// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2008-2011 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_UMFPACKSUPPORT_H #define EIGEN_UMFPACKSUPPORT_H namespace Eigen { /* TODO extract L, extract U, compute det, etc... */ // generic double/complex<double> wrapper functions: inline void umfpack_free_numeric(void **Numeric, double) { umfpack_di_free_numeric(Numeric); *Numeric = 0; } inline void umfpack_free_numeric(void **Numeric, std::complex<double>) { umfpack_zi_free_numeric(Numeric); *Numeric = 0; } inline void umfpack_free_symbolic(void **Symbolic, double) { umfpack_di_free_symbolic(Symbolic); *Symbolic = 0; } inline void umfpack_free_symbolic(void **Symbolic, std::complex<double>) { umfpack_zi_free_symbolic(Symbolic); *Symbolic = 0; } inline int umfpack_symbolic(int n_row,int n_col, const int Ap[], const int Ai[], const double Ax[], void **Symbolic, const double Control [UMFPACK_CONTROL], double Info [UMFPACK_INFO]) { return umfpack_di_symbolic(n_row,n_col,Ap,Ai,Ax,Symbolic,Control,Info); } inline int umfpack_symbolic(int n_row,int n_col, const int Ap[], const int Ai[], const std::complex<double> Ax[], void **Symbolic, const double Control [UMFPACK_CONTROL], double Info [UMFPACK_INFO]) { return umfpack_zi_symbolic(n_row,n_col,Ap,Ai,&internal::real_ref(Ax[0]),0,Symbolic,Control,Info); } inline int umfpack_numeric( const int Ap[], const int Ai[], const double Ax[], void *Symbolic, void **Numeric, const double Control[UMFPACK_CONTROL],double Info [UMFPACK_INFO]) { return umfpack_di_numeric(Ap,Ai,Ax,Symbolic,Numeric,Control,Info); } inline int umfpack_numeric( const int Ap[], const int Ai[], const std::complex<double> Ax[], void *Symbolic, void **Numeric, const double Control[UMFPACK_CONTROL],double Info [UMFPACK_INFO]) { return umfpack_zi_numeric(Ap,Ai,&internal::real_ref(Ax[0]),0,Symbolic,Numeric,Control,Info); } inline int umfpack_solve( int sys, const int Ap[], const int Ai[], const double Ax[], double X[], const double B[], void *Numeric, const double Control[UMFPACK_CONTROL], double Info[UMFPACK_INFO]) { return umfpack_di_solve(sys,Ap,Ai,Ax,X,B,Numeric,Control,Info); } inline int umfpack_solve( int sys, const int Ap[], const int Ai[], const std::complex<double> Ax[], std::complex<double> X[], const std::complex<double> B[], void *Numeric, const double Control[UMFPACK_CONTROL], double Info[UMFPACK_INFO]) { return umfpack_zi_solve(sys,Ap,Ai,&internal::real_ref(Ax[0]),0,&internal::real_ref(X[0]),0,&internal::real_ref(B[0]),0,Numeric,Control,Info); } inline int umfpack_get_lunz(int *lnz, int *unz, int *n_row, int *n_col, int *nz_udiag, void *Numeric, double) { return umfpack_di_get_lunz(lnz,unz,n_row,n_col,nz_udiag,Numeric); } inline int umfpack_get_lunz(int *lnz, int *unz, int *n_row, int *n_col, int *nz_udiag, void *Numeric, std::complex<double>) { return umfpack_zi_get_lunz(lnz,unz,n_row,n_col,nz_udiag,Numeric); } inline int umfpack_get_numeric(int Lp[], int Lj[], double Lx[], int Up[], int Ui[], double Ux[], int P[], int Q[], double Dx[], int *do_recip, double Rs[], void *Numeric) { return umfpack_di_get_numeric(Lp,Lj,Lx,Up,Ui,Ux,P,Q,Dx,do_recip,Rs,Numeric); } inline int umfpack_get_numeric(int Lp[], int Lj[], std::complex<double> Lx[], int Up[], int Ui[], std::complex<double> Ux[], int P[], int Q[], std::complex<double> Dx[], int *do_recip, double Rs[], void *Numeric) { double& lx0_real = internal::real_ref(Lx[0]); double& ux0_real = internal::real_ref(Ux[0]); double& dx0_real = internal::real_ref(Dx[0]); return umfpack_zi_get_numeric(Lp,Lj,Lx?&lx0_real:0,0,Up,Ui,Ux?&ux0_real:0,0,P,Q, Dx?&dx0_real:0,0,do_recip,Rs,Numeric); } inline int umfpack_get_determinant(double *Mx, double *Ex, void *NumericHandle, double User_Info [UMFPACK_INFO]) { return umfpack_di_get_determinant(Mx,Ex,NumericHandle,User_Info); } inline int umfpack_get_determinant(std::complex<double> *Mx, double *Ex, void *NumericHandle, double User_Info [UMFPACK_INFO]) { double& mx_real = internal::real_ref(*Mx); return umfpack_zi_get_determinant(&mx_real,0,Ex,NumericHandle,User_Info); } /** \ingroup UmfPackSupport_Module * \brief A sparse LU factorization and solver based on UmfPack * * This class allows to solve for A.X = B sparse linear problems via a LU factorization * using the UmfPack library. The sparse matrix A must be squared and full rank. * The vectors or matrices X and B can be either dense or sparse. * * \WARNING The input matrix A should be in a \b compressed and \b column-major form. * Otherwise an expensive copy will be made. You can call the inexpensive makeCompressed() to get a compressed matrix. * \tparam _MatrixType the type of the sparse matrix A, it must be a SparseMatrix<> * * \sa \ref TutorialSparseDirectSolvers */ template<typename _MatrixType> class UmfPackLU : internal::noncopyable { public: typedef _MatrixType MatrixType; typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::RealScalar RealScalar; typedef typename MatrixType::Index Index; typedef Matrix<Scalar,Dynamic,1> Vector; typedef Matrix<int, 1, MatrixType::ColsAtCompileTime> IntRowVectorType; typedef Matrix<int, MatrixType::RowsAtCompileTime, 1> IntColVectorType; typedef SparseMatrix<Scalar> LUMatrixType; typedef SparseMatrix<Scalar,ColMajor,int> UmfpackMatrixType; public: UmfPackLU() { init(); } UmfPackLU(const MatrixType& matrix) { init(); compute(matrix); } ~UmfPackLU() { if(m_symbolic) umfpack_free_symbolic(&m_symbolic,Scalar()); if(m_numeric) umfpack_free_numeric(&m_numeric,Scalar()); } inline Index rows() const { return m_copyMatrix.rows(); } inline Index cols() const { return m_copyMatrix.cols(); } /** \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 && "Decomposition is not initialized."); return m_info; } inline const LUMatrixType& matrixL() const { if (m_extractedDataAreDirty) extractData(); return m_l; } inline const LUMatrixType& matrixU() const { if (m_extractedDataAreDirty) extractData(); return m_u; } inline const IntColVectorType& permutationP() const { if (m_extractedDataAreDirty) extractData(); return m_p; } inline const IntRowVectorType& permutationQ() const { if (m_extractedDataAreDirty) extractData(); return m_q; } /** Computes the sparse Cholesky decomposition of \a matrix * Note that the matrix should be column-major, and in compressed format for best performance. * \sa SparseMatrix::makeCompressed(). */ void compute(const MatrixType& matrix) { analyzePattern(matrix); factorize(matrix); } /** \returns the solution x of \f$ A x = b \f$ using the current decomposition of A. * * \sa compute() */ template<typename Rhs> inline const internal::solve_retval<UmfPackLU, Rhs> solve(const MatrixBase<Rhs>& b) const { eigen_assert(m_isInitialized && "UmfPackLU is not initialized."); eigen_assert(rows()==b.rows() && "UmfPackLU::solve(): invalid number of rows of the right hand side matrix b"); return internal::solve_retval<UmfPackLU, Rhs>(*this, b.derived()); } /** \returns the solution x of \f$ A x = b \f$ using the current decomposition of A. * * \sa compute() */ // template<typename Rhs> // inline const internal::sparse_solve_retval<UmfPAckLU, Rhs> solve(const SparseMatrixBase<Rhs>& b) const // { // eigen_assert(m_isInitialized && "UmfPAckLU is not initialized."); // eigen_assert(rows()==b.rows() // && "UmfPAckLU::solve(): invalid number of rows of the right hand side matrix b"); // return internal::sparse_solve_retval<UmfPAckLU, Rhs>(*this, b.derived()); // } /** Performs a symbolic decomposition on the sparcity of \a matrix. * * This function is particularly useful when solving for several problems having the same structure. * * \sa factorize(), compute() */ void analyzePattern(const MatrixType& matrix) { if(m_symbolic) umfpack_free_symbolic(&m_symbolic,Scalar()); if(m_numeric) umfpack_free_numeric(&m_numeric,Scalar()); grapInput(matrix); int errorCode = 0; errorCode = umfpack_symbolic(matrix.rows(), matrix.cols(), m_outerIndexPtr, m_innerIndexPtr, m_valuePtr, &m_symbolic, 0, 0); m_isInitialized = true; m_info = errorCode ? InvalidInput : Success; m_analysisIsOk = true; m_factorizationIsOk = false; } /** Performs a numeric decomposition of \a matrix * * The given matrix must has the same sparcity than the matrix on which the pattern anylysis has been performed. * * \sa analyzePattern(), compute() */ void factorize(const MatrixType& matrix) { eigen_assert(m_analysisIsOk && "UmfPackLU: you must first call analyzePattern()"); if(m_numeric) umfpack_free_numeric(&m_numeric,Scalar()); grapInput(matrix); int errorCode; errorCode = umfpack_numeric(m_outerIndexPtr, m_innerIndexPtr, m_valuePtr, m_symbolic, &m_numeric, 0, 0); m_info = errorCode ? NumericalIssue : Success; m_factorizationIsOk = true; } #ifndef EIGEN_PARSED_BY_DOXYGEN /** \internal */ template<typename BDerived,typename XDerived> bool _solve(const MatrixBase<BDerived> &b, MatrixBase<XDerived> &x) const; #endif Scalar determinant() const; void extractData() const; protected: void init() { m_info = InvalidInput; m_isInitialized = false; m_numeric = 0; m_symbolic = 0; m_outerIndexPtr = 0; m_innerIndexPtr = 0; m_valuePtr = 0; } void grapInput(const MatrixType& mat) { m_copyMatrix.resize(mat.rows(), mat.cols()); if( ((MatrixType::Flags&RowMajorBit)==RowMajorBit) || sizeof(typename MatrixType::Index)!=sizeof(int) || !mat.isCompressed() ) { // non supported input -> copy m_copyMatrix = mat; m_outerIndexPtr = m_copyMatrix.outerIndexPtr(); m_innerIndexPtr = m_copyMatrix.innerIndexPtr(); m_valuePtr = m_copyMatrix.valuePtr(); } else { m_outerIndexPtr = mat.outerIndexPtr(); m_innerIndexPtr = mat.innerIndexPtr(); m_valuePtr = mat.valuePtr(); } } // cached data to reduce reallocation, etc. mutable LUMatrixType m_l; mutable LUMatrixType m_u; mutable IntColVectorType m_p; mutable IntRowVectorType m_q; UmfpackMatrixType m_copyMatrix; const Scalar* m_valuePtr; const int* m_outerIndexPtr; const int* m_innerIndexPtr; void* m_numeric; void* m_symbolic; mutable ComputationInfo m_info; bool m_isInitialized; int m_factorizationIsOk; int m_analysisIsOk; mutable bool m_extractedDataAreDirty; private: UmfPackLU(UmfPackLU& ) { } }; template<typename MatrixType> void UmfPackLU<MatrixType>::extractData() const { if (m_extractedDataAreDirty) { // get size of the data int lnz, unz, rows, cols, nz_udiag; umfpack_get_lunz(&lnz, &unz, &rows, &cols, &nz_udiag, m_numeric, Scalar()); // allocate data m_l.resize(rows,(std::min)(rows,cols)); m_l.resizeNonZeros(lnz); m_u.resize((std::min)(rows,cols),cols); m_u.resizeNonZeros(unz); m_p.resize(rows); m_q.resize(cols); // extract umfpack_get_numeric(m_l.outerIndexPtr(), m_l.innerIndexPtr(), m_l.valuePtr(), m_u.outerIndexPtr(), m_u.innerIndexPtr(), m_u.valuePtr(), m_p.data(), m_q.data(), 0, 0, 0, m_numeric); m_extractedDataAreDirty = false; } } template<typename MatrixType> typename UmfPackLU<MatrixType>::Scalar UmfPackLU<MatrixType>::determinant() const { Scalar det; umfpack_get_determinant(&det, 0, m_numeric, 0); return det; } template<typename MatrixType> template<typename BDerived,typename XDerived> bool UmfPackLU<MatrixType>::_solve(const MatrixBase<BDerived> &b, MatrixBase<XDerived> &x) const { const int rhsCols = b.cols(); eigen_assert((BDerived::Flags&RowMajorBit)==0 && "UmfPackLU backend does not support non col-major rhs yet"); eigen_assert((XDerived::Flags&RowMajorBit)==0 && "UmfPackLU backend does not support non col-major result yet"); int errorCode; for (int j=0; j<rhsCols; ++j) { errorCode = umfpack_solve(UMFPACK_A, m_outerIndexPtr, m_innerIndexPtr, m_valuePtr, &x.col(j).coeffRef(0), &b.const_cast_derived().col(j).coeffRef(0), m_numeric, 0, 0); if (errorCode!=0) return false; } return true; } namespace internal { template<typename _MatrixType, typename Rhs> struct solve_retval<UmfPackLU<_MatrixType>, Rhs> : solve_retval_base<UmfPackLU<_MatrixType>, Rhs> { typedef UmfPackLU<_MatrixType> Dec; EIGEN_MAKE_SOLVE_HELPERS(Dec,Rhs) template<typename Dest> void evalTo(Dest& dst) const { dec()._solve(rhs(),dst); } }; template<typename _MatrixType, typename Rhs> struct sparse_solve_retval<UmfPackLU<_MatrixType>, Rhs> : sparse_solve_retval_base<UmfPackLU<_MatrixType>, Rhs> { typedef UmfPackLU<_MatrixType> Dec; EIGEN_MAKE_SPARSE_SOLVE_HELPERS(Dec,Rhs) template<typename Dest> void evalTo(Dest& dst) const { dec()._solve(rhs(),dst); } }; } // end namespace internal } // end namespace Eigen #endif // EIGEN_UMFPACKSUPPORT_H