// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2012 Désiré Nuentsa-Wakam <desire.nuentsa_wakam@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_INCOMPLETE_CHOlESKY_H
#define EIGEN_INCOMPLETE_CHOlESKY_H
#include "Eigen/src/IterativeLinearSolvers/IncompleteLUT.h"
#include <Eigen/OrderingMethods>
#include <list>
namespace Eigen {
/**
* \brief Modified Incomplete Cholesky with dual threshold
*
* References : C-J. Lin and J. J. Moré, Incomplete Cholesky Factorizations with
* Limited memory, SIAM J. Sci. Comput. 21(1), pp. 24-45, 1999
*
* \tparam _MatrixType The type of the sparse matrix. It should be a symmetric
* matrix. It is advised to give a row-oriented sparse matrix
* \tparam _UpLo The triangular part of the matrix to reference.
* \tparam _OrderingType
*/
template <typename Scalar, int _UpLo = Lower, typename _OrderingType = NaturalOrdering<int> >
class IncompleteCholesky : internal::noncopyable
{
public:
typedef SparseMatrix<Scalar,ColMajor> MatrixType;
typedef _OrderingType OrderingType;
typedef typename MatrixType::RealScalar RealScalar;
typedef typename MatrixType::Index Index;
typedef PermutationMatrix<Dynamic, Dynamic, Index> PermutationType;
typedef Matrix<Scalar,Dynamic,1> ScalarType;
typedef Matrix<Index,Dynamic, 1> IndexType;
typedef std::vector<std::list<Index> > VectorList;
enum { UpLo = _UpLo };
public:
IncompleteCholesky() : m_shift(1),m_factorizationIsOk(false) {}
IncompleteCholesky(const MatrixType& matrix) : m_shift(1),m_factorizationIsOk(false)
{
compute(matrix);
}
Index rows() const { return m_L.rows(); }
Index cols() const { return m_L.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 && "IncompleteLLT is not initialized.");
return m_info;
}
/**
* \brief Set the initial shift parameter
*/
void setShift( Scalar shift) { m_shift = shift; }
/**
* \brief Computes the fill reducing permutation vector.
*/
template<typename MatrixType>
void analyzePattern(const MatrixType& mat)
{
OrderingType ord;
ord(mat.template selfadjointView<UpLo>(), m_perm);
m_analysisIsOk = true;
}
template<typename MatrixType>
void factorize(const MatrixType& amat);
template<typename MatrixType>
void compute (const MatrixType& matrix)
{
analyzePattern(matrix);
factorize(matrix);
}
template<typename Rhs, typename Dest>
void _solve(const Rhs& b, Dest& x) const
{
eigen_assert(m_factorizationIsOk && "factorize() should be called first");
if (m_perm.rows() == b.rows())
x = m_perm.inverse() * b;
else
x = b;
x = m_scal.asDiagonal() * x;
x = m_L.template triangularView<UnitLower>().solve(x);
x = m_L.adjoint().template triangularView<Upper>().solve(x);
if (m_perm.rows() == b.rows())
x = m_perm * x;
x = m_scal.asDiagonal() * x;
}
template<typename Rhs> inline const internal::solve_retval<IncompleteCholesky, Rhs>
solve(const MatrixBase<Rhs>& b) const
{
eigen_assert(m_factorizationIsOk && "IncompleteLLT did not succeed");
eigen_assert(m_isInitialized && "IncompleteLLT is not initialized.");
eigen_assert(cols()==b.rows()
&& "IncompleteLLT::solve(): invalid number of rows of the right hand side matrix b");
return internal::solve_retval<IncompleteCholesky, Rhs>(*this, b.derived());
}
protected:
SparseMatrix<Scalar,ColMajor> m_L; // The lower part stored in CSC
ScalarType m_scal; // The vector for scaling the matrix
Scalar m_shift; //The initial shift parameter
bool m_analysisIsOk;
bool m_factorizationIsOk;
bool m_isInitialized;
ComputationInfo m_info;
PermutationType m_perm;
private:
template <typename IdxType, typename SclType>
inline void updateList(const IdxType& colPtr, IdxType& rowIdx, SclType& vals, const Index& col, const Index& jk, IndexType& firstElt, VectorList& listCol);
};
template<typename Scalar, int _UpLo, typename OrderingType>
template<typename _MatrixType>
void IncompleteCholesky<Scalar,_UpLo, OrderingType>::factorize(const _MatrixType& mat)
{
using std::sqrt;
using std::min;
eigen_assert(m_analysisIsOk && "analyzePattern() should be called first");
// Dropping strategies : Keep only the p largest elements per column, where p is the number of elements in the column of the original matrix. Other strategies will be added
// Apply the fill-reducing permutation computed in analyzePattern()
if (m_perm.rows() == mat.rows() ) // To detect the null permutation
m_L.template selfadjointView<Lower>() = mat.template selfadjointView<_UpLo>().twistedBy(m_perm);
else
m_L.template selfadjointView<Lower>() = mat.template selfadjointView<_UpLo>();
Index n = m_L.cols();
Index nnz = m_L.nonZeros();
Map<ScalarType> vals(m_L.valuePtr(), nnz); //values
Map<IndexType> rowIdx(m_L.innerIndexPtr(), nnz); //Row indices
Map<IndexType> colPtr( m_L.outerIndexPtr(), n+1); // Pointer to the beginning of each row
IndexType firstElt(n-1); // for each j, points to the next entry in vals that will be used in the factorization
VectorList listCol(n); // listCol(j) is a linked list of columns to update column j
ScalarType curCol(n); // Store a nonzero values in each column
IndexType irow(n); // Row indices of nonzero elements in each column
// Computes the scaling factors
m_scal.resize(n);
for (int j = 0; j < n; j++)
{
m_scal(j) = m_L.col(j).norm();
m_scal(j) = sqrt(m_scal(j));
}
// Scale and compute the shift for the matrix
Scalar mindiag = vals[0];
for (int j = 0; j < n; j++){
for (int k = colPtr[j]; k < colPtr[j+1]; k++)
vals[k] /= (m_scal(j) * m_scal(rowIdx[k]));
mindiag = (min)(vals[colPtr[j]], mindiag);
}
if(mindiag < Scalar(0.)) m_shift = m_shift - mindiag;
// Apply the shift to the diagonal elements of the matrix
for (int j = 0; j < n; j++)
vals[colPtr[j]] += m_shift;
// jki version of the Cholesky factorization
for (int j=0; j < n; ++j)
{
//Left-looking factorize the column j
// First, load the jth column into curCol
Scalar diag = vals[colPtr[j]]; // It is assumed that only the lower part is stored
curCol.setZero();
irow.setLinSpaced(n,0,n-1);
for (int i = colPtr[j] + 1; i < colPtr[j+1]; i++)
{
curCol(rowIdx[i]) = vals[i];
irow(rowIdx[i]) = rowIdx[i];
}
std::list<int>::iterator k;
// Browse all previous columns that will update column j
for(k = listCol[j].begin(); k != listCol[j].end(); k++)
{
int jk = firstElt(*k); // First element to use in the column
jk += 1;
for (int i = jk; i < colPtr[*k+1]; i++)
{
curCol(rowIdx[i]) -= vals[i] * vals[jk] ;
}
updateList(colPtr,rowIdx,vals, *k, jk, firstElt, listCol);
}
// Scale the current column
if(RealScalar(diag) <= 0)
{
std::cerr << "\nNegative diagonal during Incomplete factorization... "<< j << "\n";
m_info = NumericalIssue;
return;
}
RealScalar rdiag = sqrt(RealScalar(diag));
vals[colPtr[j]] = rdiag;
for (int i = j+1; i < n; i++)
{
//Scale
curCol(i) /= rdiag;
//Update the remaining diagonals with curCol
vals[colPtr[i]] -= curCol(i) * curCol(i);
}
// Select the largest p elements
// p is the original number of elements in the column (without the diagonal)
int p = colPtr[j+1] - colPtr[j] - 1 ;
internal::QuickSplit(curCol, irow, p);
// Insert the largest p elements in the matrix
int cpt = 0;
for (int i = colPtr[j]+1; i < colPtr[j+1]; i++)
{
vals[i] = curCol(cpt);
rowIdx[i] = irow(cpt);
cpt ++;
}
// Get the first smallest row index and put it after the diagonal element
Index jk = colPtr(j)+1;
updateList(colPtr,rowIdx,vals,j,jk,firstElt,listCol);
}
m_factorizationIsOk = true;
m_isInitialized = true;
m_info = Success;
}
template<typename Scalar, int _UpLo, typename OrderingType>
template <typename IdxType, typename SclType>
inline void IncompleteCholesky<Scalar,_UpLo, OrderingType>::updateList(const IdxType& colPtr, IdxType& rowIdx, SclType& vals, const Index& col, const Index& jk, IndexType& firstElt, VectorList& listCol)
{
if (jk < colPtr(col+1) )
{
Index p = colPtr(col+1) - jk;
Index minpos;
rowIdx.segment(jk,p).minCoeff(&minpos);
minpos += jk;
if (rowIdx(minpos) != rowIdx(jk))
{
//Swap
std::swap(rowIdx(jk),rowIdx(minpos));
std::swap(vals(jk),vals(minpos));
}
firstElt(col) = jk;
listCol[rowIdx(jk)].push_back(col);
}
}
namespace internal {
template<typename _Scalar, int _UpLo, typename OrderingType, typename Rhs>
struct solve_retval<IncompleteCholesky<_Scalar, _UpLo, OrderingType>, Rhs>
: solve_retval_base<IncompleteCholesky<_Scalar, _UpLo, OrderingType>, Rhs>
{
typedef IncompleteCholesky<_Scalar, _UpLo, OrderingType> Dec;
EIGEN_MAKE_SOLVE_HELPERS(Dec,Rhs)
template<typename Dest> void evalTo(Dest& dst) const
{
dec()._solve(rhs(),dst);
}
};
} // end namespace internal
} // end namespace Eigen
#endif