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add Eigen as a dependency

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This commit is contained in:
Sven Czarnian
2021-12-16 15:59:56 +01:00
parent a08ac9b244
commit 27b422d806
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external/include/eigen3/Eigen/src/Cholesky/LDLT.h vendored Normal file
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// 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;
// PositiveSemiDef means positive semi-definite and non-zero; same for NegativeSemiDef
enum SignMatrix { PositiveSemiDef, NegativeSemiDef, ZeroSign, Indefinite };
}
/** \ingroup Cholesky_Module
*
* \class LDLT
*
* \brief Robust Cholesky decomposition of a matrix with pivoting
*
* \tparam _MatrixType the type of the matrix of which to compute the LDL^T Cholesky decomposition
* \tparam _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.
*
* This class supports the \link InplaceDecomposition inplace decomposition \endlink mechanism.
*
* \sa MatrixBase::ldlt(), SelfAdjointView::ldlt(), class LLT
*/
template<typename _MatrixType, int _UpLo> class LDLT
{
public:
typedef _MatrixType MatrixType;
enum {
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
ColsAtCompileTime = MatrixType::ColsAtCompileTime,
MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
UpLo = _UpLo
};
typedef typename MatrixType::Scalar Scalar;
typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3
typedef typename MatrixType::StorageIndex StorageIndex;
typedef Matrix<Scalar, RowsAtCompileTime, 1, 0, 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_sign(internal::ZeroSign),
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()
*/
explicit LDLT(Index size)
: m_matrix(size, size),
m_transpositions(size),
m_temporary(size),
m_sign(internal::ZeroSign),
m_isInitialized(false)
{}
/** \brief Constructor with decomposition
*
* This calculates the decomposition for the input \a matrix.
*
* \sa LDLT(Index size)
*/
template<typename InputType>
explicit LDLT(const EigenBase<InputType>& matrix)
: m_matrix(matrix.rows(), matrix.cols()),
m_transpositions(matrix.rows()),
m_temporary(matrix.rows()),
m_sign(internal::ZeroSign),
m_isInitialized(false)
{
compute(matrix.derived());
}
/** \brief Constructs a LDLT factorization from a given matrix
*
* This overloaded constructor is provided for \link InplaceDecomposition inplace decomposition \endlink when \c MatrixType is a Eigen::Ref.
*
* \sa LDLT(const EigenBase&)
*/
template<typename InputType>
explicit LDLT(EigenBase<InputType>& matrix)
: m_matrix(matrix.derived()),
m_transpositions(matrix.rows()),
m_temporary(matrix.rows()),
m_sign(internal::ZeroSign),
m_isInitialized(false)
{
compute(matrix.derived());
}
/** 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 == internal::PositiveSemiDef || m_sign == internal::ZeroSign;
}
/** \returns true if the matrix is negative (semidefinite) */
inline bool isNegative(void) const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_sign == internal::NegativeSemiDef || m_sign == internal::ZeroSign;
}
/** \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(), SelfAdjointView::ldlt()
*/
template<typename Rhs>
inline const Solve<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 Solve<LDLT, Rhs>(*this, b.derived());
}
template<typename Derived>
bool solveInPlace(MatrixBase<Derived> &bAndX) const;
template<typename InputType>
LDLT& compute(const EigenBase<InputType>& matrix);
/** \returns an estimate of the reciprocal condition number of the matrix of
* which \c *this is the LDLT decomposition.
*/
RealScalar rcond() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return internal::rcond_estimate_helper(m_l1_norm, *this);
}
template <typename Derived>
LDLT& rankUpdate(const MatrixBase<Derived>& w, const 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;
/** \returns the adjoint of \c *this, that is, a const reference to the decomposition itself as the underlying matrix is self-adjoint.
*
* This method is provided for compatibility with other matrix decompositions, thus enabling generic code such as:
* \code x = decomposition.adjoint().solve(b) \endcode
*/
const LDLT& adjoint() const { return *this; };
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 factorization failed because of a zero pivot.
*/
ComputationInfo info() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_info;
}
#ifndef EIGEN_PARSED_BY_DOXYGEN
template<typename RhsType, typename DstType>
EIGEN_DEVICE_FUNC
void _solve_impl(const RhsType &rhs, DstType &dst) const;
#endif
protected:
static void check_template_parameters()
{
EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar);
}
/** \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;
RealScalar m_l1_norm;
TranspositionType m_transpositions;
TmpMatrixType m_temporary;
internal::SignMatrix m_sign;
bool m_isInitialized;
ComputationInfo m_info;
};
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, SignMatrix& sign)
{
using std::abs;
typedef typename MatrixType::Scalar Scalar;
typedef typename MatrixType::RealScalar RealScalar;
typedef typename TranspositionType::StorageIndex IndexType;
eigen_assert(mat.rows()==mat.cols());
const Index size = mat.rows();
bool found_zero_pivot = false;
bool ret = true;
if (size <= 1)
{
transpositions.setIdentity();
if(size==0) sign = ZeroSign;
else if (numext::real(mat.coeff(0,0)) > static_cast<RealScalar>(0) ) sign = PositiveSemiDef;
else if (numext::real(mat.coeff(0,0)) < static_cast<RealScalar>(0)) sign = NegativeSemiDef;
else sign = ZeroSign;
return true;
}
for (Index k = 0; k < size; ++k)
{
// Find largest diagonal element
Index index_of_biggest_in_corner;
mat.diagonal().tail(size-k).cwiseAbs().maxCoeff(&index_of_biggest_in_corner);
index_of_biggest_in_corner += k;
transpositions.coeffRef(k) = IndexType(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(Index i=k+1;i<index_of_biggest_in_corner;++i)
{
Scalar tmp = mat.coeffRef(i,k);
mat.coeffRef(i,k) = numext::conj(mat.coeffRef(index_of_biggest_in_corner,i));
mat.coeffRef(index_of_biggest_in_corner,i) = numext::conj(tmp);
}
if(NumTraits<Scalar>::IsComplex)
mat.coeffRef(index_of_biggest_in_corner,k) = numext::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().real().head(k).asDiagonal() * A10.adjoint();
mat.coeffRef(k,k) -= (A10 * temp.head(k)).value();
if(rs>0)
A21.noalias() -= A20 * temp.head(k);
}
// In some previous versions of Eigen (e.g., 3.2.1), the scaling was omitted if the pivot
// was smaller than the cutoff value. However, since LDLT is not rank-revealing
// we should only make sure that we do not introduce INF or NaN values.
// Remark that LAPACK also uses 0 as the cutoff value.
RealScalar realAkk = numext::real(mat.coeffRef(k,k));
bool pivot_is_valid = (abs(realAkk) > RealScalar(0));
if(k==0 && !pivot_is_valid)
{
// The entire diagonal is zero, there is nothing more to do
// except filling the transpositions, and checking whether the matrix is zero.
sign = ZeroSign;
for(Index j = 0; j<size; ++j)
{
transpositions.coeffRef(j) = IndexType(j);
ret = ret && (mat.col(j).tail(size-j-1).array()==Scalar(0)).all();
}
return ret;
}
if((rs>0) && pivot_is_valid)
A21 /= realAkk;
else if(rs>0)
ret = ret && (A21.array()==Scalar(0)).all();
if(found_zero_pivot && pivot_is_valid) ret = false; // factorization failed
else if(!pivot_is_valid) found_zero_pivot = true;
if (sign == PositiveSemiDef) {
if (realAkk < static_cast<RealScalar>(0)) sign = Indefinite;
} else if (sign == NegativeSemiDef) {
if (realAkk > static_cast<RealScalar>(0)) sign = Indefinite;
} else if (sign == ZeroSign) {
if (realAkk > static_cast<RealScalar>(0)) sign = PositiveSemiDef;
else if (realAkk < static_cast<RealScalar>(0)) sign = NegativeSemiDef;
}
}
return ret;
}
// 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, const typename MatrixType::RealScalar& sigma=1)
{
using numext::isfinite;
typedef typename MatrixType::Scalar Scalar;
typedef typename MatrixType::RealScalar RealScalar;
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 = numext::real(mat.coeff(j,j));
Scalar wj = w.coeff(j);
RealScalar swj2 = sigma*numext::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*numext::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, const 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, SignMatrix& sign)
{
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, const 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 MatrixL(m); }
static inline MatrixU getU(const MatrixType& m) { return MatrixU(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 MatrixL(m.adjoint()); }
static inline MatrixU getU(const MatrixType& m) { return MatrixU(m); }
};
} // end namespace internal
/** Compute / recompute the LDLT decomposition A = L D L^* = U^* D U of \a matrix
*/
template<typename MatrixType, int _UpLo>
template<typename InputType>
LDLT<MatrixType,_UpLo>& LDLT<MatrixType,_UpLo>::compute(const EigenBase<InputType>& a)
{
check_template_parameters();
eigen_assert(a.rows()==a.cols());
const Index size = a.rows();
m_matrix = a.derived();
// Compute matrix L1 norm = max abs column sum.
m_l1_norm = RealScalar(0);
// TODO move this code to SelfAdjointView
for (Index col = 0; col < size; ++col) {
RealScalar abs_col_sum;
if (_UpLo == Lower)
abs_col_sum = m_matrix.col(col).tail(size - col).template lpNorm<1>() + m_matrix.row(col).head(col).template lpNorm<1>();
else
abs_col_sum = m_matrix.col(col).head(col).template lpNorm<1>() + m_matrix.row(col).tail(size - col).template lpNorm<1>();
if (abs_col_sum > m_l1_norm)
m_l1_norm = abs_col_sum;
}
m_transpositions.resize(size);
m_isInitialized = false;
m_temporary.resize(size);
m_sign = internal::ZeroSign;
m_info = internal::ldlt_inplace<UpLo>::unblocked(m_matrix, m_transpositions, m_temporary, m_sign) ? Success : NumericalIssue;
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, const typename LDLT<MatrixType,_UpLo>::RealScalar& sigma)
{
typedef typename TranspositionType::StorageIndex IndexType;
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) = IndexType(i);
m_temporary.resize(size);
m_sign = sigma>=0 ? internal::PositiveSemiDef : internal::NegativeSemiDef;
m_isInitialized = true;
}
internal::ldlt_inplace<UpLo>::update(m_matrix, m_transpositions, m_temporary, w, sigma);
return *this;
}
#ifndef EIGEN_PARSED_BY_DOXYGEN
template<typename _MatrixType, int _UpLo>
template<typename RhsType, typename DstType>
void LDLT<_MatrixType,_UpLo>::_solve_impl(const RhsType &rhs, DstType &dst) const
{
eigen_assert(rhs.rows() == rows());
// dst = P b
dst = m_transpositions * rhs;
// dst = L^-1 (P b)
matrixL().solveInPlace(dst);
// dst = D^-1 (L^-1 P b)
// more precisely, use pseudo-inverse of D (see bug 241)
using std::abs;
const typename Diagonal<const MatrixType>::RealReturnType vecD(vectorD());
// In some previous versions, tolerance was set to the max of 1/highest (or rather numeric_limits::min())
// and the maximal diagonal entry * epsilon as motivated by LAPACK's xGELSS:
// RealScalar tolerance = numext::maxi(vecD.array().abs().maxCoeff() * NumTraits<RealScalar>::epsilon(),RealScalar(1) / NumTraits<RealScalar>::highest());
// However, LDLT is not rank revealing, and so adjusting the tolerance wrt to the highest
// diagonal element is not well justified and leads to numerical issues in some cases.
// Moreover, Lapack's xSYTRS routines use 0 for the tolerance.
// Using numeric_limits::min() gives us more robustness to denormals.
RealScalar tolerance = (std::numeric_limits<RealScalar>::min)();
for (Index i = 0; i < vecD.size(); ++i)
{
if(abs(vecD(i)) > tolerance)
dst.row(i) /= vecD(i);
else
dst.row(i).setZero();
}
// dst = L^-T (D^-1 L^-1 P b)
matrixU().solveInPlace(dst);
// dst = P^-1 (L^-T D^-1 L^-1 P b) = A^-1 b
dst = m_transpositions.transpose() * dst;
}
#endif
/** \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.");
eigen_assert(m_matrix.rows() == 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().real().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
* \sa MatrixBase::ldlt()
*/
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
* \sa SelfAdjointView::ldlt()
*/
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

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external/include/eigen3/Eigen/src/Cholesky/LLT.h vendored Normal file
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// 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
*
* \tparam _MatrixType the type of the matrix of which we are computing the LL^T Cholesky decomposition
* \tparam _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
*
* \b Performance: for best performance, it is recommended to use a column-major storage format
* with the Lower triangular part (the default), or, equivalently, a row-major storage format
* with the Upper triangular part. Otherwise, you might get a 20% slowdown for the full factorization
* step, and rank-updates can be up to 3 times slower.
*
* This class supports the \link InplaceDecomposition inplace decomposition \endlink mechanism.
*
* Note that during the decomposition, only the lower (or upper, as defined by _UpLo) triangular part of A is considered.
* Therefore, the strict lower part does not have to store correct values.
*
* \sa MatrixBase::llt(), SelfAdjointView::llt(), class LDLT
*/
template<typename _MatrixType, int _UpLo> class LLT
{
public:
typedef _MatrixType MatrixType;
enum {
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
ColsAtCompileTime = MatrixType::ColsAtCompileTime,
MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
};
typedef typename MatrixType::Scalar Scalar;
typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3
typedef typename MatrixType::StorageIndex StorageIndex;
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()
*/
explicit LLT(Index size) : m_matrix(size, size),
m_isInitialized(false) {}
template<typename InputType>
explicit LLT(const EigenBase<InputType>& matrix)
: m_matrix(matrix.rows(), matrix.cols()),
m_isInitialized(false)
{
compute(matrix.derived());
}
/** \brief Constructs a LDLT factorization from a given matrix
*
* This overloaded constructor is provided for \link InplaceDecomposition inplace decomposition \endlink when
* \c MatrixType is a Eigen::Ref.
*
* \sa LLT(const EigenBase&)
*/
template<typename InputType>
explicit LLT(EigenBase<InputType>& matrix)
: m_matrix(matrix.derived()),
m_isInitialized(false)
{
compute(matrix.derived());
}
/** \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(), SelfAdjointView::llt()
*/
template<typename Rhs>
inline const Solve<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 Solve<LLT, Rhs>(*this, b.derived());
}
template<typename Derived>
void solveInPlace(const MatrixBase<Derived> &bAndX) const;
template<typename InputType>
LLT& compute(const EigenBase<InputType>& matrix);
/** \returns an estimate of the reciprocal condition number of the matrix of
* which \c *this is the Cholesky decomposition.
*/
RealScalar rcond() const
{
eigen_assert(m_isInitialized && "LLT is not initialized.");
eigen_assert(m_info == Success && "LLT failed because matrix appears to be negative");
return internal::rcond_estimate_helper(m_l1_norm, *this);
}
/** \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 not to be positive definite.
*/
ComputationInfo info() const
{
eigen_assert(m_isInitialized && "LLT is not initialized.");
return m_info;
}
/** \returns the adjoint of \c *this, that is, a const reference to the decomposition itself as the underlying matrix is self-adjoint.
*
* This method is provided for compatibility with other matrix decompositions, thus enabling generic code such as:
* \code x = decomposition.adjoint().solve(b) \endcode
*/
const LLT& adjoint() const { return *this; };
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);
#ifndef EIGEN_PARSED_BY_DOXYGEN
template<typename RhsType, typename DstType>
EIGEN_DEVICE_FUNC
void _solve_impl(const RhsType &rhs, DstType &dst) const;
#endif
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;
RealScalar m_l1_norm;
bool m_isInitialized;
ComputationInfo m_info;
};
namespace internal {
template<typename Scalar, int UpLo> struct llt_inplace;
template<typename MatrixType, typename VectorType>
static 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::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 Index unblocked(MatrixType& mat)
{
using std::sqrt;
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 Index blocked(MatrixType& m)
{
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,typename NumTraits<RealScalar>::Literal(-1)); // bottleneck
}
return -1;
}
template<typename MatrixType, typename VectorType>
static 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 Index unblocked(MatrixType& mat)
{
Transpose<MatrixType> matt(mat);
return llt_inplace<Scalar, Lower>::unblocked(matt);
}
template<typename MatrixType>
static EIGEN_STRONG_INLINE Index blocked(MatrixType& mat)
{
Transpose<MatrixType> matt(mat);
return llt_inplace<Scalar, Lower>::blocked(matt);
}
template<typename MatrixType, typename VectorType>
static 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 MatrixL(m); }
static inline MatrixU getU(const MatrixType& m) { return MatrixU(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 MatrixL(m.adjoint()); }
static inline MatrixU getU(const MatrixType& m) { return MatrixU(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>
template<typename InputType>
LLT<MatrixType,_UpLo>& LLT<MatrixType,_UpLo>::compute(const EigenBase<InputType>& a)
{
check_template_parameters();
eigen_assert(a.rows()==a.cols());
const Index size = a.rows();
m_matrix.resize(size, size);
if (!internal::is_same_dense(m_matrix, a.derived()))
m_matrix = a.derived();
// Compute matrix L1 norm = max abs column sum.
m_l1_norm = RealScalar(0);
// TODO move this code to SelfAdjointView
for (Index col = 0; col < size; ++col) {
RealScalar abs_col_sum;
if (_UpLo == Lower)
abs_col_sum = m_matrix.col(col).tail(size - col).template lpNorm<1>() + m_matrix.row(col).head(col).template lpNorm<1>();
else
abs_col_sum = m_matrix.col(col).head(col).template lpNorm<1>() + m_matrix.row(col).tail(size - col).template lpNorm<1>();
if (abs_col_sum > m_l1_norm)
m_l1_norm = abs_col_sum;
}
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;
}
#ifndef EIGEN_PARSED_BY_DOXYGEN
template<typename _MatrixType,int _UpLo>
template<typename RhsType, typename DstType>
void LLT<_MatrixType,_UpLo>::_solve_impl(const RhsType &rhs, DstType &dst) const
{
dst = rhs;
solveInPlace(dst);
}
#endif
/** \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.
*
* This version avoids a copy when the right hand side matrix b is not needed anymore.
*
* \warning The parameter is only marked 'const' to make the C++ compiler accept a temporary expression here.
* This function will const_cast it, so constness isn't honored here.
*
* \sa LLT::solve(), MatrixBase::llt()
*/
template<typename MatrixType, int _UpLo>
template<typename Derived>
void LLT<MatrixType,_UpLo>::solveInPlace(const 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
* \sa SelfAdjointView::llt()
*/
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
* \sa SelfAdjointView::llt()
*/
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

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external/include/eigen3/Eigen/src/Cholesky/LLT_LAPACKE.h vendored Normal file
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@@ -0,0 +1,99 @@
/*
Copyright (c) 2011, Intel Corporation. All rights reserved.
Redistribution and use in source and binary forms, with or without modification,
are permitted provided that the following conditions are met:
* Redistributions of source code must retain the above copyright notice, this
list of conditions and the following disclaimer.
* Redistributions in binary form must reproduce the above copyright notice,
this list of conditions and the following disclaimer in the documentation
and/or other materials provided with the distribution.
* Neither the name of Intel Corporation nor the names of its contributors may
be used to endorse or promote products derived from this software without
specific prior written permission.
THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
(INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON
ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
********************************************************************************
* Content : Eigen bindings to LAPACKe
* LLt decomposition based on LAPACKE_?potrf function.
********************************************************************************
*/
#ifndef EIGEN_LLT_LAPACKE_H
#define EIGEN_LLT_LAPACKE_H
namespace Eigen {
namespace internal {
template<typename Scalar> struct lapacke_llt;
#define EIGEN_LAPACKE_LLT(EIGTYPE, BLASTYPE, LAPACKE_PREFIX) \
template<> struct lapacke_llt<EIGTYPE> \
{ \
template<typename MatrixType> \
static inline Index potrf(MatrixType& m, char uplo) \
{ \
lapack_int matrix_order; \
lapack_int size, lda, info, StorageOrder; \
EIGTYPE* a; \
eigen_assert(m.rows()==m.cols()); \
/* Set up parameters for ?potrf */ \
size = convert_index<lapack_int>(m.rows()); \
StorageOrder = MatrixType::Flags&RowMajorBit?RowMajor:ColMajor; \
matrix_order = StorageOrder==RowMajor ? LAPACK_ROW_MAJOR : LAPACK_COL_MAJOR; \
a = &(m.coeffRef(0,0)); \
lda = convert_index<lapack_int>(m.outerStride()); \
\
info = LAPACKE_##LAPACKE_PREFIX##potrf( matrix_order, uplo, size, (BLASTYPE*)a, lda ); \
info = (info==0) ? -1 : info>0 ? info-1 : size; \
return info; \
} \
}; \
template<> struct llt_inplace<EIGTYPE, Lower> \
{ \
template<typename MatrixType> \
static Index blocked(MatrixType& m) \
{ \
return lapacke_llt<EIGTYPE>::potrf(m, 'L'); \
} \
template<typename MatrixType, typename VectorType> \
static Index rankUpdate(MatrixType& mat, const VectorType& vec, const typename MatrixType::RealScalar& sigma) \
{ return Eigen::internal::llt_rank_update_lower(mat, vec, sigma); } \
}; \
template<> struct llt_inplace<EIGTYPE, Upper> \
{ \
template<typename MatrixType> \
static Index blocked(MatrixType& m) \
{ \
return lapacke_llt<EIGTYPE>::potrf(m, 'U'); \
} \
template<typename MatrixType, typename VectorType> \
static Index rankUpdate(MatrixType& mat, const VectorType& vec, const typename MatrixType::RealScalar& sigma) \
{ \
Transpose<MatrixType> matt(mat); \
return llt_inplace<EIGTYPE, Lower>::rankUpdate(matt, vec.conjugate(), sigma); \
} \
};
EIGEN_LAPACKE_LLT(double, double, d)
EIGEN_LAPACKE_LLT(float, float, s)
EIGEN_LAPACKE_LLT(dcomplex, lapack_complex_double, z)
EIGEN_LAPACKE_LLT(scomplex, lapack_complex_float, c)
} // end namespace internal
} // end namespace Eigen
#endif // EIGEN_LLT_LAPACKE_H