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data/vendor/eigen/Eigen/src/Cholesky/LLT.h

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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