Mercurial > octave
view liboctave/numeric/sparse-chol.cc @ 33584:3fe954c2fd25 default tip @
maint: merge stable to default
author | Rik <rik@octave.org> |
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date | Mon, 13 May 2024 11:41:11 -0700 |
parents | ebc26cef3096 |
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//////////////////////////////////////////////////////////////////////// // // Copyright (C) 1998-2024 The Octave Project Developers // // See the file COPYRIGHT.md in the top-level directory of this // distribution or <https://octave.org/copyright/>. // // This file is part of Octave. // // Octave is free software: you can redistribute it and/or modify it // under the terms of the GNU General Public License as published by // the Free Software Foundation, either version 3 of the License, or // (at your option) any later version. // // Octave is distributed in the hope that it will be useful, but // WITHOUT ANY WARRANTY; without even the implied warranty of // MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the // GNU General Public License for more details. // // You should have received a copy of the GNU General Public License // along with Octave; see the file COPYING. If not, see // <https://www.gnu.org/licenses/>. // //////////////////////////////////////////////////////////////////////// #if defined (HAVE_CONFIG_H) # include "config.h" #endif #include <cstddef> #include "CSparse.h" #include "MatrixType.h" #include "dRowVector.h" #include "dSparse.h" #include "lo-error.h" #include "oct-cmplx.h" #include "oct-sparse.h" #include "oct-spparms.h" #include "quit.h" #include "sparse-chol.h" #include "sparse-util.h" OCTAVE_BEGIN_NAMESPACE(octave) OCTAVE_BEGIN_NAMESPACE(math) template <typename chol_type> class sparse_chol<chol_type>::sparse_chol_rep { public: sparse_chol_rep () : m_is_pd (false), m_minor_p (0), m_perm (), m_rcond (0) #if defined (HAVE_CHOLMOD) , m_L (nullptr), m_common () #endif { } sparse_chol_rep (const chol_type& a, bool natural, bool force) : m_is_pd (false), m_minor_p (0), m_perm (), m_rcond (0) #if defined (HAVE_CHOLMOD) , m_L (nullptr), m_common () #endif { init (a, natural, force); } sparse_chol_rep (const chol_type& a, octave_idx_type& info, bool natural, bool force) : m_is_pd (false), m_minor_p (0), m_perm (), m_rcond (0) #if defined (HAVE_CHOLMOD) , m_L (nullptr), m_common () #endif { info = init (a, natural, force); } OCTAVE_DISABLE_COPY_MOVE (sparse_chol_rep) ~sparse_chol_rep () { #if defined (HAVE_CHOLMOD) if (m_L) CHOLMOD_NAME (free_sparse) (&m_L, &m_common); CHOLMOD_NAME(finish) (&m_common); #endif } #if defined (HAVE_CHOLMOD) cholmod_sparse * L () const { return m_L; } cholmod_common *cc () const { cholmod_common *ret = const_cast<cholmod_common *> (&m_common); return ret; } #endif octave_idx_type P () const { #if defined (HAVE_CHOLMOD) return (m_minor_p == from_size_t (m_L->ncol) ? 0 : m_minor_p + 1); #else return 0; #endif } RowVector perm () const { return m_perm + 1; } SparseMatrix Q () const; bool is_positive_definite () const { return m_is_pd; } double rcond () const { return m_rcond; } private: bool m_is_pd; octave_idx_type m_minor_p; RowVector m_perm; double m_rcond; #if defined (HAVE_CHOLMOD) cholmod_sparse *m_L; cholmod_common m_common; void drop_zeros (const cholmod_sparse *S); #endif octave_idx_type init (const chol_type& a, bool natural, bool force); }; #if defined (HAVE_CHOLMOD) // Can't use CHOLMOD_NAME(drop)(0.0, S, cm) because it doesn't treat // complex matrices. template <typename chol_type> void sparse_chol<chol_type>::sparse_chol_rep::drop_zeros (const cholmod_sparse *S) { if (! S) return; octave_idx_type *Sp = static_cast<octave_idx_type *> (S->p); octave_idx_type *Si = static_cast<octave_idx_type *> (S->i); chol_elt *Sx = static_cast<chol_elt *> (S->x); octave_idx_type pdest = 0; octave_idx_type ncol = S->ncol; for (octave_idx_type k = 0; k < ncol; k++) { octave_idx_type p = Sp[k]; octave_idx_type pend = Sp[k+1]; Sp[k] = pdest; for (; p < pend; p++) { chol_elt sik = Sx[p]; if (CHOLMOD_IS_NONZERO (sik)) { if (p != pdest) { Si[pdest] = Si[p]; Sx[pdest] = sik; } pdest++; } } } Sp[ncol] = pdest; } // Must provide a specialization for this function. template <typename T> int get_xtype (); template <> inline int get_xtype<double> () { return CHOLMOD_REAL; } template <> inline int get_xtype<Complex> () { return CHOLMOD_COMPLEX; } #endif template <typename chol_type> octave_idx_type sparse_chol<chol_type>::sparse_chol_rep::init (const chol_type& a, bool natural, bool force) { octave_idx_type info = 0; #if defined (HAVE_CHOLMOD) octave_idx_type a_nr = a.rows (); octave_idx_type a_nc = a.cols (); if (a_nr != a_nc) (*current_liboctave_error_handler) ("sparse_chol requires square matrix"); cholmod_common *cm = &m_common; // Setup initial parameters CHOLMOD_NAME(start) (cm); cm->prefer_zomplex = false; double spu = sparse_params::get_key ("spumoni"); if (spu == 0.) { cm->print = -1; SUITESPARSE_ASSIGN_FPTR (printf_func, cm->print_function, nullptr); } else { cm->print = static_cast<int> (spu) + 2; SUITESPARSE_ASSIGN_FPTR (printf_func, cm->print_function, &SparseCholPrint); } cm->error_handler = &SparseCholError; SUITESPARSE_ASSIGN_FPTR2 (divcomplex_func, cm->complex_divide, divcomplex); SUITESPARSE_ASSIGN_FPTR2 (hypot_func, cm->hypotenuse, hypot); cm->final_asis = false; cm->final_super = false; cm->final_ll = true; cm->final_pack = true; cm->final_monotonic = true; cm->final_resymbol = false; cholmod_sparse A; cholmod_sparse *ac = &A; double dummy; ac->nrow = a_nr; ac->ncol = a_nc; ac->p = a.cidx (); ac->i = a.ridx (); ac->nzmax = a.nnz (); ac->packed = true; ac->sorted = true; ac->nz = nullptr; #if defined (OCTAVE_ENABLE_64) ac->itype = CHOLMOD_LONG; #else ac->itype = CHOLMOD_INT; #endif ac->dtype = CHOLMOD_DOUBLE; ac->stype = 1; ac->xtype = get_xtype<chol_elt> (); if (a_nr < 1) ac->x = &dummy; else ac->x = a.data (); // use natural ordering if no q output parameter if (natural) { cm->nmethods = 1; cm->method[0].ordering = CHOLMOD_NATURAL; cm->postorder = false; } cholmod_factor *Lfactor = CHOLMOD_NAME(analyze) (ac, cm); CHOLMOD_NAME(factorize) (ac, Lfactor, cm); m_is_pd = cm->status == CHOLMOD_OK; info = (m_is_pd ? 0 : cm->status); if (m_is_pd || force) { m_rcond = CHOLMOD_NAME(rcond) (Lfactor, cm); m_minor_p = Lfactor->minor; m_L = CHOLMOD_NAME(factor_to_sparse) (Lfactor, cm); if (m_minor_p > 0 && m_minor_p < a_nr) { std::size_t n1 = a_nr + 1; m_L->p = CHOLMOD_NAME(realloc) (m_minor_p+1, sizeof(octave_idx_type), m_L->p, &n1, cm); CHOLMOD_NAME(reallocate_sparse) (static_cast<octave_idx_type *> (m_L->p)[m_minor_p], m_L, cm); m_L->ncol = m_minor_p; } drop_zeros (m_L); if (! natural) { m_perm.resize (a_nr); for (octave_idx_type i = 0; i < a_nr; i++) m_perm(i) = static_cast<octave_idx_type *> (Lfactor->Perm)[i]; } } // NAME used to prefix statistics report from print_common static char blank_name[] = " "; CHOLMOD_NAME(print_common) (blank_name, cm); CHOLMOD_NAME(free_factor) (&Lfactor, cm); return info; #else octave_unused_parameter (a); octave_unused_parameter (natural); octave_unused_parameter (force); (*current_liboctave_error_handler) ("support for CHOLMOD was unavailable or disabled when liboctave was built"); return info; #endif } template <typename chol_type> SparseMatrix sparse_chol<chol_type>::sparse_chol_rep::Q () const { #if defined (HAVE_CHOLMOD) octave_idx_type n = m_L->nrow; SparseMatrix p (n, n, n); for (octave_idx_type i = 0; i < n; i++) { p.xcidx (i) = i; p.xridx (i) = static_cast<octave_idx_type> (m_perm (i)); p.xdata (i) = 1; } p.xcidx (n) = n; return p; #else return SparseMatrix (); #endif } template <typename chol_type> sparse_chol<chol_type>::sparse_chol () : m_rep (new typename sparse_chol<chol_type>::sparse_chol_rep ()) { } template <typename chol_type> sparse_chol<chol_type>::sparse_chol (const chol_type& a, bool natural, bool force) : m_rep (new typename sparse_chol<chol_type>::sparse_chol_rep (a, natural, force)) { } template <typename chol_type> sparse_chol<chol_type>::sparse_chol (const chol_type& a, octave_idx_type& info, bool natural, bool force) : m_rep (new typename sparse_chol<chol_type>::sparse_chol_rep (a, info, natural, force)) { } template <typename chol_type> sparse_chol<chol_type>::sparse_chol (const chol_type& a, octave_idx_type& info, bool natural) : m_rep (new typename sparse_chol<chol_type>::sparse_chol_rep (a, info, natural, false)) { } template <typename chol_type> sparse_chol<chol_type>::sparse_chol (const chol_type& a, octave_idx_type& info) : m_rep (new typename sparse_chol<chol_type>::sparse_chol_rep (a, info, false, false)) { } template <typename chol_type> chol_type sparse_chol<chol_type>::L () const { #if defined (HAVE_CHOLMOD) cholmod_sparse *m = m_rep->L (); octave_idx_type nc = m->ncol; octave_idx_type nnz = from_suitesparse_long (CHOLMOD_NAME(nnz) (m, m_rep->cc ())); chol_type ret (m->nrow, nc, nnz); for (octave_idx_type j = 0; j < nc+1; j++) ret.xcidx (j) = static_cast<octave_idx_type *> (m->p)[j]; for (octave_idx_type i = 0; i < nnz; i++) { ret.xridx (i) = static_cast<octave_idx_type *> (m->i)[i]; ret.xdata (i) = static_cast<chol_elt *> (m->x)[i]; } return ret; #else return chol_type (); #endif } template <typename chol_type> octave_idx_type sparse_chol<chol_type>::P () const { return m_rep->P (); } template <typename chol_type> RowVector sparse_chol<chol_type>::perm () const { return m_rep->perm (); } template <typename chol_type> SparseMatrix sparse_chol<chol_type>::Q () const { return m_rep->Q (); } template <typename chol_type> bool sparse_chol<chol_type>::is_positive_definite () const { return m_rep->is_positive_definite (); } template <typename chol_type> double sparse_chol<chol_type>::rcond () const { return m_rep->rcond (); } template <typename chol_type> chol_type sparse_chol<chol_type>::inverse () const { chol_type retval; #if defined (HAVE_CHOLMOD) cholmod_sparse *m = m_rep->L (); octave_idx_type n = m->ncol; RowVector m_perm = m_rep->perm (); double rcond2; octave_idx_type info; MatrixType mattype (MatrixType::Upper); chol_type linv = L ().hermitian ().inverse (mattype, info, rcond2, 1, 0); if (m_perm.numel () == n) { SparseMatrix Qc = Q (); retval = Qc * linv * linv.hermitian () * Qc.transpose (); } else retval = linv * linv.hermitian (); #endif return retval; } template <typename chol_type> chol_type chol2inv (const chol_type& r) { octave_idx_type r_nr = r.rows (); octave_idx_type r_nc = r.cols (); chol_type retval; if (r_nr != r_nc) (*current_liboctave_error_handler) ("U must be a square matrix"); MatrixType mattype (r); int typ = mattype.type (false); double rcond; octave_idx_type info; chol_type rtra, multip; if (typ == MatrixType::Upper) { rtra = r.transpose (); multip = (rtra*r); } else if (typ == MatrixType::Lower) { rtra = r.transpose (); multip = (r*rtra); } else (*current_liboctave_error_handler) ("U must be a triangular matrix"); MatrixType mattypenew (multip); retval = multip.inverse (mattypenew, info, rcond, true, false); return retval; } // SparseComplexMatrix specialization (the value for the NATURAL // parameter in the sparse_chol<T>::sparse_chol_rep constructor is // different from the default). template <> OCTAVE_API sparse_chol<SparseComplexMatrix>::sparse_chol (const SparseComplexMatrix& a, octave_idx_type& info) : m_rep (new sparse_chol<SparseComplexMatrix>::sparse_chol_rep (a, info, true, false)) { } // Instantiations we need. template class OCTAVE_API sparse_chol<SparseMatrix>; template class sparse_chol<SparseComplexMatrix>; template OCTAVE_API SparseMatrix chol2inv<SparseMatrix> (const SparseMatrix& r); template OCTAVE_API SparseComplexMatrix chol2inv<SparseComplexMatrix> (const SparseComplexMatrix& r); OCTAVE_END_NAMESPACE(math) OCTAVE_END_NAMESPACE(octave)