// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2008-2011 Gael Guennebaud <gael.guennebaud@inria.fr>
// Copyright (C) 2009 Keir Mierle <mierle@gmail.com>
// Copyright (C) 2009 Benoit Jacob <jacob.benoit.1@gmail.com>
// Copyright (C) 2011 Timothy E. Holy <tim.holy@gmail.com >
//
// 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_LDLT_H
#define EIGEN_LDLT_H
namespace Eigen {
namespace internal {
template<typename MatrixType, int UpLo> struct LDLT_Traits;
}
/** \ingroup Cholesky_Module
*
* \class LDLT
*
* \brief Robust Cholesky decomposition of a matrix with pivoting
*
* \param MatrixType the type of the matrix of which to compute the LDL^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.
*
* Perform a robust Cholesky decomposition of a positive semidefinite or negative semidefinite
* matrix \f$ A \f$ such that \f$ A = P^TLDL^*P \f$, where P is a permutation matrix, L
* is lower triangular with a unit diagonal and D is a diagonal matrix.
*
* The decomposition uses pivoting to ensure stability, so that L will have
* zeros in the bottom right rank(A) - n submatrix. Avoiding the square root
* on D also stabilizes the computation.
*
* Remember that Cholesky decompositions are not rank-revealing. Also, do not use a Cholesky
* decomposition to determine whether a system of equations has a solution.
*
* \sa MatrixBase::ldlt(), class LLT
*/
template<typename _MatrixType, int _UpLo> class LDLT
{
public:
typedef _MatrixType MatrixType;
enum {
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
ColsAtCompileTime = MatrixType::ColsAtCompileTime,
Options = MatrixType::Options & ~RowMajorBit, // these are the options for the TmpMatrixType, we need a ColMajor matrix here!
MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
UpLo = _UpLo
};
typedef typename MatrixType::Scalar Scalar;
typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
typedef typename MatrixType::Index Index;
typedef Matrix<Scalar, RowsAtCompileTime, 1, Options, MaxRowsAtCompileTime, 1> TmpMatrixType;
typedef Transpositions<RowsAtCompileTime, MaxRowsAtCompileTime> TranspositionType;
typedef PermutationMatrix<RowsAtCompileTime, MaxRowsAtCompileTime> PermutationType;
typedef internal::LDLT_Traits<MatrixType,UpLo> Traits;
/** \brief Default Constructor.
*
* The default constructor is useful in cases in which the user intends to
* perform decompositions via LDLT::compute(const MatrixType&).
*/
LDLT() : m_matrix(), m_transpositions(), 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 LDLT()
*/
LDLT(Index size)
: m_matrix(size, size),
m_transpositions(size),
m_temporary(size),
m_isInitialized(false)
{}
/** \brief Constructor with decomposition
*
* This calculates the decomposition for the input \a matrix.
* \sa LDLT(Index size)
*/
LDLT(const MatrixType& matrix)
: m_matrix(matrix.rows(), matrix.cols()),
m_transpositions(matrix.rows()),
m_temporary(matrix.rows()),
m_isInitialized(false)
{
compute(matrix);
}
/** Clear any existing decomposition
* \sa rankUpdate(w,sigma)
*/
void setZero()
{
m_isInitialized = false;
}
/** \returns a view of the upper triangular matrix U */
inline typename Traits::MatrixU matrixU() const
{
eigen_assert(m_isInitialized && "LDLT 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 && "LDLT is not initialized.");
return Traits::getL(m_matrix);
}
/** \returns the permutation matrix P as a transposition sequence.
*/
inline const TranspositionType& transpositionsP() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_transpositions;
}
/** \returns the coefficients of the diagonal matrix D */
inline Diagonal<const MatrixType> vectorD() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_matrix.diagonal();
}
/** \returns true if the matrix is positive (semidefinite) */
inline bool isPositive() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_sign == 1;
}
#ifdef EIGEN2_SUPPORT
inline bool isPositiveDefinite() const
{
return isPositive();
}
#endif
/** \returns true if the matrix is negative (semidefinite) */
inline bool isNegative(void) const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_sign == -1;
}
/** \returns a solution x of \f$ A x = b \f$ using the current decomposition of A.
*
* This function also supports in-place solves using the syntax <tt>x = decompositionObject.solve(x)</tt> .
*
* \note_about_checking_solutions
*
* More precisely, this method solves \f$ A x = b \f$ using the decomposition \f$ A = P^T L D L^* P \f$
* by solving the systems \f$ P^T y_1 = b \f$, \f$ L y_2 = y_1 \f$, \f$ D y_3 = y_2 \f$,
* \f$ L^* y_4 = y_3 \f$ and \f$ P x = y_4 \f$ in succession. If the matrix \f$ A \f$ is singular, then
* \f$ D \f$ will also be singular (all the other matrices are invertible). In that case, the
* least-square solution of \f$ D y_3 = y_2 \f$ is computed. This does not mean that this function
* computes the least-square solution of \f$ A x = b \f$ is \f$ A \f$ is singular.
*
* \sa MatrixBase::ldlt()
*/
template<typename Rhs>
inline const internal::solve_retval<LDLT, Rhs>
solve(const MatrixBase<Rhs>& b) const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
eigen_assert(m_matrix.rows()==b.rows()
&& "LDLT::solve(): invalid number of rows of the right hand side matrix b");
return internal::solve_retval<LDLT, 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;
}
#endif
template<typename Derived>
bool solveInPlace(MatrixBase<Derived> &bAndX) const;
LDLT& compute(const MatrixType& matrix);
template <typename Derived>
LDLT& rankUpdate(const MatrixBase<Derived>& w,RealScalar alpha=1);
/** \returns the internal LDLT decomposition matrix
*
* TODO: document the storage layout
*/
inline const MatrixType& matrixLDLT() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_matrix;
}
MatrixType reconstructedMatrix() const;
inline Index rows() const { return m_matrix.rows(); }
inline Index cols() const { return m_matrix.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 && "LDLT is not initialized.");
return Success;
}
protected:
/** \internal
* Used to compute and store the Cholesky decomposition A = L D L^* = U^* D U.
* The strict upper part is used during the decomposition, the strict lower
* part correspond to the coefficients of L (its diagonal is equal to 1 and
* is not stored), and the diagonal entries correspond to D.
*/
MatrixType m_matrix;
TranspositionType m_transpositions;
TmpMatrixType m_temporary;
int m_sign;
bool m_isInitialized;
};
namespace internal {
template<int UpLo> struct ldlt_inplace;
template<> struct ldlt_inplace<Lower>
{
template<typename MatrixType, typename TranspositionType, typename Workspace>
static bool unblocked(MatrixType& mat, TranspositionType& transpositions, Workspace& temp, int* sign=0)
{
typedef typename MatrixType::Scalar Scalar;
typedef typename MatrixType::RealScalar RealScalar;
typedef typename MatrixType::Index Index;
eigen_assert(mat.rows()==mat.cols());
const Index size = mat.rows();
if (size <= 1)
{
transpositions.setIdentity();
if(sign)
*sign = real(mat.coeff(0,0))>0 ? 1:-1;
return true;
}
RealScalar cutoff(0), biggest_in_corner;
for (Index k = 0; k < size; ++k)
{
// Find largest diagonal element
Index index_of_biggest_in_corner;
biggest_in_corner = mat.diagonal().tail(size-k).cwiseAbs().maxCoeff(&index_of_biggest_in_corner);
index_of_biggest_in_corner += k;
if(k == 0)
{
// The biggest overall is the point of reference to which further diagonals
// are compared; if any diagonal is negligible compared
// to the largest overall, the algorithm bails.
cutoff = abs(NumTraits<Scalar>::epsilon() * biggest_in_corner);
if(sign)
*sign = real(mat.diagonal().coeff(index_of_biggest_in_corner)) > 0 ? 1 : -1;
}
// Finish early if the matrix is not full rank.
if(biggest_in_corner < cutoff)
{
for(Index i = k; i < size; i++) transpositions.coeffRef(i) = i;
break;
}
transpositions.coeffRef(k) = index_of_biggest_in_corner;
if(k != index_of_biggest_in_corner)
{
// apply the transposition while taking care to consider only
// the lower triangular part
Index s = size-index_of_biggest_in_corner-1; // trailing size after the biggest element
mat.row(k).head(k).swap(mat.row(index_of_biggest_in_corner).head(k));
mat.col(k).tail(s).swap(mat.col(index_of_biggest_in_corner).tail(s));
std::swap(mat.coeffRef(k,k),mat.coeffRef(index_of_biggest_in_corner,index_of_biggest_in_corner));
for(int i=k+1;i<index_of_biggest_in_corner;++i)
{
Scalar tmp = mat.coeffRef(i,k);
mat.coeffRef(i,k) = conj(mat.coeffRef(index_of_biggest_in_corner,i));
mat.coeffRef(index_of_biggest_in_corner,i) = conj(tmp);
}
if(NumTraits<Scalar>::IsComplex)
mat.coeffRef(index_of_biggest_in_corner,k) = conj(mat.coeff(index_of_biggest_in_corner,k));
}
// partition the matrix:
// A00 | - | -
// lu = A10 | A11 | -
// A20 | A21 | A22
Index rs = size - k - 1;
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);
if(k>0)
{
temp.head(k) = mat.diagonal().head(k).asDiagonal() * A10.adjoint();
mat.coeffRef(k,k) -= (A10 * temp.head(k)).value();
if(rs>0)
A21.noalias() -= A20 * temp.head(k);
}
if((rs>0) && (abs(mat.coeffRef(k,k)) > cutoff))
A21 /= mat.coeffRef(k,k);
}
return true;
}
// Reference for the algorithm: Davis and Hager, "Multiple Rank
// Modifications of a Sparse Cholesky Factorization" (Algorithm 1)
// Trivial rearrangements of their computations (Timothy E. Holy)
// allow their algorithm to work for rank-1 updates even if the
// original matrix is not of full rank.
// Here only rank-1 updates are implemented, to reduce the
// requirement for intermediate storage and improve accuracy
template<typename MatrixType, typename WDerived>
static bool updateInPlace(MatrixType& mat, MatrixBase<WDerived>& w, typename MatrixType::RealScalar sigma=1)
{
using internal::isfinite;
typedef typename MatrixType::Scalar Scalar;
typedef typename MatrixType::RealScalar RealScalar;
typedef typename MatrixType::Index Index;
const Index size = mat.rows();
eigen_assert(mat.cols() == size && w.size()==size);
RealScalar alpha = 1;
// Apply the update
for (Index j = 0; j < size; j++)
{
// Check for termination due to an original decomposition of low-rank
if (!(isfinite)(alpha))
break;
// Update the diagonal terms
RealScalar dj = real(mat.coeff(j,j));
Scalar wj = w.coeff(j);
RealScalar swj2 = sigma*abs2(wj);
RealScalar gamma = dj*alpha + swj2;
mat.coeffRef(j,j) += swj2/alpha;
alpha += swj2/dj;
// Update the terms of L
Index rs = size-j-1;
w.tail(rs) -= wj * mat.col(j).tail(rs);
if(gamma != 0)
mat.col(j).tail(rs) += (sigma*conj(wj)/gamma)*w.tail(rs);
}
return true;
}
template<typename MatrixType, typename TranspositionType, typename Workspace, typename WType>
static bool update(MatrixType& mat, const TranspositionType& transpositions, Workspace& tmp, const WType& w, typename MatrixType::RealScalar sigma=1)
{
// Apply the permutation to the input w
tmp = transpositions * w;
return ldlt_inplace<Lower>::updateInPlace(mat,tmp,sigma);
}
};
template<> struct ldlt_inplace<Upper>
{
template<typename MatrixType, typename TranspositionType, typename Workspace>
static EIGEN_STRONG_INLINE bool unblocked(MatrixType& mat, TranspositionType& transpositions, Workspace& temp, int* sign=0)
{
Transpose<MatrixType> matt(mat);
return ldlt_inplace<Lower>::unblocked(matt, transpositions, temp, sign);
}
template<typename MatrixType, typename TranspositionType, typename Workspace, typename WType>
static EIGEN_STRONG_INLINE bool update(MatrixType& mat, TranspositionType& transpositions, Workspace& tmp, WType& w, typename MatrixType::RealScalar sigma=1)
{
Transpose<MatrixType> matt(mat);
return ldlt_inplace<Lower>::update(matt, transpositions, tmp, w.conjugate(), sigma);
}
};
template<typename MatrixType> struct LDLT_Traits<MatrixType,Lower>
{
typedef const TriangularView<const MatrixType, UnitLower> MatrixL;
typedef const TriangularView<const typename MatrixType::AdjointReturnType, UnitUpper> MatrixU;
static inline MatrixL getL(const MatrixType& m) { return m; }
static inline MatrixU getU(const MatrixType& m) { return m.adjoint(); }
};
template<typename MatrixType> struct LDLT_Traits<MatrixType,Upper>
{
typedef const TriangularView<const typename MatrixType::AdjointReturnType, UnitLower> MatrixL;
typedef const TriangularView<const MatrixType, UnitUpper> MatrixU;
static inline MatrixL getL(const MatrixType& m) { return m.adjoint(); }
static inline MatrixU getU(const MatrixType& m) { return m; }
};
} // end namespace internal
/** Compute / recompute the LDLT decomposition A = L D L^* = U^* D U of \a matrix
*/
template<typename MatrixType, int _UpLo>
LDLT<MatrixType,_UpLo>& LDLT<MatrixType,_UpLo>::compute(const MatrixType& a)
{
eigen_assert(a.rows()==a.cols());
const Index size = a.rows();
m_matrix = a;
m_transpositions.resize(size);
m_isInitialized = false;
m_temporary.resize(size);
internal::ldlt_inplace<UpLo>::unblocked(m_matrix, m_transpositions, m_temporary, &m_sign);
m_isInitialized = true;
return *this;
}
/** Update the LDLT decomposition: given A = L D L^T, efficiently compute the decomposition of A + sigma w w^T.
* \param w a vector to be incorporated into the decomposition.
* \param sigma a scalar, +1 for updates and -1 for "downdates," which correspond to removing previously-added column vectors. Optional; default value is +1.
* \sa setZero()
*/
template<typename MatrixType, int _UpLo>
template<typename Derived>
LDLT<MatrixType,_UpLo>& LDLT<MatrixType,_UpLo>::rankUpdate(const MatrixBase<Derived>& w,typename NumTraits<typename MatrixType::Scalar>::Real sigma)
{
const Index size = w.rows();
if (m_isInitialized)
{
eigen_assert(m_matrix.rows()==size);
}
else
{
m_matrix.resize(size,size);
m_matrix.setZero();
m_transpositions.resize(size);
for (Index i = 0; i < size; i++)
m_transpositions.coeffRef(i) = i;
m_temporary.resize(size);
m_sign = sigma>=0 ? 1 : -1;
m_isInitialized = true;
}
internal::ldlt_inplace<UpLo>::update(m_matrix, m_transpositions, m_temporary, w, sigma);
return *this;
}
namespace internal {
template<typename _MatrixType, int _UpLo, typename Rhs>
struct solve_retval<LDLT<_MatrixType,_UpLo>, Rhs>
: solve_retval_base<LDLT<_MatrixType,_UpLo>, Rhs>
{
typedef LDLT<_MatrixType,_UpLo> LDLTType;
EIGEN_MAKE_SOLVE_HELPERS(LDLTType,Rhs)
template<typename Dest> void evalTo(Dest& dst) const
{
eigen_assert(rhs().rows() == dec().matrixLDLT().rows());
// dst = P b
dst = dec().transpositionsP() * rhs();
// dst = L^-1 (P b)
dec().matrixL().solveInPlace(dst);
// dst = D^-1 (L^-1 P b)
// more precisely, use pseudo-inverse of D (see bug 241)
using std::abs;
using std::max;
typedef typename LDLTType::MatrixType MatrixType;
typedef typename LDLTType::Scalar Scalar;
typedef typename LDLTType::RealScalar RealScalar;
const Diagonal<const MatrixType> vectorD = dec().vectorD();
RealScalar tolerance = (max)(vectorD.array().abs().maxCoeff() * NumTraits<Scalar>::epsilon(),
RealScalar(1) / NumTraits<RealScalar>::highest()); // motivated by LAPACK's xGELSS
for (Index i = 0; i < vectorD.size(); ++i) {
if(abs(vectorD(i)) > tolerance)
dst.row(i) /= vectorD(i);
else
dst.row(i).setZero();
}
// dst = L^-T (D^-1 L^-1 P b)
dec().matrixU().solveInPlace(dst);
// dst = P^-1 (L^-T D^-1 L^-1 P b) = A^-1 b
dst = dec().transpositionsP().transpose() * dst;
}
};
}
/** \internal use x = ldlt_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 LDLT::solve(), MatrixBase::ldlt()
*/
template<typename MatrixType,int _UpLo>
template<typename Derived>
bool LDLT<MatrixType,_UpLo>::solveInPlace(MatrixBase<Derived> &bAndX) const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
const Index size = m_matrix.rows();
eigen_assert(size == bAndX.rows());
bAndX = this->solve(bAndX);
return true;
}
/** \returns the matrix represented by the decomposition,
* i.e., it returns the product: P^T L D L^* P.
* This function is provided for debug purpose. */
template<typename MatrixType, int _UpLo>
MatrixType LDLT<MatrixType,_UpLo>::reconstructedMatrix() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
const Index size = m_matrix.rows();
MatrixType res(size,size);
// P
res.setIdentity();
res = transpositionsP() * res;
// L^* P
res = matrixU() * res;
// D(L^*P)
res = vectorD().asDiagonal() * res;
// L(DL^*P)
res = matrixL() * res;
// P^T (LDL^*P)
res = transpositionsP().transpose() * res;
return res;
}
/** \cholesky_module
* \returns the Cholesky decomposition with full pivoting without square root of \c *this
*/
template<typename MatrixType, unsigned int UpLo>
inline const LDLT<typename SelfAdjointView<MatrixType, UpLo>::PlainObject, UpLo>
SelfAdjointView<MatrixType, UpLo>::ldlt() const
{
return LDLT<PlainObject,UpLo>(m_matrix);
}
/** \cholesky_module
* \returns the Cholesky decomposition with full pivoting without square root of \c *this
*/
template<typename Derived>
inline const LDLT<typename MatrixBase<Derived>::PlainObject>
MatrixBase<Derived>::ldlt() const
{
return LDLT<PlainObject>(derived());
}
} // end namespace Eigen
#endif // EIGEN_LDLT_H