ruby-eigen 0.0.9 → 0.0.10.pre1

data/ext/eigen/eigen3/Eigen/src/UmfPackSupport/UmfPackSupport.h

@@ -0,0 +1,474 @@
+// 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,&numext::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,&numext::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,&numext::real_ref(Ax[0]),0,&numext::real_ref(X[0]),0,&numext::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 = numext::real_ref(Lx[0]);
+  double& ux0_real = numext::real_ref(Ux[0]);
+  double& dx0_real = numext::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 = numext::real_ref(*Mx);
+  return umfpack_zi_get_determinant(&mx_real,0,Ex,NumericHandle,User_Info);
+}
+
+namespace internal {
+  template<typename T> struct umfpack_helper_is_sparse_plain : false_type {};
+  template<typename Scalar, int Options, typename StorageIndex>
+  struct umfpack_helper_is_sparse_plain<SparseMatrix<Scalar,Options,StorageIndex> >
+    : true_type {};
+  template<typename Scalar, int Options, typename StorageIndex>
+  struct umfpack_helper_is_sparse_plain<MappedSparseMatrix<Scalar,Options,StorageIndex> >
+    : true_type {};
+}
+
+/** \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().
+     */
+    template<typename InputMatrixType>
+    void compute(const InputMatrixType& matrix)
+    {
+      if(m_symbolic) umfpack_free_symbolic(&m_symbolic,Scalar());
+      if(m_numeric)  umfpack_free_numeric(&m_numeric,Scalar());
+      grapInput(matrix.derived());
+      analyzePattern_impl();
+      factorize_impl();
+    }
+
+    /** \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()
+      */
+    template<typename InputMatrixType>
+    void analyzePattern(const InputMatrixType& matrix)
+    {
+      if(m_symbolic) umfpack_free_symbolic(&m_symbolic,Scalar());
+      if(m_numeric)  umfpack_free_numeric(&m_numeric,Scalar());
+      
+      grapInput(matrix.derived());
+
+      analyzePattern_impl();
+    }
+
+    /** 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()
+      */
+    template<typename InputMatrixType>
+    void factorize(const InputMatrixType& matrix)
+    {
+      eigen_assert(m_analysisIsOk && "UmfPackLU: you must first call analyzePattern()");
+      if(m_numeric)
+        umfpack_free_numeric(&m_numeric,Scalar());
+
+      grapInput(matrix.derived());
+      
+      factorize_impl();
+    }
+
+    #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;
+      m_extractedDataAreDirty = true;
+    }
+    
+    template<typename InputMatrixType>
+    void grapInput_impl(const InputMatrixType& mat, internal::true_type)
+    {
+      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();
+      }
+    }
+    
+    template<typename InputMatrixType>
+    void grapInput_impl(const InputMatrixType& mat, internal::false_type)
+    {
+      m_copyMatrix = mat;
+      m_outerIndexPtr = m_copyMatrix.outerIndexPtr();
+      m_innerIndexPtr = m_copyMatrix.innerIndexPtr();
+      m_valuePtr      = m_copyMatrix.valuePtr();
+    }
+    
+    template<typename InputMatrixType>
+    void grapInput(const InputMatrixType& mat)
+    {
+      grapInput_impl(mat, internal::umfpack_helper_is_sparse_plain<InputMatrixType>());
+    }
+    
+    void analyzePattern_impl()
+    {
+      int errorCode = 0;
+      errorCode = umfpack_symbolic(m_copyMatrix.rows(), m_copyMatrix.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;
+      m_extractedDataAreDirty = true;
+    }
+    
+    void factorize_impl()
+    {
+      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;
+      m_extractedDataAreDirty = true;
+    }
+
+    // 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");
+  eigen_assert(b.derived().data() != x.derived().data() && " Umfpack does not support inplace solve");
+  
+  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
+  {
+    this->defaultEvalTo(dst);
+  }
+};
+
+} // end namespace internal
+
+} // end namespace Eigen
+
+#endif // EIGEN_UMFPACKSUPPORT_H