umappp 0.1.2

data/vendor/Eigen/src/IterativeLinearSolvers/IncompleteCholesky.h

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+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2012 Désiré Nuentsa-Wakam <desire.nuentsa_wakam@inria.fr>
+// Copyright (C) 2015 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_INCOMPLETE_CHOlESKY_H
+#define EIGEN_INCOMPLETE_CHOlESKY_H
+
+#include <vector>
+#include <list>
+
+namespace Eigen {
+/**
+  * \brief Modified Incomplete Cholesky with dual threshold
+  *
+  * References : C-J. Lin and J. J. Moré, Incomplete Cholesky Factorizations with
+  *              Limited memory, SIAM J. Sci. Comput.  21(1), pp. 24-45, 1999
+  *
+  * \tparam Scalar the scalar type of the input matrices
+  * \tparam _UpLo The triangular part that will be used for the computations. It can be Lower
+    *               or Upper. Default is Lower.
+  * \tparam _OrderingType The ordering method to use, either AMDOrdering<> or NaturalOrdering<>. Default is AMDOrdering<int>,
+  *                       unless EIGEN_MPL2_ONLY is defined, in which case the default is NaturalOrdering<int>.
+  *
+  * \implsparsesolverconcept
+  *
+  * It performs the following incomplete factorization: \f$ S P A P' S \approx L L' \f$
+  * where L is a lower triangular factor, S is a diagonal scaling matrix, and P is a
+  * fill-in reducing permutation as computed by the ordering method.
+  *
+  * \b Shifting \b strategy: Let \f$ B = S P A P' S \f$  be the scaled matrix on which the factorization is carried out,
+  * and \f$ \beta \f$ be the minimum value of the diagonal. If \f$ \beta > 0 \f$ then, the factorization is directly performed
+  * on the matrix B. Otherwise, the factorization is performed on the shifted matrix \f$ B + (\sigma+|\beta| I \f$ where
+  * \f$ \sigma \f$ is the initial shift value as returned and set by setInitialShift() method. The default value is \f$ \sigma = 10^{-3} \f$.
+  * If the factorization fails, then the shift in doubled until it succeed or a maximum of ten attempts. If it still fails, as returned by
+  * the info() method, then you can either increase the initial shift, or better use another preconditioning technique.
+  *
+  */
+template <typename Scalar, int _UpLo = Lower, typename _OrderingType = AMDOrdering<int> >
+class IncompleteCholesky : public SparseSolverBase<IncompleteCholesky<Scalar,_UpLo,_OrderingType> >
+{
+  protected:
+    typedef SparseSolverBase<IncompleteCholesky<Scalar,_UpLo,_OrderingType> > Base;
+    using Base::m_isInitialized;
+  public:
+    typedef typename NumTraits<Scalar>::Real RealScalar;
+    typedef _OrderingType OrderingType;
+    typedef typename OrderingType::PermutationType PermutationType;
+    typedef typename PermutationType::StorageIndex StorageIndex;
+    typedef SparseMatrix<Scalar,ColMajor,StorageIndex> FactorType;
+    typedef Matrix<Scalar,Dynamic,1> VectorSx;
+    typedef Matrix<RealScalar,Dynamic,1> VectorRx;
+    typedef Matrix<StorageIndex,Dynamic, 1> VectorIx;
+    typedef std::vector<std::list<StorageIndex> > VectorList;
+    enum { UpLo = _UpLo };
+    enum {
+      ColsAtCompileTime = Dynamic,
+      MaxColsAtCompileTime = Dynamic
+    };
+  public:
+
+    /** Default constructor leaving the object in a partly non-initialized stage.
+      *
+      * You must call compute() or the pair analyzePattern()/factorize() to make it valid.
+      *
+      * \sa IncompleteCholesky(const MatrixType&)
+      */
+    IncompleteCholesky() : m_initialShift(1e-3),m_analysisIsOk(false),m_factorizationIsOk(false) {}
+
+    /** Constructor computing the incomplete factorization for the given matrix \a matrix.
+      */
+    template<typename MatrixType>
+    IncompleteCholesky(const MatrixType& matrix) : m_initialShift(1e-3),m_analysisIsOk(false),m_factorizationIsOk(false)
+    {
+      compute(matrix);
+    }
+
+    /** \returns number of rows of the factored matrix */
+    EIGEN_CONSTEXPR Index rows() const EIGEN_NOEXCEPT { return m_L.rows(); }
+
+    /** \returns number of columns of the factored matrix */
+    EIGEN_CONSTEXPR Index cols() const EIGEN_NOEXCEPT { return m_L.cols(); }
+
+
+    /** \brief Reports whether previous computation was successful.
+      *
+      * It triggers an assertion if \c *this has not been initialized through the respective constructor,
+      * or a call to compute() or analyzePattern().
+      *
+      * \returns \c Success if computation was successful,
+      *          \c NumericalIssue if the matrix appears to be negative.
+      */
+    ComputationInfo info() const
+    {
+      eigen_assert(m_isInitialized && "IncompleteCholesky is not initialized.");
+      return m_info;
+    }
+
+    /** \brief Set the initial shift parameter \f$ \sigma \f$.
+      */
+    void setInitialShift(RealScalar shift) { m_initialShift = shift; }
+
+    /** \brief Computes the fill reducing permutation vector using the sparsity pattern of \a mat
+      */
+    template<typename MatrixType>
+    void analyzePattern(const MatrixType& mat)
+    {
+      OrderingType ord;
+      PermutationType pinv;
+      ord(mat.template selfadjointView<UpLo>(), pinv);
+      if(pinv.size()>0) m_perm = pinv.inverse();
+      else              m_perm.resize(0);
+      m_L.resize(mat.rows(), mat.cols());
+      m_analysisIsOk = true;
+      m_isInitialized = true;
+      m_info = Success;
+    }
+
+    /** \brief Performs the numerical factorization of the input matrix \a mat
+      *
+      * The method analyzePattern() or compute() must have been called beforehand
+      * with a matrix having the same pattern.
+      *
+      * \sa compute(), analyzePattern()
+      */
+    template<typename MatrixType>
+    void factorize(const MatrixType& mat);
+
+    /** Computes or re-computes the incomplete Cholesky factorization of the input matrix \a mat
+      *
+      * It is a shortcut for a sequential call to the analyzePattern() and factorize() methods.
+      *
+      * \sa analyzePattern(), factorize()
+      */
+    template<typename MatrixType>
+    void compute(const MatrixType& mat)
+    {
+      analyzePattern(mat);
+      factorize(mat);
+    }
+
+    // internal
+    template<typename Rhs, typename Dest>
+    void _solve_impl(const Rhs& b, Dest& x) const
+    {
+      eigen_assert(m_factorizationIsOk && "factorize() should be called first");
+      if (m_perm.rows() == b.rows())  x = m_perm * b;
+      else                            x = b;
+      x = m_scale.asDiagonal() * x;
+      x = m_L.template triangularView<Lower>().solve(x);
+      x = m_L.adjoint().template triangularView<Upper>().solve(x);
+      x = m_scale.asDiagonal() * x;
+      if (m_perm.rows() == b.rows())
+        x = m_perm.inverse() * x;
+    }
+
+    /** \returns the sparse lower triangular factor L */
+    const FactorType& matrixL() const { eigen_assert("m_factorizationIsOk"); return m_L; }
+
+    /** \returns a vector representing the scaling factor S */
+    const VectorRx& scalingS() const { eigen_assert("m_factorizationIsOk"); return m_scale; }
+
+    /** \returns the fill-in reducing permutation P (can be empty for a natural ordering) */
+    const PermutationType& permutationP() const { eigen_assert("m_analysisIsOk"); return m_perm; }
+
+  protected:
+    FactorType m_L;              // The lower part stored in CSC
+    VectorRx m_scale;            // The vector for scaling the matrix
+    RealScalar m_initialShift;   // The initial shift parameter
+    bool m_analysisIsOk;
+    bool m_factorizationIsOk;
+    ComputationInfo m_info;
+    PermutationType m_perm;
+
+  private:
+    inline void updateList(Ref<const VectorIx> colPtr, Ref<VectorIx> rowIdx, Ref<VectorSx> vals, const Index& col, const Index& jk, VectorIx& firstElt, VectorList& listCol);
+};
+
+// Based on the following paper:
+//   C-J. Lin and J. J. Moré, Incomplete Cholesky Factorizations with
+//   Limited memory, SIAM J. Sci. Comput.  21(1), pp. 24-45, 1999
+//   http://ftp.mcs.anl.gov/pub/tech_reports/reports/P682.pdf
+template<typename Scalar, int _UpLo, typename OrderingType>
+template<typename _MatrixType>
+void IncompleteCholesky<Scalar,_UpLo, OrderingType>::factorize(const _MatrixType& mat)
+{
+  using std::sqrt;
+  eigen_assert(m_analysisIsOk && "analyzePattern() should be called first");
+
+  // Dropping strategy : Keep only the p largest elements per column, where p is the number of elements in the column of the original matrix. Other strategies will be added
+
+  // Apply the fill-reducing permutation computed in analyzePattern()
+  if (m_perm.rows() == mat.rows() ) // To detect the null permutation
+  {
+    // The temporary is needed to make sure that the diagonal entry is properly sorted
+    FactorType tmp(mat.rows(), mat.cols());
+    tmp = mat.template selfadjointView<_UpLo>().twistedBy(m_perm);
+    m_L.template selfadjointView<Lower>() = tmp.template selfadjointView<Lower>();
+  }
+  else
+  {
+    m_L.template selfadjointView<Lower>() = mat.template selfadjointView<_UpLo>();
+  }
+
+  Index n = m_L.cols();
+  Index nnz = m_L.nonZeros();
+  Map<VectorSx> vals(m_L.valuePtr(), nnz);         //values
+  Map<VectorIx> rowIdx(m_L.innerIndexPtr(), nnz);  //Row indices
+  Map<VectorIx> colPtr( m_L.outerIndexPtr(), n+1); // Pointer to the beginning of each row
+  VectorIx firstElt(n-1); // for each j, points to the next entry in vals that will be used in the factorization
+  VectorList listCol(n);  // listCol(j) is a linked list of columns to update column j
+  VectorSx col_vals(n);   // Store a  nonzero values in each column
+  VectorIx col_irow(n);   // Row indices of nonzero elements in each column
+  VectorIx col_pattern(n);
+  col_pattern.fill(-1);
+  StorageIndex col_nnz;
+
+
+  // Computes the scaling factors
+  m_scale.resize(n);
+  m_scale.setZero();
+  for (Index j = 0; j < n; j++)
+    for (Index k = colPtr[j]; k < colPtr[j+1]; k++)
+    {
+      m_scale(j) += numext::abs2(vals(k));
+      if(rowIdx[k]!=j)
+        m_scale(rowIdx[k]) += numext::abs2(vals(k));
+    }
+
+  m_scale = m_scale.cwiseSqrt().cwiseSqrt();
+
+  for (Index j = 0; j < n; ++j)
+    if(m_scale(j)>(std::numeric_limits<RealScalar>::min)())
+      m_scale(j) = RealScalar(1)/m_scale(j);
+    else
+      m_scale(j) = 1;
+
+  // TODO disable scaling if not needed, i.e., if it is roughly uniform? (this will make solve() faster)
+
+  // Scale and compute the shift for the matrix
+  RealScalar mindiag = NumTraits<RealScalar>::highest();
+  for (Index j = 0; j < n; j++)
+  {
+    for (Index k = colPtr[j]; k < colPtr[j+1]; k++)
+      vals[k] *= (m_scale(j)*m_scale(rowIdx[k]));
+    eigen_internal_assert(rowIdx[colPtr[j]]==j && "IncompleteCholesky: only the lower triangular part must be stored");
+    mindiag = numext::mini(numext::real(vals[colPtr[j]]), mindiag);
+  }
+
+  FactorType L_save = m_L;
+
+  RealScalar shift = 0;
+  if(mindiag <= RealScalar(0.))
+    shift = m_initialShift - mindiag;
+
+  m_info = NumericalIssue;
+
+  // Try to perform the incomplete factorization using the current shift
+  int iter = 0;
+  do
+  {
+    // Apply the shift to the diagonal elements of the matrix
+    for (Index j = 0; j < n; j++)
+      vals[colPtr[j]] += shift;
+
+    // jki version of the Cholesky factorization
+    Index j=0;
+    for (; j < n; ++j)
+    {
+      // Left-looking factorization of the j-th column
+      // First, load the j-th column into col_vals
+      Scalar diag = vals[colPtr[j]];  // It is assumed that only the lower part is stored
+      col_nnz = 0;
+      for (Index i = colPtr[j] + 1; i < colPtr[j+1]; i++)
+      {
+        StorageIndex l = rowIdx[i];
+        col_vals(col_nnz) = vals[i];
+        col_irow(col_nnz) = l;
+        col_pattern(l) = col_nnz;
+        col_nnz++;
+      }
+      {
+        typename std::list<StorageIndex>::iterator k;
+        // Browse all previous columns that will update column j
+        for(k = listCol[j].begin(); k != listCol[j].end(); k++)
+        {
+          Index jk = firstElt(*k); // First element to use in the column
+          eigen_internal_assert(rowIdx[jk]==j);
+          Scalar v_j_jk = numext::conj(vals[jk]);
+
+          jk += 1;
+          for (Index i = jk; i < colPtr[*k+1]; i++)
+          {
+            StorageIndex l = rowIdx[i];
+            if(col_pattern[l]<0)
+            {
+              col_vals(col_nnz) = vals[i] * v_j_jk;
+              col_irow[col_nnz] = l;
+              col_pattern(l) = col_nnz;
+              col_nnz++;
+            }
+            else
+              col_vals(col_pattern[l]) -= vals[i] * v_j_jk;
+          }
+          updateList(colPtr,rowIdx,vals, *k, jk, firstElt, listCol);
+        }
+      }
+
+      // Scale the current column
+      if(numext::real(diag) <= 0)
+      {
+        if(++iter>=10)
+          return;
+
+        // increase shift
+        shift = numext::maxi(m_initialShift,RealScalar(2)*shift);
+        // restore m_L, col_pattern, and listCol
+        vals = Map<const VectorSx>(L_save.valuePtr(), nnz);
+        rowIdx = Map<const VectorIx>(L_save.innerIndexPtr(), nnz);
+        colPtr = Map<const VectorIx>(L_save.outerIndexPtr(), n+1);
+        col_pattern.fill(-1);
+        for(Index i=0; i<n; ++i)
+          listCol[i].clear();
+
+        break;
+      }
+
+      RealScalar rdiag = sqrt(numext::real(diag));
+      vals[colPtr[j]] = rdiag;
+      for (Index k = 0; k<col_nnz; ++k)
+      {
+        Index i = col_irow[k];
+        //Scale
+        col_vals(k) /= rdiag;
+        //Update the remaining diagonals with col_vals
+        vals[colPtr[i]] -= numext::abs2(col_vals(k));
+      }
+      // Select the largest p elements
+      // p is the original number of elements in the column (without the diagonal)
+      Index p = colPtr[j+1] - colPtr[j] - 1 ;
+      Ref<VectorSx> cvals = col_vals.head(col_nnz);
+      Ref<VectorIx> cirow = col_irow.head(col_nnz);
+      internal::QuickSplit(cvals,cirow, p);
+      // Insert the largest p elements in the matrix
+      Index cpt = 0;
+      for (Index i = colPtr[j]+1; i < colPtr[j+1]; i++)
+      {
+        vals[i] = col_vals(cpt);
+        rowIdx[i] = col_irow(cpt);
+        // restore col_pattern:
+        col_pattern(col_irow(cpt)) = -1;
+        cpt++;
+      }
+      // Get the first smallest row index and put it after the diagonal element
+      Index jk = colPtr(j)+1;
+      updateList(colPtr,rowIdx,vals,j,jk,firstElt,listCol);
+    }
+
+    if(j==n)
+    {
+      m_factorizationIsOk = true;
+      m_info = Success;
+    }
+  } while(m_info!=Success);
+}
+
+template<typename Scalar, int _UpLo, typename OrderingType>
+inline void IncompleteCholesky<Scalar,_UpLo, OrderingType>::updateList(Ref<const VectorIx> colPtr, Ref<VectorIx> rowIdx, Ref<VectorSx> vals, const Index& col, const Index& jk, VectorIx& firstElt, VectorList& listCol)
+{
+  if (jk < colPtr(col+1) )
+  {
+    Index p = colPtr(col+1) - jk;
+    Index minpos;
+    rowIdx.segment(jk,p).minCoeff(&minpos);
+    minpos += jk;
+    if (rowIdx(minpos) != rowIdx(jk))
+    {
+      //Swap
+      std::swap(rowIdx(jk),rowIdx(minpos));
+      std::swap(vals(jk),vals(minpos));
+    }
+    firstElt(col) = internal::convert_index<StorageIndex,Index>(jk);
+    listCol[rowIdx(jk)].push_back(internal::convert_index<StorageIndex,Index>(col));
+  }
+}
+
+} // end namespace Eigen
+
+#endif