tomoto 0.1.0

data/vendor/eigen/Eigen/src/IterativeLinearSolvers/BasicPreconditioners.h

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+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2011-2014 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_BASIC_PRECONDITIONERS_H
+#define EIGEN_BASIC_PRECONDITIONERS_H
+
+namespace Eigen { 
+
+/** \ingroup IterativeLinearSolvers_Module
+  * \brief A preconditioner based on the digonal entries
+  *
+  * This class allows to approximately solve for A.x = b problems assuming A is a diagonal matrix.
+  * In other words, this preconditioner neglects all off diagonal entries and, in Eigen's language, solves for:
+    \code
+    A.diagonal().asDiagonal() . x = b
+    \endcode
+  *
+  * \tparam _Scalar the type of the scalar.
+  *
+  * \implsparsesolverconcept
+  *
+  * This preconditioner is suitable for both selfadjoint and general problems.
+  * The diagonal entries are pre-inverted and stored into a dense vector.
+  *
+  * \note A variant that has yet to be implemented would attempt to preserve the norm of each column.
+  *
+  * \sa class LeastSquareDiagonalPreconditioner, class ConjugateGradient
+  */
+template <typename _Scalar>
+class DiagonalPreconditioner
+{
+    typedef _Scalar Scalar;
+    typedef Matrix<Scalar,Dynamic,1> Vector;
+  public:
+    typedef typename Vector::StorageIndex StorageIndex;
+    enum {
+      ColsAtCompileTime = Dynamic,
+      MaxColsAtCompileTime = Dynamic
+    };
+
+    DiagonalPreconditioner() : m_isInitialized(false) {}
+
+    template<typename MatType>
+    explicit DiagonalPreconditioner(const MatType& mat) : m_invdiag(mat.cols())
+    {
+      compute(mat);
+    }
+
+    Index rows() const { return m_invdiag.size(); }
+    Index cols() const { return m_invdiag.size(); }
+    
+    template<typename MatType>
+    DiagonalPreconditioner& analyzePattern(const MatType& )
+    {
+      return *this;
+    }
+    
+    template<typename MatType>
+    DiagonalPreconditioner& factorize(const MatType& mat)
+    {
+      m_invdiag.resize(mat.cols());
+      for(int j=0; j<mat.outerSize(); ++j)
+      {
+        typename MatType::InnerIterator it(mat,j);
+        while(it && it.index()!=j) ++it;
+        if(it && it.index()==j && it.value()!=Scalar(0))
+          m_invdiag(j) = Scalar(1)/it.value();
+        else
+          m_invdiag(j) = Scalar(1);
+      }
+      m_isInitialized = true;
+      return *this;
+    }
+    
+    template<typename MatType>
+    DiagonalPreconditioner& compute(const MatType& mat)
+    {
+      return factorize(mat);
+    }
+
+    /** \internal */
+    template<typename Rhs, typename Dest>
+    void _solve_impl(const Rhs& b, Dest& x) const
+    {
+      x = m_invdiag.array() * b.array() ;
+    }
+
+    template<typename Rhs> inline const Solve<DiagonalPreconditioner, Rhs>
+    solve(const MatrixBase<Rhs>& b) const
+    {
+      eigen_assert(m_isInitialized && "DiagonalPreconditioner is not initialized.");
+      eigen_assert(m_invdiag.size()==b.rows()
+                && "DiagonalPreconditioner::solve(): invalid number of rows of the right hand side matrix b");
+      return Solve<DiagonalPreconditioner, Rhs>(*this, b.derived());
+    }
+    
+    ComputationInfo info() { return Success; }
+
+  protected:
+    Vector m_invdiag;
+    bool m_isInitialized;
+};
+
+/** \ingroup IterativeLinearSolvers_Module
+  * \brief Jacobi preconditioner for LeastSquaresConjugateGradient
+  *
+  * This class allows to approximately solve for A' A x  = A' b problems assuming A' A is a diagonal matrix.
+  * In other words, this preconditioner neglects all off diagonal entries and, in Eigen's language, solves for:
+    \code
+    (A.adjoint() * A).diagonal().asDiagonal() * x = b
+    \endcode
+  *
+  * \tparam _Scalar the type of the scalar.
+  *
+  * \implsparsesolverconcept
+  *
+  * The diagonal entries are pre-inverted and stored into a dense vector.
+  * 
+  * \sa class LeastSquaresConjugateGradient, class DiagonalPreconditioner
+  */
+template <typename _Scalar>
+class LeastSquareDiagonalPreconditioner : public DiagonalPreconditioner<_Scalar>
+{
+    typedef _Scalar Scalar;
+    typedef typename NumTraits<Scalar>::Real RealScalar;
+    typedef DiagonalPreconditioner<_Scalar> Base;
+    using Base::m_invdiag;
+  public:
+
+    LeastSquareDiagonalPreconditioner() : Base() {}
+
+    template<typename MatType>
+    explicit LeastSquareDiagonalPreconditioner(const MatType& mat) : Base()
+    {
+      compute(mat);
+    }
+
+    template<typename MatType>
+    LeastSquareDiagonalPreconditioner& analyzePattern(const MatType& )
+    {
+      return *this;
+    }
+    
+    template<typename MatType>
+    LeastSquareDiagonalPreconditioner& factorize(const MatType& mat)
+    {
+      // Compute the inverse squared-norm of each column of mat
+      m_invdiag.resize(mat.cols());
+      if(MatType::IsRowMajor)
+      {
+        m_invdiag.setZero();
+        for(Index j=0; j<mat.outerSize(); ++j)
+        {
+          for(typename MatType::InnerIterator it(mat,j); it; ++it)
+            m_invdiag(it.index()) += numext::abs2(it.value());
+        }
+        for(Index j=0; j<mat.cols(); ++j)
+          if(numext::real(m_invdiag(j))>RealScalar(0))
+            m_invdiag(j) = RealScalar(1)/numext::real(m_invdiag(j));
+      }
+      else
+      {
+        for(Index j=0; j<mat.outerSize(); ++j)
+        {
+          RealScalar sum = mat.col(j).squaredNorm();
+          if(sum>RealScalar(0))
+            m_invdiag(j) = RealScalar(1)/sum;
+          else
+            m_invdiag(j) = RealScalar(1);
+        }
+      }
+      Base::m_isInitialized = true;
+      return *this;
+    }
+    
+    template<typename MatType>
+    LeastSquareDiagonalPreconditioner& compute(const MatType& mat)
+    {
+      return factorize(mat);
+    }
+    
+    ComputationInfo info() { return Success; }
+
+  protected:
+};
+
+/** \ingroup IterativeLinearSolvers_Module
+  * \brief A naive preconditioner which approximates any matrix as the identity matrix
+  *
+  * \implsparsesolverconcept
+  *
+  * \sa class DiagonalPreconditioner
+  */
+class IdentityPreconditioner
+{
+  public:
+
+    IdentityPreconditioner() {}
+
+    template<typename MatrixType>
+    explicit IdentityPreconditioner(const MatrixType& ) {}
+    
+    template<typename MatrixType>
+    IdentityPreconditioner& analyzePattern(const MatrixType& ) { return *this; }
+    
+    template<typename MatrixType>
+    IdentityPreconditioner& factorize(const MatrixType& ) { return *this; }
+
+    template<typename MatrixType>
+    IdentityPreconditioner& compute(const MatrixType& ) { return *this; }
+    
+    template<typename Rhs>
+    inline const Rhs& solve(const Rhs& b) const { return b; }
+    
+    ComputationInfo info() { return Success; }
+};
+
+} // end namespace Eigen
+
+#endif // EIGEN_BASIC_PRECONDITIONERS_H

data/vendor/eigen/Eigen/src/IterativeLinearSolvers/BiCGSTAB.h

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+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2011-2014 Gael Guennebaud <gael.guennebaud@inria.fr>
+// Copyright (C) 2012 Désiré Nuentsa-Wakam <desire.nuentsa_wakam@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_BICGSTAB_H
+#define EIGEN_BICGSTAB_H
+
+namespace Eigen { 
+
+namespace internal {
+
+/** \internal Low-level bi conjugate gradient stabilized algorithm
+  * \param mat The matrix A
+  * \param rhs The right hand side vector b
+  * \param x On input and initial solution, on output the computed solution.
+  * \param precond A preconditioner being able to efficiently solve for an
+  *                approximation of Ax=b (regardless of b)
+  * \param iters On input the max number of iteration, on output the number of performed iterations.
+  * \param tol_error On input the tolerance error, on output an estimation of the relative error.
+  * \return false in the case of numerical issue, for example a break down of BiCGSTAB. 
+  */
+template<typename MatrixType, typename Rhs, typename Dest, typename Preconditioner>
+bool bicgstab(const MatrixType& mat, const Rhs& rhs, Dest& x,
+              const Preconditioner& precond, Index& iters,
+              typename Dest::RealScalar& tol_error)
+{
+  using std::sqrt;
+  using std::abs;
+  typedef typename Dest::RealScalar RealScalar;
+  typedef typename Dest::Scalar Scalar;
+  typedef Matrix<Scalar,Dynamic,1> VectorType;
+  RealScalar tol = tol_error;
+  Index maxIters = iters;
+
+  Index n = mat.cols();
+  VectorType r  = rhs - mat * x;
+  VectorType r0 = r;
+  
+  RealScalar r0_sqnorm = r0.squaredNorm();
+  RealScalar rhs_sqnorm = rhs.squaredNorm();
+  if(rhs_sqnorm == 0)
+  {
+    x.setZero();
+    return true;
+  }
+  Scalar rho    = 1;
+  Scalar alpha  = 1;
+  Scalar w      = 1;
+  
+  VectorType v = VectorType::Zero(n), p = VectorType::Zero(n);
+  VectorType y(n),  z(n);
+  VectorType kt(n), ks(n);
+
+  VectorType s(n), t(n);
+
+  RealScalar tol2 = tol*tol*rhs_sqnorm;
+  RealScalar eps2 = NumTraits<Scalar>::epsilon()*NumTraits<Scalar>::epsilon();
+  Index i = 0;
+  Index restarts = 0;
+
+  while ( r.squaredNorm() > tol2 && i<maxIters )
+  {
+    Scalar rho_old = rho;
+
+    rho = r0.dot(r);
+    if (abs(rho) < eps2*r0_sqnorm)
+    {
+      // The new residual vector became too orthogonal to the arbitrarily chosen direction r0
+      // Let's restart with a new r0:
+      r  = rhs - mat * x;
+      r0 = r;
+      rho = r0_sqnorm = r.squaredNorm();
+      if(restarts++ == 0)
+        i = 0;
+    }
+    Scalar beta = (rho/rho_old) * (alpha / w);
+    p = r + beta * (p - w * v);
+    
+    y = precond.solve(p);
+    
+    v.noalias() = mat * y;
+
+    alpha = rho / r0.dot(v);
+    s = r - alpha * v;
+
+    z = precond.solve(s);
+    t.noalias() = mat * z;
+
+    RealScalar tmp = t.squaredNorm();
+    if(tmp>RealScalar(0))
+      w = t.dot(s) / tmp;
+    else
+      w = Scalar(0);
+    x += alpha * y + w * z;
+    r = s - w * t;
+    ++i;
+  }
+  tol_error = sqrt(r.squaredNorm()/rhs_sqnorm);
+  iters = i;
+  return true; 
+}
+
+}
+
+template< typename _MatrixType,
+          typename _Preconditioner = DiagonalPreconditioner<typename _MatrixType::Scalar> >
+class BiCGSTAB;
+
+namespace internal {
+
+template< typename _MatrixType, typename _Preconditioner>
+struct traits<BiCGSTAB<_MatrixType,_Preconditioner> >
+{
+  typedef _MatrixType MatrixType;
+  typedef _Preconditioner Preconditioner;
+};
+
+}
+
+/** \ingroup IterativeLinearSolvers_Module
+  * \brief A bi conjugate gradient stabilized solver for sparse square problems
+  *
+  * This class allows to solve for A.x = b sparse linear problems using a bi conjugate gradient
+  * stabilized algorithm. The vectors x and b can be either dense or sparse.
+  *
+  * \tparam _MatrixType the type of the sparse matrix A, can be a dense or a sparse matrix.
+  * \tparam _Preconditioner the type of the preconditioner. Default is DiagonalPreconditioner
+  *
+  * \implsparsesolverconcept
+  *
+  * The maximal number of iterations and tolerance value can be controlled via the setMaxIterations()
+  * and setTolerance() methods. The defaults are the size of the problem for the maximal number of iterations
+  * and NumTraits<Scalar>::epsilon() for the tolerance.
+  * 
+  * The tolerance corresponds to the relative residual error: |Ax-b|/|b|
+  * 
+  * \b Performance: when using sparse matrices, best performance is achied for a row-major sparse matrix format.
+  * Moreover, in this case multi-threading can be exploited if the user code is compiled with OpenMP enabled.
+  * See \ref TopicMultiThreading for details.
+  * 
+  * This class can be used as the direct solver classes. Here is a typical usage example:
+  * \include BiCGSTAB_simple.cpp
+  * 
+  * By default the iterations start with x=0 as an initial guess of the solution.
+  * One can control the start using the solveWithGuess() method.
+  * 
+  * BiCGSTAB can also be used in a matrix-free context, see the following \link MatrixfreeSolverExample example \endlink.
+  *
+  * \sa class SimplicialCholesky, DiagonalPreconditioner, IdentityPreconditioner
+  */
+template< typename _MatrixType, typename _Preconditioner>
+class BiCGSTAB : public IterativeSolverBase<BiCGSTAB<_MatrixType,_Preconditioner> >
+{
+  typedef IterativeSolverBase<BiCGSTAB> Base;
+  using Base::matrix;
+  using Base::m_error;
+  using Base::m_iterations;
+  using Base::m_info;
+  using Base::m_isInitialized;
+public:
+  typedef _MatrixType MatrixType;
+  typedef typename MatrixType::Scalar Scalar;
+  typedef typename MatrixType::RealScalar RealScalar;
+  typedef _Preconditioner Preconditioner;
+
+public:
+
+  /** Default constructor. */
+  BiCGSTAB() : Base() {}
+
+  /** Initialize the solver with matrix \a A for further \c Ax=b solving.
+    * 
+    * This constructor is a shortcut for the default constructor followed
+    * by a call to compute().
+    * 
+    * \warning this class stores a reference to the matrix A as well as some
+    * precomputed values that depend on it. Therefore, if \a A is changed
+    * this class becomes invalid. Call compute() to update it with the new
+    * matrix A, or modify a copy of A.
+    */
+  template<typename MatrixDerived>
+  explicit BiCGSTAB(const EigenBase<MatrixDerived>& A) : Base(A.derived()) {}
+
+  ~BiCGSTAB() {}
+
+  /** \internal */
+  template<typename Rhs,typename Dest>
+  void _solve_with_guess_impl(const Rhs& b, Dest& x) const
+  {    
+    bool failed = false;
+    for(Index j=0; j<b.cols(); ++j)
+    {
+      m_iterations = Base::maxIterations();
+      m_error = Base::m_tolerance;
+      
+      typename Dest::ColXpr xj(x,j);
+      if(!internal::bicgstab(matrix(), b.col(j), xj, Base::m_preconditioner, m_iterations, m_error))
+        failed = true;
+    }
+    m_info = failed ? NumericalIssue
+           : m_error <= Base::m_tolerance ? Success
+           : NoConvergence;
+    m_isInitialized = true;
+  }
+
+  /** \internal */
+  using Base::_solve_impl;
+  template<typename Rhs,typename Dest>
+  void _solve_impl(const MatrixBase<Rhs>& b, Dest& x) const
+  {
+    x.resize(this->rows(),b.cols());
+    x.setZero();
+    _solve_with_guess_impl(b,x);
+  }
+
+protected:
+
+};
+
+} // end namespace Eigen
+
+#endif // EIGEN_BICGSTAB_H