3715SXin Li dest = m_diag.asDiagonal().inverse() * dest; 182*bf2c3715SXin Li 183*bf2c3715SXin Li if (m_matrix.nonZeros()>0) // otherwise U==I 184*bf2c3715SXin Li derived().matrixU().solveInPlace(dest); 185*bf2c3715SXin Li 186*bf2c3715SXin Li if(m_P.size()>0) 187*bf2c3715SXin Li dest = m_Pinv * dest; 188*bf2c3715SXin Li } 189*bf2c3715SXin Li 190*bf2c3715SXin Li template<typename Rhs,typename Dest> 191*bf2c3715SXin Li void _solve_impl(const SparseMatrixBase<Rhs> &b, SparseMatrixBase<Dest> &dest) const 192*bf2c3715SXin Li { 193*bf2c3715SXin Li internal::solve_sparse_through_dense_panels(derived(), b, dest); 194*bf2c3715SXin Li } 195*bf2c3715SXin Li 196*bf2c3715SXin Li #endif // EIGEN_PARSED_BY_DOXYGEN 197*bf2c3715SXin Li 198*bf2c3715SXin Li protected: 199*bf2c3715SXin Li 200*bf2c3715SXin Li /** Computes the sparse Cholesky decomposition of \a matrix */ 201*bf2c3715SXin Li template<bool DoLDLT> 202*bf2c3715SXin Li void compute(const MatrixType& matrix) 203*bf2c3715SXin Li { 204*bf2c3715SXin Li eigen_assert(matrix.rows()==matrix.cols()); 205*bf2c3715SXin Li Index size = matrix.cols(); 206*bf2c3715SXin Li CholMatrixType tmp(size,size); 207*bf2c3715SXin Li ConstCholMatrixPtr pmat; 208*bf2c3715SXin Li ordering(matrix, pmat, tmp); 209*bf2c3715SXin Li analyzePattern_preordered(*pmat, DoLDLT); 210*bf2c3715SXin Li factorize_preordered<DoLDLT>(*pmat); 211*bf2c3715SXin Li } 212*bf2c3715SXin Li 213*bf2c3715SXin Li template<bool DoLDLT> 214*bf2c3715SXin Li void factorize(const MatrixType& a) 215*bf2c3715SXin Li { 216*bf2c3715SXin Li eigen_assert(a.rows()==a.cols()); 217*bf2c3715SXin Li Index size = a.cols(); 218*bf2c3715SXin Li CholMatrixType tmp(size,size); 219*bf2c3715SXin Li ConstCholMatrixPtr pmat; 220*bf2c3715SXin Li 221*bf2c3715SXin Li if(m_P.size() == 0 && (int(UpLo) & int(Upper)) == Upper) 222*bf2c3715SXin Li { 223*bf2c3715SXin Li // If there is no ordering, try to directly use the input matrix without any copy 224*bf2c3715SXin Li internal::simplicial_cholesky_grab_input<CholMatrixType,MatrixType>::run(a, pmat, tmp); 225*bf2c3715SXin Li } 226*bf2c3715SXin Li else 227*bf2c3715SXin Li { 228*bf2c3715SXin Li tmp.template selfadjointView<Upper>() = a.template selfadjointView<UpLo>().twistedBy(m_P); 229*bf2c3715SXin Li pmat = &tmp; 230*bf2c3715SXin Li } 231*bf2c3715SXin Li 232*bf2c3715SXin Li factorize_preordered<DoLDLT>(*pmat); 233*bf2c3715SXin Li } 234*bf2c3715SXin Li 235*bf2c3715SXin Li template<bool DoLDLT> 236*bf2c3715SXin Li void factorize_preordered(const CholMatrixType& a); 237*bf2c3715SXin Li 238*bf2c3715SXin Li void analyzePattern(const MatrixType& a, bool doLDLT) 239*bf2c3715SXin Li { 240*bf2c3715SXin Li eigen_assert(a.rows()==a.cols()); 241*bf2c3715SXin Li Index size = a.cols(); 242*bf2c3715SXin Li CholMatrixType tmp(size,size); 243*bf2c3715SXin Li ConstCholMatrixPtr pmat; 244*bf2c3715SXin Li ordering(a, pmat, tmp); 245*bf2c3715SXin Li analyzePattern_preordered(*pmat,doLDLT); 246*bf2c3715SXin Li } 247*bf2c3715SXin Li void analyzePattern_preordered(const CholMatrixType& a, bool doLDLT); 248*bf2c3715SXin Li 249*bf2c3715SXin Li void ordering(const MatrixType& a, ConstCholMatrixPtr &pmat, CholMatrixType& ap); 250*bf2c3715SXin Li 251*bf2c3715SXin Li /** keeps off-diagonal entries; drops diagonal entries */ 252*bf2c3715SXin Li struct keep_diag { 253*bf2c3715SXin Li inline bool operator() (const Index& row, const Index& col, const Scalar&) const 254*bf2c3715SXin Li { 255*bf2c3715SXin Li return row!=col; 256*bf2c3715SXin Li } 257*bf2c3715SXin Li }; 258*bf2c3715SXin Li 259*bf2c3715SXin Li mutable ComputationInfo m_info; 260*bf2c3715SXin Li bool m_factorizationIsOk; 261*bf2c3715SXin Li bool m_analysisIsOk; 262*bf2c3715SXin Li 263*bf2c3715SXin Li CholMatrixType m_matrix; 264*bf2c3715SXin Li VectorType m_diag; // the diagonal coefficients (LDLT mode) 265*bf2c3715SXin Li VectorI m_parent; // elimination tree 266*bf2c3715SXin Li VectorI m_nonZerosPerCol; 267*bf2c3715SXin Li PermutationMatrix<Dynamic,Dynamic,StorageIndex> m_P; // the permutation 268*bf2c3715SXin Li PermutationMatrix<Dynamic,Dynamic,StorageIndex> m_Pinv; // the inverse permutation 269*bf2c3715SXin Li 270*bf2c3715SXin Li RealScalar m_shiftOffset; 271*bf2c3715SXin Li RealScalar m_shiftScale; 272*bf2c3715SXin Li }; 273*bf2c3715SXin Li 274*bf2c3715SXin Li template<typename _MatrixType, int _UpLo = Lower, typename _Ordering = AMDOrdering<typename _MatrixType::StorageIndex> > class SimplicialLLT; 275*bf2c3715SXin Li template<typename _MatrixType, int _UpLo = Lower, typename _Ordering = AMDOrdering<typename _MatrixType::StorageIndex> > class SimplicialLDLT; 276*bf2c3715SXin Li template<typename _MatrixType, int _UpLo = Lower, typename _Ordering = AMDOrdering<typename _MatrixType::StorageIndex> > class SimplicialCholesky; 277*bf2c3715SXin Li 278*bf2c3715SXin Li namespace internal { 279*bf2c3715SXin Li 280*bf2c3715SXin Li template<typename _MatrixType, int _UpLo, typename _Ordering> struct traits<SimplicialLLT<_MatrixType,_UpLo,_Ordering> > 281*bf2c3715SXin Li { 282*bf2c3715SXin Li typedef _MatrixType MatrixType; 283*bf2c3715SXin Li typedef _Ordering OrderingType; 284*bf2c3715SXin Li enum { UpLo = _UpLo }; 285*bf2c3715SXin Li typedef typename MatrixType::Scalar Scalar; 286*bf2c3715SXin Li typedef typename MatrixType::StorageIndex StorageIndex; 287*bf2c3715SXin Li typedef SparseMatrix<Scalar, ColMajor, StorageIndex> CholMatrixType; 288*bf2c3715SXin Li typedef TriangularView<const CholMatrixType, Eigen::Lower> MatrixL; 289*bf2c3715SXin Li typedef TriangularView<const typename CholMatrixType::AdjointReturnType, Eigen::Upper> MatrixU; 290*bf2c3715SXin Li static inline MatrixL getL(const CholMatrixType& m) { return MatrixL(m); } 291*bf2c3715SXin Li static inline MatrixU getU(const CholMatrixType& m) { return MatrixU(m.adjoint()); } 292*bf2c3715SXin Li }; 293*bf2c3715SXin Li 294*bf2c3715SXin Li template<typename _MatrixType,int _UpLo, typename _Ordering> struct traits<SimplicialLDLT<_MatrixType,_UpLo,_Ordering> > 295*bf2c3715SXin Li { 296*bf2c3715SXin Li typedef _MatrixType MatrixType; 297*bf2c3715SXin Li typedef _Ordering OrderingType; 298*bf2c3715SXin Li enum { UpLo = _UpLo }; 299*bf2c3715SXin Li typedef typename MatrixType::Scalar Scalar; 300*bf2c3715SXin Li typedef typename MatrixType::StorageIndex StorageIndex; 301*bf2c3715SXin Li typedef SparseMatrix<Scalar, ColMajor, StorageIndex> CholMatrixType; 302*bf2c3715SXin Li typedef TriangularView<const CholMatrixType, Eigen::UnitLower> MatrixL; 303*bf2c3715SXin Li typedef TriangularView<const typename CholMatrixType::AdjointReturnType, Eigen::UnitUpper> MatrixU; 304*bf2c3715SXin Li static inline MatrixL getL(const CholMatrixType& m) { return MatrixL(m); } 305*bf2c3715SXin Li static inline MatrixU getU(const CholMatrixType& m) { return MatrixU(m.adjoint()); } 306*bf2c3715SXin Li }; 307*bf2c3715SXin Li 308*bf2c3715SXin Li template<typename _MatrixType, int _UpLo, typename _Ordering> struct traits<SimplicialCholesky<_MatrixType,_UpLo,_Ordering> > 309*bf2c3715SXin Li { 310*bf2c3715SXin Li typedef _MatrixType MatrixType; 311*bf2c3715SXin Li typedef _Ordering OrderingType; 312*bf2c3715SXin Li enum { UpLo = _UpLo }; 313*bf2c3715SXin Li }; 314*bf2c3715SXin Li 315*bf2c3715SXin Li } 316*bf2c3715SXin Li 317*bf2c3715SXin Li /** \ingroup SparseCholesky_Module 318*bf2c3715SXin Li * \class SimplicialLLT 319*bf2c3715SXin Li * \brief A direct sparse LLT Cholesky factorizations 320*bf2c3715SXin Li * 321*bf2c3715SXin Li * This class provides a LL^T Cholesky factorizations of sparse matrices that are 322*bf2c3715SXin Li * selfadjoint and positive definite. The factorization allows for solving A.X = B where 323*bf2c3715SXin Li * X and B can be either dense or sparse. 324*bf2c3715SXin Li * 325*bf2c3715SXin Li * In order to reduce the fill-in, a symmetric permutation P is applied prior to the factorization 326*bf2c3715SXin Li * such that the factorized matrix is P A P^-1. 327*bf2c3715SXin Li * 328*bf2c3715SXin Li * \tparam _MatrixType the type of the sparse matrix A, it must be a SparseMatrix<> 329*bf2c3715SXin Li * \tparam _UpLo the triangular part that will be used for the computations. It can be Lower 330*bf2c3715SXin Li * or Upper. Default is Lower. 331*bf2c3715SXin Li * \tparam _Ordering The ordering method to use, either AMDOrdering<> or NaturalOrdering<>. Default is AMDOrdering<> 332*bf2c3715SXin Li * 333*bf2c3715SXin Li * \implsparsesolverconcept 334*bf2c3715SXin Li * 335*bf2c3715SXin Li * \sa class SimplicialLDLT, class AMDOrdering, class NaturalOrdering 336*bf2c3715SXin Li */ 337*bf2c3715SXin Li template<typename _MatrixType, int _UpLo, typename _Ordering> 338*bf2c3715SXin Li class SimplicialLLT : public SimplicialCholeskyBase<SimplicialLLT<_MatrixType,_UpLo,_Ordering> > 339*bf2c3715SXin Li { 340*bf2c3715SXin Li public: 341*bf2c3715SXin Li typedef _MatrixType MatrixType; 342*bf2c3715SXin Li enum { UpLo = _UpLo }; 343*bf2c3715SXin Li typedef SimplicialCholeskyBase<SimplicialLLT> Base; 344*bf2c3715SXin Li typedef typename MatrixType::Scalar Scalar; 345*bf2c3715SXin Li typedef typename MatrixType::RealScalar RealScalar; 346*bf2c3715SXin Li typedef typename MatrixType::StorageIndex StorageIndex; 347*bf2c3715SXin Li typedef SparseMatrix<Scalar,ColMajor,Index> CholMatrixType; 348*bf2c3715SXin Li typedef Matrix<Scalar,Dynamic,1> VectorType; 349*bf2c3715SXin Li typedef internal::traits<SimplicialLLT> Traits; 350*bf2c3715SXin Li typedef typename Traits::MatrixL MatrixL; 351*bf2c3715SXin Li typedef typename Traits::MatrixU MatrixU; 352*bf2c3715SXin Li public: 353*bf2c3715SXin Li /** Default constructor */ 354*bf2c3715SXin Li SimplicialLLT() : Base() {} 355*bf2c3715SXin Li /** Constructs and performs the LLT factorization of \a matrix */ 356*bf2c3715SXin Li explicit SimplicialLLT(const MatrixType& matrix) 357*bf2c3715SXin Li : Base(matrix) {} 358*bf2c3715SXin Li 359*bf2c3715SXin Li /** \returns an expression of the factor L */ 360*bf2c3715SXin Li inline const MatrixL matrixL() const { 361*bf2c3715SXin Li eigen_assert(Base::m_factorizationIsOk && "Simplicial LLT not factorized"); 362*bf2c3715SXin Li return Traits::getL(Base::m_matrix); 363*bf2c3715SXin Li } 364*bf2c3715SXin Li 365*bf2c3715SXin Li /** \returns an expression of the factor U (= L^*) */ 366*bf2c3715SXin Li inline const MatrixU matrixU() const { 367*bf2c3715SXin Li eigen_assert(Base::m_factorizationIsOk && "Simplicial LLT not factorized"); 368*bf2c3715SXin Li return Traits::getU(Base::m_matrix); 369*bf2c3715SXin Li } 370*bf2c3715SXin Li 371*bf2c3715SXin Li /** Computes the sparse Cholesky decomposition of \a matrix */ 372*bf2c3715SXin Li SimplicialLLT& compute(const MatrixType& matrix) 373*bf2c3715SXin Li { 374*bf2c3715SXin Li Base::template compute<false>(matrix); 375*bf2c3715SXin Li return *this; 376*bf2c3715SXin Li } 377*bf2c3715SXin Li 378*bf2c3715SXin Li /** Performs a symbolic decomposition on the sparcity of \a matrix. 379*bf2c3715SXin Li * 380*bf2c3715SXin Li * This function is particularly useful when solving for several problems having the same structure. 381*bf2c3715SXin Li * 382*bf2c3715SXin Li * \sa factorize() 383*bf2c3715SXin Li */ 384*bf2c3715SXin Li void analyzePattern(const MatrixType& a) 385*bf2c3715SXin Li { 386*bf2c3715SXin Li Base::analyzePattern(a, false); 387*bf2c3715SXin Li } 388*bf2c3715SXin Li 389*bf2c3715SXin Li /** Performs a numeric decomposition of \a matrix 390*bf2c3715SXin Li * 391*bf2c3715SXin Li * The given matrix must has the same sparcity than the matrix on which the symbolic decomposition has been performed. 392*bf2c3715SXin Li * 393*bf2c3715SXin Li * \sa analyzePattern() 394*bf2c3715SXin Li */ 395*bf2c3715SXin Li void factorize(const MatrixType& a) 396*bf2c3715SXin Li { 397*bf2c3715SXin Li Base::template factorize<false>(a); 398*bf2c3715SXin Li } 399*bf2c3715SXin Li 400*bf2c3715SXin Li /** \returns the determinant of the underlying matrix from the current factorization */ 401*bf2c3715SXin Li Scalar determinant() const 402*bf2c3715SXin Li { 403*bf2c3715SXin Li Scalar detL = Base::m_matrix.diagonal().prod(); 404*bf2c3715SXin Li return numext::abs2(detL); 405*bf2c3715SXin Li } 406*bf2c3715SXin Li }; 407*bf2c3715SXin Li 408*bf2c3715SXin Li /** \ingroup SparseCholesky_Module 409*bf2c3715SXin Li * \class SimplicialLDLT 410*bf2c3715SXin Li * \brief A direct sparse LDLT Cholesky factorizations without square root. 411*bf2c3715SXin Li * 412*bf2c3715SXin Li * This class provides a LDL^T Cholesky factorizations without square root of sparse matrices that are 413*bf2c3715SXin Li * selfadjoint and positive definite. The factorization allows for solving A.X = B where 414*bf2c3715SXin Li * X and B can be either dense or sparse. 415*bf2c3715SXin Li * 416*bf2c3715SXin Li * In order to reduce the fill-in, a symmetric permutation P is applied prior to the factorization 417*bf2c3715SXin Li * such that the factorized matrix is P A P^-1. 418*bf2c3715SXin Li * 419*bf2c3715SXin Li * \tparam _MatrixType the type of the sparse matrix A, it must be a SparseMatrix<> 420*bf2c3715SXin Li * \tparam _UpLo the triangular part that will be used for the computations. It can be Lower 421*bf2c3715SXin Li * or Upper. Default is Lower. 422*bf2c3715SXin Li * \tparam _Ordering The ordering method to use, either AMDOrdering<> or NaturalOrdering<>. Default is AMDOrdering<> 423*bf2c3715SXin Li * 424*bf2c3715SXin Li * \implsparsesolverconcept 425*bf2c3715SXin Li * 426*bf2c3715SXin Li * \sa class SimplicialLLT, class AMDOrdering, class NaturalOrdering 427*bf2c3715SXin Li */ 428*bf2c3715SXin Li template<typename _MatrixType, int _UpLo, typename _Ordering> 429*bf2c3715SXin Li class SimplicialLDLT : public SimplicialCholeskyBase<SimplicialLDLT<_MatrixType,_UpLo,_Ordering> > 430*bf2c3715SXin Li { 431*bf2c3715SXin Li public: 432*bf2c3715SXin Li typedef _MatrixType MatrixType; 433*bf2c3715SXin Li enum { UpLo = _UpLo }; 434*bf2c3715SXin Li typedef SimplicialCholeskyBase<SimplicialLDLT> Base; 435*bf2c3715SXin Li typedef typename MatrixType::Scalar Scalar; 436*bf2c3715SXin Li typedef typename MatrixType::RealScalar RealScalar; 437*bf2c3715SXin Li typedef typename MatrixType::StorageIndex StorageIndex; 438*bf2c3715SXin Li typedef SparseMatrix<Scalar,ColMajor,StorageIndex> CholMatrixType; 439*bf2c3715SXin Li typedef Matrix<Scalar,Dynamic,1> VectorType; 440*bf2c3715SXin Li typedef internal::traits<SimplicialLDLT> Traits; 441*bf2c3715SXin Li typedef typename Traits::MatrixL MatrixL; 442*bf2c3715SXin Li typedef typename Traits::MatrixU MatrixU; 443*bf2c3715SXin Li public: 444*bf2c3715SXin Li /** Default constructor */ 445*bf2c3715SXin Li SimplicialLDLT() : Base() {} 446*bf2c3715SXin Li 447*bf2c3715SXin Li /** Constructs and performs the LLT factorization of \a matrix */ 448*bf2c3715SXin Li explicit SimplicialLDLT(const MatrixType& matrix) 449*bf2c3715SXin Li : Base(matrix) {} 450*bf2c3715SXin Li 451*bf2c3715SXin Li /** \returns a vector expression of the diagonal D */ 452*bf2c3715SXin Li inline const VectorType vectorD() const { 453*bf2c3715SXin Li eigen_assert(Base::m_factorizationIsOk && "Simplicial LDLT not factorized"); 454*bf2c3715SXin Li return Base::m_diag; 455*bf2c3715SXin Li } 456*bf2c3715SXin Li /** \returns an expression of the factor L */ 457*bf2c3715SXin Li inline const MatrixL matrixL() const { 458*bf2c3715SXin Li eigen_assert(Base::m_factorizationIsOk && "Simplicial LDLT not factorized"); 459*bf2c3715SXin Li return Traits::getL(Base::m_matrix); 460*bf2c3715SXin Li } 461*bf2c3715SXin Li 462*bf2c3715SXin Li /** \returns an expression of the factor U (= L^*) */ 463*bf2c3715SXin Li inline const MatrixU matrixU() const { 464*bf2c3715SXin Li eigen_assert(Base::m_factorizationIsOk && "Simplicial LDLT not factorized"); 465*bf2c3715SXin Li return Traits::getU(Base::m_matrix); 466*bf2c3715SXin Li } 467*bf2c3715SXin Li 468*bf2c3715SXin Li /** Computes the sparse Cholesky decomposition of \a matrix */ 469*bf2c3715SXin Li SimplicialLDLT& compute(const MatrixType& matrix) 470*bf2c3715SXin Li { 471*bf2c3715SXin Li Base::template compute<true>(matrix); 472*bf2c3715SXin Li return *this; 473*bf2c3715SXin Li } 474*bf2c3715SXin Li 475*bf2c3715SXin Li /** Performs a symbolic decomposition on the sparcity of \a matrix. 476*bf2c3715SXin Li * 477*bf2c3715SXin Li * This function is particularly useful when solving for several problems having the same structure. 478*bf2c3715SXin Li * 479*bf2c3715SXin Li * \sa factorize() 480*bf2c3715SXin Li */ 481*bf2c3715SXin Li void analyzePattern(const MatrixType& a) 482*bf2c3715SXin Li { 483*bf2c3715SXin Li Base::analyzePattern(a, true); 484*bf2c3715SXin Li } 485*bf2c3715SXin Li 486*bf2c3715SXin Li /** Performs a numeric decomposition of \a matrix 487*bf2c3715SXin Li * 488*bf2c3715SXin Li * The given matrix must has the same sparcity than the matrix on which the symbolic decomposition has been performed. 489*bf2c3715SXin Li * 490*bf2c3715SXin Li * \sa analyzePattern() 491*bf2c3715SXin Li */ 492*bf2c3715SXin Li void factorize(const MatrixType& a) 493*bf2c3715SXin Li { 494*bf2c3715SXin Li Base::template factorize<true>(a); 495*bf2c3715SXin Li } 496*bf2c3715SXin Li 497*bf2c3715SXin Li /** \returns the determinant of the underlying matrix from the current factorization */ 498*bf2c3715SXin Li Scalar determinant() const 499*bf2c3715SXin Li { 500*bf2c3715SXin Li return Base::m_diag.prod(); 501*bf2c3715SXin Li } 502*bf2c3715SXin Li }; 503*bf2c3715SXin Li 504*bf2c3715SXin Li /** \deprecated use SimplicialLDLT or class SimplicialLLT 505*bf2c3715SXin Li * \ingroup SparseCholesky_Module 506*bf2c3715SXin Li * \class SimplicialCholesky 507*bf2c3715SXin Li * 508*bf2c3715SXin Li * \sa class SimplicialLDLT, class SimplicialLLT 509*bf2c3715SXin Li */ 510*bf2c3715SXin Li template<typename _MatrixType, int _UpLo, typename _Ordering> 511*bf2c3715SXin Li class SimplicialCholesky : public SimplicialCholeskyBase<SimplicialCholesky<_MatrixType,_UpLo,_Ordering> > 512*bf2c3715SXin Li { 513*bf2c3715SXin Li public: 514*bf2c3715SXin Li typedef _MatrixType MatrixType; 515*bf2c3715SXin Li enum { UpLo = _UpLo }; 516*bf2c3715SXin Li typedef SimplicialCholeskyBase<SimplicialCholesky> Base; 517*bf2c3715SXin Li typedef typename MatrixType::Scalar Scalar; 518*bf2c3715SXin Li typedef typename MatrixType::RealScalar RealScalar; 519*bf2c3715SXin Li typedef typename MatrixType::StorageIndex StorageIndex; 520*bf2c3715SXin Li typedef SparseMatrix<Scalar,ColMajor,StorageIndex> CholMatrixType; 521*bf2c3715SXin Li typedef Matrix<Scalar,Dynamic,1> VectorType; 522*bf2c3715SXin Li typedef internal::traits<SimplicialCholesky> Traits; 523*bf2c3715SXin Li typedef internal::traits<SimplicialLDLT<MatrixType,UpLo> > LDLTTraits; 524*bf2c3715SXin Li typedef internal::traits<SimplicialLLT<MatrixType,UpLo> > LLTTraits; 525*bf2c3715SXin Li public: 526*bf2c3715SXin Li SimplicialCholesky() : Base(), m_LDLT(true) {} 527*bf2c3715SXin Li 528*bf2c3715SXin Li explicit SimplicialCholesky(const MatrixType& matrix) 529*bf2c3715SXin Li : Base(), m_LDLT(true) 530*bf2c3715SXin Li { 531*bf2c3715SXin Li compute(matrix); 532*bf2c3715SXin Li } 533*bf2c3715SXin Li 534*bf2c3715SXin Li SimplicialCholesky& setMode(SimplicialCholeskyMode mode) 535*bf2c3715SXin Li { 536*bf2c3715SXin Li switch(mode) 537*bf2c3715SXin Li { 538*bf2c3715SXin Li case SimplicialCholeskyLLT: 539*bf2c3715SXin Li m_LDLT = false; 540*bf2c3715SXin Li break; 541*bf2c3715SXin Li case SimplicialCholeskyLDLT: 542*bf2c3715SXin Li m_LDLT = true; 543*bf2c3715SXin Li break; 544*bf2c3715SXin Li default: 545*bf2c3715SXin Li break; 546*bf2c3715SXin Li } 547*bf2c3715SXin Li 548*bf2c3715SXin Li return *this; 549*bf2c3715SXin Li } 550*bf2c3715SXin Li 551*bf2c3715SXin Li inline const VectorType vectorD() const { 552*bf2c3715SXin Li eigen_assert(Base::m_factorizationIsOk && "Simplicial Cholesky not factorized"); 553*bf2c3715SXin Li return Base::m_diag; 554*bf2c3715SXin Li } 555*bf2c3715SXin Li inline const CholMatrixType rawMatrix() const { 556*bf2c3715SXin Li eigen_assert(Base::m_factorizationIsOk && "Simplicial Cholesky not factorized"); 557*bf2c3715SXin Li return Base::m_matrix; 558*bf2c3715SXin Li } 559*bf2c3715SXin Li 560*bf2c3715SXin Li /** Computes the sparse Cholesky decomposition of \a matrix */ 561*bf2c3715SXin Li SimplicialCholesky& compute(const MatrixType& matrix) 562*bf2c3715SXin Li { 563*bf2c3715SXin Li if(m_LDLT) 564*bf2c3715SXin Li Base::template compute<true>(matrix); 565*bf2c3715SXin Li else 566*bf2c3715SXin Li Base::template compute<false>(matrix); 567*bf2c3715SXin Li return *this; 568*bf2c3715SXin Li } 569*bf2c3715SXin Li 570*bf2c3715SXin Li /** Performs a symbolic decomposition on the sparcity of \a matrix. 571*bf2c3715SXin Li * 572*bf2c3715SXin Li * This function is particularly useful when solving for several problems having the same structure. 573*bf2c3715SXin Li * 574*bf2c3715SXin Li * \sa factorize() 575*bf2c3715SXin Li */ 576*bf2c3715SXin Li void analyzePattern(const MatrixType& a) 577*bf2c3715SXin Li { 578*bf2c3715SXin Li Base::analyzePattern(a, m_LDLT); 579*bf2c3715SXin Li } 580*bf2c3715SXin Li 581*bf2c3715SXin Li /** Performs a numeric decomposition of \a matrix 582*bf2c3715SXin Li * 583*bf2c3715SXin Li * The given matrix must has the same sparcity than the matrix on which the symbolic decomposition has been performed. 584*bf2c3715SXin Li * 585*bf2c3715SXin Li * \sa analyzePattern() 586*bf2c3715SXin Li */ 587*bf2c3715SXin Li void factorize(const MatrixType& a) 588*bf2c3715SXin Li { 589*bf2c3715SXin Li if(m_LDLT) 590*bf2c3715SXin Li Base::template factorize<true>(a); 591*bf2c3715SXin Li else 592*bf2c3715SXin Li Base::template factorize<false>(a); 593*bf2c3715SXin Li } 594*bf2c3715SXin Li 595*bf2c3715SXin Li /** \internal */ 596*bf2c3715SXin Li template<typename Rhs,typename Dest> 597*bf2c3715SXin Li void _solve_impl(const MatrixBase<Rhs> &b, MatrixBase<Dest> &dest) const 598*bf2c3715SXin Li { 599*bf2c3715SXin Li eigen_assert(Base::m_factorizationIsOk && "The decomposition is not in a valid state for solving, you must first call either compute() or symbolic()/numeric()"); 600*bf2c3715SXin Li eigen_assert(Base::m_matrix.rows()==b.rows()); 601*bf2c3715SXin Li 602*bf2c3715SXin Li if(Base::m_info!=Success) 603*bf2c3715SXin Li return; 604*bf2c3715SXin Li 605*bf2c3715SXin Li if(Base::m_P.size()>0) 606*bf2c3715SXin Li dest = Base::m_P * b; 607*bf2c3715SXin Li else 608*bf2c3715SXin Li dest = b; 609*bf2c3715SXin Li 610*bf2c3715SXin Li if(Base::m_matrix.nonZeros()>0) // otherwise L==I 611*bf2c3715SXin Li { 612*bf2c3715SXin Li if(m_LDLT) 613*bf2c3715SXin Li LDLTTraits::getL(Base::m_matrix).solveInPlace(dest); 614*bf2c3715SXin Li else 615*bf2c3715SXin Li LLTTraits::getL(Base::m_matrix).solveInPlace(dest); 616*bf2c3715SXin Li } 617*bf2c3715SXin Li 618*bf2c3715SXin Li if(Base::m_diag.size()>0) 619*bf2c3715SXin Li dest = Base::m_diag.real().asDiagonal().inverse() * dest; 620*bf2c3715SXin Li 621*bf2c3715SXin Li if (Base::m_matrix.nonZeros()>0) // otherwise I==I 622*bf2c3715SXin Li { 623*bf2c3715SXin Li if(m_LDLT) 624*bf2c3715SXin Li LDLTTraits::getU(Base::m_matrix).solveInPlace(dest); 625*bf2c3715SXin Li else 626*bf2c3715SXin Li LLTTraits::getU(Base::m_matrix).solveInPlace(dest); 627*bf2c3715SXin Li } 628*bf2c3715SXin Li 629*bf2c3715SXin Li if(Base::m_P.size()>0) 630*bf2c3715SXin Li dest = Base::m_Pinv * dest; 631*bf2c3715SXin Li } 632*bf2c3715SXin Li 633*bf2c3715SXin Li /** \internal */ 634*bf2c3715SXin Li template<typename Rhs,typename Dest> 635*bf2c3715SXin Li void _solve_impl(const SparseMatrixBase<Rhs> &b, SparseMatrixBase<Dest> &dest) const 636*bf2c3715SXin Li { 637*bf2c3715SXin Li internal::solve_sparse_through_dense_panels(*this, b, dest); 638*bf2c3715SXin Li } 639*bf2c3715SXin Li 640*bf2c3715SXin Li Scalar determinant() const 641*bf2c3715SXin Li { 642*bf2c3715SXin Li if(m_LDLT) 643*bf2c3715SXin Li { 644*bf2c3715SXin Li return Base::m_diag.prod(); 645*bf2c3715SXin Li } 646*bf2c3715SXin Li else 647*bf2c3715SXin Li { 648*bf2c3715SXin Li Scalar detL = Diagonal<const CholMatrixType>(Base::m_matrix).prod(); 649*bf2c3715SXin Li return numext::abs2(detL); 650*bf2c3715SXin Li } 651*bf2c3715SXin Li } 652*bf2c3715SXin Li 653*bf2c3715SXin Li protected: 654*bf2c3715SXin Li bool m_LDLT; 655*bf2c3715SXin Li }; 656*bf2c3715SXin Li 657*bf2c3715SXin Li template<typename Derived> 658*bf2c3715SXin Li void SimplicialCholeskyBase<Derived>::ordering(const MatrixType& a, ConstCholMatrixPtr &pmat, CholMatrixType& ap) 659*bf2c3715SXin Li { 660*bf2c3715SXin Li eigen_assert(a.rows()==a.cols()); 661*bf2c3715SXin Li const Index size = a.rows(); 662*bf2c3715SXin Li pmat = ≈ 663*bf2c3715SXin Li // Note that ordering methods compute the inverse permutation 664*bf2c3715SXin Li if(!internal::is_same<OrderingType,NaturalOrdering<Index> >::value) 665*bf2c3715SXin Li { 666*bf2c3715SXin Li { 667*bf2c3715SXin Li CholMatrixType C; 668*bf2c3715SXin Li C = a.template selfadjointView<UpLo>(); 669*bf2c3715SXin Li 670*bf2c3715SXin Li OrderingType ordering; 671*bf2c3715SXin Li ordering(C,m_Pinv); 672*bf2c3715SXin Li } 673*bf2c3715SXin Li 674*bf2c3715SXin Li if(m_Pinv.size()>0) m_P = m_Pinv.inverse(); 675*bf2c3715SXin Li else m_P.resize(0); 676*bf2c3715SXin Li 677*bf2c3715SXin Li ap.resize(size,size); 678*bf2c3715SXin Li ap.template selfadjointView<Upper>() = a.template selfadjointView<UpLo>().twistedBy(m_P); 679*bf2c3715SXin Li } 680*bf2c3715SXin Li else 681*bf2c3715SXin Li { 682*bf2c3715SXin Li m_Pinv.resize(0); 683*bf2c3715SXin Li m_P.resize(0); 684*bf2c3715SXin Li if(int(UpLo)==int(Lower) || MatrixType::IsRowMajor) 685*bf2c3715SXin Li { 686*bf2c3715SXin Li // we have to transpose the lower part to to the upper one 687*bf2c3715SXin Li ap.resize(size,size); 688*bf2c3715SXin Li ap.template selfadjointView<Upper>() = a.template selfadjointView<UpLo>(); 689*bf2c3715SXin Li } 690*bf2c3715SXin Li else 691*bf2c3715SXin Li internal::simplicial_cholesky_grab_input<CholMatrixType,MatrixType>::run(a, pmat, ap); 692*bf2c3715SXin Li } 693*bf2c3715SXin Li } 694*bf2c3715SXin Li 695*bf2c3715SXin Li } // end namespace Eigen 696*bf2c3715SXin Li 697*bf2c3715SXin Li #endif // EIGEN_SIMPLICIAL_CHOLESKY_H 698