ruby-eigen 0.0.9 → 0.0.10.pre1

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

@@ -0,0 +1,592 @@
+/*
+ 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 Intel(R) MKL PARDISO
+ ********************************************************************************
+*/
+
+#ifndef EIGEN_PARDISOSUPPORT_H
+#define EIGEN_PARDISOSUPPORT_H
+
+namespace Eigen { 
+
+template<typename _MatrixType> class PardisoLU;
+template<typename _MatrixType, int Options=Upper> class PardisoLLT;
+template<typename _MatrixType, int Options=Upper> class PardisoLDLT;
+
+namespace internal
+{
+  template<typename Index>
+  struct pardiso_run_selector
+  {
+    static Index run( _MKL_DSS_HANDLE_t pt, Index maxfct, Index mnum, Index type, Index phase, Index n, void *a,
+                      Index *ia, Index *ja, Index *perm, Index nrhs, Index *iparm, Index msglvl, void *b, void *x)
+    {
+      Index error = 0;
+      ::pardiso(pt, &maxfct, &mnum, &type, &phase, &n, a, ia, ja, perm, &nrhs, iparm, &msglvl, b, x, &error);
+      return error;
+    }
+  };
+  template<>
+  struct pardiso_run_selector<long long int>
+  {
+    typedef long long int Index;
+    static Index run( _MKL_DSS_HANDLE_t pt, Index maxfct, Index mnum, Index type, Index phase, Index n, void *a,
+                      Index *ia, Index *ja, Index *perm, Index nrhs, Index *iparm, Index msglvl, void *b, void *x)
+    {
+      Index error = 0;
+      ::pardiso_64(pt, &maxfct, &mnum, &type, &phase, &n, a, ia, ja, perm, &nrhs, iparm, &msglvl, b, x, &error);
+      return error;
+    }
+  };
+
+  template<class Pardiso> struct pardiso_traits;
+
+  template<typename _MatrixType>
+  struct pardiso_traits< PardisoLU<_MatrixType> >
+  {
+    typedef _MatrixType MatrixType;
+    typedef typename _MatrixType::Scalar Scalar;
+    typedef typename _MatrixType::RealScalar RealScalar;
+    typedef typename _MatrixType::Index Index;
+  };
+
+  template<typename _MatrixType, int Options>
+  struct pardiso_traits< PardisoLLT<_MatrixType, Options> >
+  {
+    typedef _MatrixType MatrixType;
+    typedef typename _MatrixType::Scalar Scalar;
+    typedef typename _MatrixType::RealScalar RealScalar;
+    typedef typename _MatrixType::Index Index;
+  };
+
+  template<typename _MatrixType, int Options>
+  struct pardiso_traits< PardisoLDLT<_MatrixType, Options> >
+  {
+    typedef _MatrixType MatrixType;
+    typedef typename _MatrixType::Scalar Scalar;
+    typedef typename _MatrixType::RealScalar RealScalar;
+    typedef typename _MatrixType::Index Index;    
+  };
+
+}
+
+template<class Derived>
+class PardisoImpl
+{
+    typedef internal::pardiso_traits<Derived> Traits;
+  public:
+    typedef typename Traits::MatrixType MatrixType;
+    typedef typename Traits::Scalar Scalar;
+    typedef typename Traits::RealScalar RealScalar;
+    typedef typename Traits::Index Index;
+    typedef SparseMatrix<Scalar,RowMajor,Index> SparseMatrixType;
+    typedef Matrix<Scalar,Dynamic,1> VectorType;
+    typedef Matrix<Index, 1, MatrixType::ColsAtCompileTime> IntRowVectorType;
+    typedef Matrix<Index, MatrixType::RowsAtCompileTime, 1> IntColVectorType;
+    typedef Array<Index,64,1,DontAlign> ParameterType;
+    enum {
+      ScalarIsComplex = NumTraits<Scalar>::IsComplex
+    };
+
+    PardisoImpl()
+    {
+      eigen_assert((sizeof(Index) >= sizeof(_INTEGER_t) && sizeof(Index) <= 8) && "Non-supported index type");
+      m_iparm.setZero();
+      m_msglvl = 0; // No output
+      m_initialized = false;
+    }
+
+    ~PardisoImpl()
+    {
+      pardisoRelease();
+    }
+
+    inline Index cols() const { return m_size; }
+    inline Index rows() const { return m_size; }
+  
+    /** \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_initialized && "Decomposition is not initialized.");
+      return m_info;
+    }
+
+    /** \warning for advanced usage only.
+      * \returns a reference to the parameter array controlling PARDISO.
+      * See the PARDISO manual to know how to use it. */
+    ParameterType& pardisoParameterArray()
+    {
+      return m_iparm;
+    }
+    
+    /** 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()
+      */
+    Derived& analyzePattern(const MatrixType& matrix);
+    
+    /** Performs a numeric decomposition of \a matrix
+      *
+      * The given matrix must has the same sparcity than the matrix on which the symbolic decomposition has been performed.
+      *
+      * \sa analyzePattern()
+      */
+    Derived& factorize(const MatrixType& matrix);
+
+    Derived& compute(const MatrixType& matrix);
+    
+    /** \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<PardisoImpl, Rhs>
+    solve(const MatrixBase<Rhs>& b) const
+    {
+      eigen_assert(m_initialized && "Pardiso solver is not initialized.");
+      eigen_assert(rows()==b.rows()
+                && "PardisoImpl::solve(): invalid number of rows of the right hand side matrix b");
+      return internal::solve_retval<PardisoImpl, 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<PardisoImpl, Rhs>
+    solve(const SparseMatrixBase<Rhs>& b) const
+    {
+      eigen_assert(m_initialized && "Pardiso solver is not initialized.");
+      eigen_assert(rows()==b.rows()
+                && "PardisoImpl::solve(): invalid number of rows of the right hand side matrix b");
+      return internal::sparse_solve_retval<PardisoImpl, Rhs>(*this, b.derived());
+    }
+
+    Derived& derived()
+    {
+      return *static_cast<Derived*>(this);
+    }
+    const Derived& derived() const
+    {
+      return *static_cast<const Derived*>(this);
+    }
+
+    template<typename BDerived, typename XDerived>
+    bool _solve(const MatrixBase<BDerived> &b, MatrixBase<XDerived>& x) const;
+
+  protected:
+    void pardisoRelease()
+    {
+      if(m_initialized) // Factorization ran at least once
+      {
+        internal::pardiso_run_selector<Index>::run(m_pt, 1, 1, m_type, -1, m_size, 0, 0, 0, m_perm.data(), 0,
+                                                   m_iparm.data(), m_msglvl, 0, 0);
+      }
+    }
+
+    void pardisoInit(int type)
+    {
+      m_type = type;
+      bool symmetric = std::abs(m_type) < 10;
+      m_iparm[0] = 1;   // No solver default
+      m_iparm[1] = 3;   // use Metis for the ordering
+      m_iparm[2] = 1;   // Numbers of processors, value of OMP_NUM_THREADS
+      m_iparm[3] = 0;   // No iterative-direct algorithm
+      m_iparm[4] = 0;   // No user fill-in reducing permutation
+      m_iparm[5] = 0;   // Write solution into x
+      m_iparm[6] = 0;   // Not in use
+      m_iparm[7] = 2;   // Max numbers of iterative refinement steps
+      m_iparm[8] = 0;   // Not in use
+      m_iparm[9] = 13;  // Perturb the pivot elements with 1E-13
+      m_iparm[10] = symmetric ? 0 : 1; // Use nonsymmetric permutation and scaling MPS
+      m_iparm[11] = 0;  // Not in use
+      m_iparm[12] = symmetric ? 0 : 1;  // Maximum weighted matching algorithm is switched-off (default for symmetric).
+                                        // Try m_iparm[12] = 1 in case of inappropriate accuracy
+      m_iparm[13] = 0;  // Output: Number of perturbed pivots
+      m_iparm[14] = 0;  // Not in use
+      m_iparm[15] = 0;  // Not in use
+      m_iparm[16] = 0;  // Not in use
+      m_iparm[17] = -1; // Output: Number of nonzeros in the factor LU
+      m_iparm[18] = -1; // Output: Mflops for LU factorization
+      m_iparm[19] = 0;  // Output: Numbers of CG Iterations
+      
+      m_iparm[20] = 0;  // 1x1 pivoting
+      m_iparm[26] = 0;  // No matrix checker
+      m_iparm[27] = (sizeof(RealScalar) == 4) ? 1 : 0;
+      m_iparm[34] = 1;  // C indexing
+      m_iparm[59] = 1;  // Automatic switch between In-Core and Out-of-Core modes
+    }
+
+  protected:
+    // cached data to reduce reallocation, etc.
+    
+    void manageErrorCode(Index error)
+    {
+      switch(error)
+      {
+        case 0:
+          m_info = Success;
+          break;
+        case -4:
+        case -7:
+          m_info = NumericalIssue;
+          break;
+        default:
+          m_info = InvalidInput;
+      }
+    }
+
+    mutable SparseMatrixType m_matrix;
+    ComputationInfo m_info;
+    bool m_initialized, m_analysisIsOk, m_factorizationIsOk;
+    Index m_type, m_msglvl;
+    mutable void *m_pt[64];
+    mutable ParameterType m_iparm;
+    mutable IntColVectorType m_perm;
+    Index m_size;
+    
+  private:
+    PardisoImpl(PardisoImpl &) {}
+};
+
+template<class Derived>
+Derived& PardisoImpl<Derived>::compute(const MatrixType& a)
+{
+  m_size = a.rows();
+  eigen_assert(a.rows() == a.cols());
+
+  pardisoRelease();
+  memset(m_pt, 0, sizeof(m_pt));
+  m_perm.setZero(m_size);
+  derived().getMatrix(a);
+  
+  Index error;
+  error = internal::pardiso_run_selector<Index>::run(m_pt, 1, 1, m_type, 12, m_size,
+                                                     m_matrix.valuePtr(), m_matrix.outerIndexPtr(), m_matrix.innerIndexPtr(),
+                                                     m_perm.data(), 0, m_iparm.data(), m_msglvl, NULL, NULL);
+
+  manageErrorCode(error);
+  m_analysisIsOk = true;
+  m_factorizationIsOk = true;
+  m_initialized = true;
+  return derived();
+}
+
+template<class Derived>
+Derived& PardisoImpl<Derived>::analyzePattern(const MatrixType& a)
+{
+  m_size = a.rows();
+  eigen_assert(m_size == a.cols());
+
+  pardisoRelease();
+  memset(m_pt, 0, sizeof(m_pt));
+  m_perm.setZero(m_size);
+  derived().getMatrix(a);
+  
+  Index error;
+  error = internal::pardiso_run_selector<Index>::run(m_pt, 1, 1, m_type, 11, m_size,
+                                                     m_matrix.valuePtr(), m_matrix.outerIndexPtr(), m_matrix.innerIndexPtr(),
+                                                     m_perm.data(), 0, m_iparm.data(), m_msglvl, NULL, NULL);
+  
+  manageErrorCode(error);
+  m_analysisIsOk = true;
+  m_factorizationIsOk = false;
+  m_initialized = true;
+  return derived();
+}
+
+template<class Derived>
+Derived& PardisoImpl<Derived>::factorize(const MatrixType& a)
+{
+  eigen_assert(m_analysisIsOk && "You must first call analyzePattern()");
+  eigen_assert(m_size == a.rows() && m_size == a.cols());
+  
+  derived().getMatrix(a);
+
+  Index error;  
+  error = internal::pardiso_run_selector<Index>::run(m_pt, 1, 1, m_type, 22, m_size,
+                                                     m_matrix.valuePtr(), m_matrix.outerIndexPtr(), m_matrix.innerIndexPtr(),
+                                                     m_perm.data(), 0, m_iparm.data(), m_msglvl, NULL, NULL);
+  
+  manageErrorCode(error);
+  m_factorizationIsOk = true;
+  return derived();
+}
+
+template<class Base>
+template<typename BDerived,typename XDerived>
+bool PardisoImpl<Base>::_solve(const MatrixBase<BDerived> &b, MatrixBase<XDerived>& x) const
+{
+  if(m_iparm[0] == 0) // Factorization was not computed
+    return false;
+
+  //Index n = m_matrix.rows();
+  Index nrhs = Index(b.cols());
+  eigen_assert(m_size==b.rows());
+  eigen_assert(((MatrixBase<BDerived>::Flags & RowMajorBit) == 0 || nrhs == 1) && "Row-major right hand sides are not supported");
+  eigen_assert(((MatrixBase<XDerived>::Flags & RowMajorBit) == 0 || nrhs == 1) && "Row-major matrices of unknowns are not supported");
+  eigen_assert(((nrhs == 1) || b.outerStride() == b.rows()));
+
+
+//  switch (transposed) {
+//    case SvNoTrans    : m_iparm[11] = 0 ; break;
+//    case SvTranspose  : m_iparm[11] = 2 ; break;
+//    case SvAdjoint    : m_iparm[11] = 1 ; break;
+//    default:
+//      //std::cerr << "Eigen: transposition  option \"" << transposed << "\" not supported by the PARDISO backend\n";
+//      m_iparm[11] = 0;
+//  }
+
+  Scalar* rhs_ptr = const_cast<Scalar*>(b.derived().data());
+  Matrix<Scalar,Dynamic,Dynamic,ColMajor> tmp;
+  
+  // Pardiso cannot solve in-place
+  if(rhs_ptr == x.derived().data())
+  {
+    tmp = b;
+    rhs_ptr = tmp.data();
+  }
+  
+  Index error;
+  error = internal::pardiso_run_selector<Index>::run(m_pt, 1, 1, m_type, 33, m_size,
+                                                     m_matrix.valuePtr(), m_matrix.outerIndexPtr(), m_matrix.innerIndexPtr(),
+                                                     m_perm.data(), nrhs, m_iparm.data(), m_msglvl,
+                                                     rhs_ptr, x.derived().data());
+
+  return error==0;
+}
+
+
+/** \ingroup PardisoSupport_Module
+  * \class PardisoLU
+  * \brief A sparse direct LU factorization and solver based on the PARDISO library
+  *
+  * This class allows to solve for A.X = B sparse linear problems via a direct LU factorization
+  * using the Intel MKL PARDISO library. The sparse matrix A must be squared and invertible.
+  * The vectors or matrices X and B can be either dense or sparse.
+  *
+  * \tparam _MatrixType the type of the sparse matrix A, it must be a SparseMatrix<>
+  *
+  * \sa \ref TutorialSparseDirectSolvers
+  */
+template<typename MatrixType>
+class PardisoLU : public PardisoImpl< PardisoLU<MatrixType> >
+{
+  protected:
+    typedef PardisoImpl< PardisoLU<MatrixType> > Base;
+    typedef typename Base::Scalar Scalar;
+    typedef typename Base::RealScalar RealScalar;
+    using Base::pardisoInit;
+    using Base::m_matrix;
+    friend class PardisoImpl< PardisoLU<MatrixType> >;
+
+  public:
+
+    using Base::compute;
+    using Base::solve;
+
+    PardisoLU()
+      : Base()
+    {
+      pardisoInit(Base::ScalarIsComplex ? 13 : 11);
+    }
+
+    PardisoLU(const MatrixType& matrix)
+      : Base()
+    {
+      pardisoInit(Base::ScalarIsComplex ? 13 : 11);
+      compute(matrix);
+    }
+  protected:
+    void getMatrix(const MatrixType& matrix)
+    {
+      m_matrix = matrix;
+    }
+    
+  private:
+    PardisoLU(PardisoLU& ) {}
+};
+
+/** \ingroup PardisoSupport_Module
+  * \class PardisoLLT
+  * \brief A sparse direct Cholesky (LLT) factorization and solver based on the PARDISO library
+  *
+  * This class allows to solve for A.X = B sparse linear problems via a LL^T Cholesky factorization
+  * using the Intel MKL PARDISO library. The sparse matrix A must be selfajoint and positive definite.
+  * The vectors or matrices X and B can be either dense or sparse.
+  *
+  * \tparam MatrixType the type of the sparse matrix A, it must be a SparseMatrix<>
+  * \tparam UpLo can be any bitwise combination of Upper, Lower. The default is Upper, meaning only the upper triangular part has to be used.
+  *         Upper|Lower can be used to tell both triangular parts can be used as input.
+  *
+  * \sa \ref TutorialSparseDirectSolvers
+  */
+template<typename MatrixType, int _UpLo>
+class PardisoLLT : public PardisoImpl< PardisoLLT<MatrixType,_UpLo> >
+{
+  protected:
+    typedef PardisoImpl< PardisoLLT<MatrixType,_UpLo> > Base;
+    typedef typename Base::Scalar Scalar;
+    typedef typename Base::Index Index;
+    typedef typename Base::RealScalar RealScalar;
+    using Base::pardisoInit;
+    using Base::m_matrix;
+    friend class PardisoImpl< PardisoLLT<MatrixType,_UpLo> >;
+
+  public:
+
+    enum { UpLo = _UpLo };
+    using Base::compute;
+    using Base::solve;
+
+    PardisoLLT()
+      : Base()
+    {
+      pardisoInit(Base::ScalarIsComplex ? 4 : 2);
+    }
+
+    PardisoLLT(const MatrixType& matrix)
+      : Base()
+    {
+      pardisoInit(Base::ScalarIsComplex ? 4 : 2);
+      compute(matrix);
+    }
+    
+  protected:
+    
+    void getMatrix(const MatrixType& matrix)
+    {
+      // PARDISO supports only upper, row-major matrices
+      PermutationMatrix<Dynamic,Dynamic,Index> p_null;
+      m_matrix.resize(matrix.rows(), matrix.cols());
+      m_matrix.template selfadjointView<Upper>() = matrix.template selfadjointView<UpLo>().twistedBy(p_null);
+    }
+    
+  private:
+    PardisoLLT(PardisoLLT& ) {}
+};
+
+/** \ingroup PardisoSupport_Module
+  * \class PardisoLDLT
+  * \brief A sparse direct Cholesky (LDLT) factorization and solver based on the PARDISO library
+  *
+  * This class allows to solve for A.X = B sparse linear problems via a LDL^T Cholesky factorization
+  * using the Intel MKL PARDISO library. The sparse matrix A is assumed to be selfajoint and positive definite.
+  * For complex matrices, A can also be symmetric only, see the \a Options template parameter.
+  * The vectors or matrices X and B can be either dense or sparse.
+  *
+  * \tparam MatrixType the type of the sparse matrix A, it must be a SparseMatrix<>
+  * \tparam Options can be any bitwise combination of Upper, Lower, and Symmetric. The default is Upper, meaning only the upper triangular part has to be used.
+  *         Symmetric can be used for symmetric, non-selfadjoint complex matrices, the default being to assume a selfadjoint matrix.
+  *         Upper|Lower can be used to tell both triangular parts can be used as input.
+  *
+  * \sa \ref TutorialSparseDirectSolvers
+  */
+template<typename MatrixType, int Options>
+class PardisoLDLT : public PardisoImpl< PardisoLDLT<MatrixType,Options> >
+{
+  protected:
+    typedef PardisoImpl< PardisoLDLT<MatrixType,Options> > Base;
+    typedef typename Base::Scalar Scalar;
+    typedef typename Base::Index Index;
+    typedef typename Base::RealScalar RealScalar;
+    using Base::pardisoInit;
+    using Base::m_matrix;
+    friend class PardisoImpl< PardisoLDLT<MatrixType,Options> >;
+
+  public:
+
+    using Base::compute;
+    using Base::solve;
+    enum { UpLo = Options&(Upper|Lower) };
+
+    PardisoLDLT()
+      : Base()
+    {
+      pardisoInit(Base::ScalarIsComplex ? ( bool(Options&Symmetric) ? 6 : -4 ) : -2);
+    }
+
+    PardisoLDLT(const MatrixType& matrix)
+      : Base()
+    {
+      pardisoInit(Base::ScalarIsComplex ? ( bool(Options&Symmetric) ? 6 : -4 ) : -2);
+      compute(matrix);
+    }
+    
+    void getMatrix(const MatrixType& matrix)
+    {
+      // PARDISO supports only upper, row-major matrices
+      PermutationMatrix<Dynamic,Dynamic,Index> p_null;
+      m_matrix.resize(matrix.rows(), matrix.cols());
+      m_matrix.template selfadjointView<Upper>() = matrix.template selfadjointView<UpLo>().twistedBy(p_null);
+    }
+    
+  private:
+    PardisoLDLT(PardisoLDLT& ) {}
+};
+
+namespace internal {
+  
+template<typename _Derived, typename Rhs>
+struct solve_retval<PardisoImpl<_Derived>, Rhs>
+  : solve_retval_base<PardisoImpl<_Derived>, Rhs>
+{
+  typedef PardisoImpl<_Derived> Dec;
+  EIGEN_MAKE_SOLVE_HELPERS(Dec,Rhs)
+
+  template<typename Dest> void evalTo(Dest& dst) const
+  {
+    dec()._solve(rhs(),dst);
+  }
+};
+
+template<typename Derived, typename Rhs>
+struct sparse_solve_retval<PardisoImpl<Derived>, Rhs>
+  : sparse_solve_retval_base<PardisoImpl<Derived>, Rhs>
+{
+  typedef PardisoImpl<Derived> 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_PARDISOSUPPORT_H