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data/vendor/Eigen/src/IterativeLinearSolvers/IncompleteLUT.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) 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_INCOMPLETE_LUT_H
+#define EIGEN_INCOMPLETE_LUT_H
+
+
+namespace Eigen {
+
+namespace internal {
+
+/** \internal
+  * Compute a quick-sort split of a vector
+  * On output, the vector row is permuted such that its elements satisfy
+  * abs(row(i)) >= abs(row(ncut)) if i<ncut
+  * abs(row(i)) <= abs(row(ncut)) if i>ncut
+  * \param row The vector of values
+  * \param ind The array of index for the elements in @p row
+  * \param ncut  The number of largest elements to keep
+  **/
+template <typename VectorV, typename VectorI>
+Index QuickSplit(VectorV &row, VectorI &ind, Index ncut)
+{
+  typedef typename VectorV::RealScalar RealScalar;
+  using std::swap;
+  using std::abs;
+  Index mid;
+  Index n = row.size(); /* length of the vector */
+  Index first, last ;
+
+  ncut--; /* to fit the zero-based indices */
+  first = 0;
+  last = n-1;
+  if (ncut < first || ncut > last ) return 0;
+
+  do {
+    mid = first;
+    RealScalar abskey = abs(row(mid));
+    for (Index j = first + 1; j <= last; j++) {
+      if ( abs(row(j)) > abskey) {
+        ++mid;
+        swap(row(mid), row(j));
+        swap(ind(mid), ind(j));
+      }
+    }
+    /* Interchange for the pivot element */
+    swap(row(mid), row(first));
+    swap(ind(mid), ind(first));
+
+    if (mid > ncut) last = mid - 1;
+    else if (mid < ncut ) first = mid + 1;
+  } while (mid != ncut );
+
+  return 0; /* mid is equal to ncut */
+}
+
+}// end namespace internal
+
+/** \ingroup IterativeLinearSolvers_Module
+  * \class IncompleteLUT
+  * \brief Incomplete LU factorization with dual-threshold strategy
+  *
+  * \implsparsesolverconcept
+  *
+  * During the numerical factorization, two dropping rules are used :
+  *  1) any element whose magnitude is less than some tolerance is dropped.
+  *    This tolerance is obtained by multiplying the input tolerance @p droptol
+  *    by the average magnitude of all the original elements in the current row.
+  *  2) After the elimination of the row, only the @p fill largest elements in
+  *    the L part and the @p fill largest elements in the U part are kept
+  *    (in addition to the diagonal element ). Note that @p fill is computed from
+  *    the input parameter @p fillfactor which is used the ratio to control the fill_in
+  *    relatively to the initial number of nonzero elements.
+  *
+  * The two extreme cases are when @p droptol=0 (to keep all the @p fill*2 largest elements)
+  * and when @p fill=n/2 with @p droptol being different to zero.
+  *
+  * References : Yousef Saad, ILUT: A dual threshold incomplete LU factorization,
+  *              Numerical Linear Algebra with Applications, 1(4), pp 387-402, 1994.
+  *
+  * NOTE : The following implementation is derived from the ILUT implementation
+  * in the SPARSKIT package, Copyright (C) 2005, the Regents of the University of Minnesota
+  *  released under the terms of the GNU LGPL:
+  *    http://www-users.cs.umn.edu/~saad/software/SPARSKIT/README
+  * However, Yousef Saad gave us permission to relicense his ILUT code to MPL2.
+  * See the Eigen mailing list archive, thread: ILUT, date: July 8, 2012:
+  *   http://listengine.tuxfamily.org/lists.tuxfamily.org/eigen/2012/07/msg00064.html
+  * alternatively, on GMANE:
+  *   http://comments.gmane.org/gmane.comp.lib.eigen/3302
+  */
+template <typename _Scalar, typename _StorageIndex = int>
+class IncompleteLUT : public SparseSolverBase<IncompleteLUT<_Scalar, _StorageIndex> >
+{
+  protected:
+    typedef SparseSolverBase<IncompleteLUT> Base;
+    using Base::m_isInitialized;
+  public:
+    typedef _Scalar Scalar;
+    typedef _StorageIndex StorageIndex;
+    typedef typename NumTraits<Scalar>::Real RealScalar;
+    typedef Matrix<Scalar,Dynamic,1> Vector;
+    typedef Matrix<StorageIndex,Dynamic,1> VectorI;
+    typedef SparseMatrix<Scalar,RowMajor,StorageIndex> FactorType;
+
+    enum {
+      ColsAtCompileTime = Dynamic,
+      MaxColsAtCompileTime = Dynamic
+    };
+
+  public:
+
+    IncompleteLUT()
+      : m_droptol(NumTraits<Scalar>::dummy_precision()), m_fillfactor(10),
+        m_analysisIsOk(false), m_factorizationIsOk(false)
+    {}
+
+    template<typename MatrixType>
+    explicit IncompleteLUT(const MatrixType& mat, const RealScalar& droptol=NumTraits<Scalar>::dummy_precision(), int fillfactor = 10)
+      : m_droptol(droptol),m_fillfactor(fillfactor),
+        m_analysisIsOk(false),m_factorizationIsOk(false)
+    {
+      eigen_assert(fillfactor != 0);
+      compute(mat);
+    }
+
+    EIGEN_CONSTEXPR Index rows() const EIGEN_NOEXCEPT { return m_lu.rows(); }
+
+    EIGEN_CONSTEXPR Index cols() const EIGEN_NOEXCEPT { return m_lu.cols(); }
+
+    /** \brief Reports whether previous computation was successful.
+      *
+      * \returns \c Success if computation was successful,
+      *          \c NumericalIssue if the matrix.appears to be negative.
+      */
+    ComputationInfo info() const
+    {
+      eigen_assert(m_isInitialized && "IncompleteLUT is not initialized.");
+      return m_info;
+    }
+
+    template<typename MatrixType>
+    void analyzePattern(const MatrixType& amat);
+
+    template<typename MatrixType>
+    void factorize(const MatrixType& amat);
+
+    /**
+      * Compute an incomplete LU factorization with dual threshold on the matrix mat
+      * No pivoting is done in this version
+      *
+      **/
+    template<typename MatrixType>
+    IncompleteLUT& compute(const MatrixType& amat)
+    {
+      analyzePattern(amat);
+      factorize(amat);
+      return *this;
+    }
+
+    void setDroptol(const RealScalar& droptol);
+    void setFillfactor(int fillfactor);
+
+    template<typename Rhs, typename Dest>
+    void _solve_impl(const Rhs& b, Dest& x) const
+    {
+      x = m_Pinv * b;
+      x = m_lu.template triangularView<UnitLower>().solve(x);
+      x = m_lu.template triangularView<Upper>().solve(x);
+      x = m_P * x;
+    }
+
+protected:
+
+    /** keeps off-diagonal entries; drops diagonal entries */
+    struct keep_diag {
+      inline bool operator() (const Index& row, const Index& col, const Scalar&) const
+      {
+        return row!=col;
+      }
+    };
+
+protected:
+
+    FactorType m_lu;
+    RealScalar m_droptol;
+    int m_fillfactor;
+    bool m_analysisIsOk;
+    bool m_factorizationIsOk;
+    ComputationInfo m_info;
+    PermutationMatrix<Dynamic,Dynamic,StorageIndex> m_P;     // Fill-reducing permutation
+    PermutationMatrix<Dynamic,Dynamic,StorageIndex> m_Pinv;  // Inverse permutation
+};
+
+/**
+ * Set control parameter droptol
+ *  \param droptol   Drop any element whose magnitude is less than this tolerance
+ **/
+template<typename Scalar, typename StorageIndex>
+void IncompleteLUT<Scalar,StorageIndex>::setDroptol(const RealScalar& droptol)
+{
+  this->m_droptol = droptol;
+}
+
+/**
+ * Set control parameter fillfactor
+ * \param fillfactor  This is used to compute the  number @p fill_in of largest elements to keep on each row.
+ **/
+template<typename Scalar, typename StorageIndex>
+void IncompleteLUT<Scalar,StorageIndex>::setFillfactor(int fillfactor)
+{
+  this->m_fillfactor = fillfactor;
+}
+
+template <typename Scalar, typename StorageIndex>
+template<typename _MatrixType>
+void IncompleteLUT<Scalar,StorageIndex>::analyzePattern(const _MatrixType& amat)
+{
+  // Compute the Fill-reducing permutation
+  // Since ILUT does not perform any numerical pivoting,
+  // it is highly preferable to keep the diagonal through symmetric permutations.
+  // To this end, let's symmetrize the pattern and perform AMD on it.
+  SparseMatrix<Scalar,ColMajor, StorageIndex> mat1 = amat;
+  SparseMatrix<Scalar,ColMajor, StorageIndex> mat2 = amat.transpose();
+  // FIXME for a matrix with nearly symmetric pattern, mat2+mat1 is the appropriate choice.
+  //       on the other hand for a really non-symmetric pattern, mat2*mat1 should be preferred...
+  SparseMatrix<Scalar,ColMajor, StorageIndex> AtA = mat2 + mat1;
+  AMDOrdering<StorageIndex> ordering;
+  ordering(AtA,m_P);
+  m_Pinv  = m_P.inverse(); // cache the inverse permutation
+  m_analysisIsOk = true;
+  m_factorizationIsOk = false;
+  m_isInitialized = true;
+}
+
+template <typename Scalar, typename StorageIndex>
+template<typename _MatrixType>
+void IncompleteLUT<Scalar,StorageIndex>::factorize(const _MatrixType& amat)
+{
+  using std::sqrt;
+  using std::swap;
+  using std::abs;
+  using internal::convert_index;
+
+  eigen_assert((amat.rows() == amat.cols()) && "The factorization should be done on a square matrix");
+  Index n = amat.cols();  // Size of the matrix
+  m_lu.resize(n,n);
+  // Declare Working vectors and variables
+  Vector u(n) ;     // real values of the row -- maximum size is n --
+  VectorI ju(n);   // column position of the values in u -- maximum size  is n
+  VectorI jr(n);   // Indicate the position of the nonzero elements in the vector u -- A zero location is indicated by -1
+
+  // Apply the fill-reducing permutation
+  eigen_assert(m_analysisIsOk && "You must first call analyzePattern()");
+  SparseMatrix<Scalar,RowMajor, StorageIndex> mat;
+  mat = amat.twistedBy(m_Pinv);
+
+  // Initialization
+  jr.fill(-1);
+  ju.fill(0);
+  u.fill(0);
+
+  // number of largest elements to keep in each row:
+  Index fill_in = (amat.nonZeros()*m_fillfactor)/n + 1;
+  if (fill_in > n) fill_in = n;
+
+  // number of largest nonzero elements to keep in the L and the U part of the current row:
+  Index nnzL = fill_in/2;
+  Index nnzU = nnzL;
+  m_lu.reserve(n * (nnzL + nnzU + 1));
+
+  // global loop over the rows of the sparse matrix
+  for (Index ii = 0; ii < n; ii++)
+  {
+    // 1 - copy the lower and the upper part of the row i of mat in the working vector u
+
+    Index sizeu = 1; // number of nonzero elements in the upper part of the current row
+    Index sizel = 0; // number of nonzero elements in the lower part of the current row
+    ju(ii)    = convert_index<StorageIndex>(ii);
+    u(ii)     = 0;
+    jr(ii)    = convert_index<StorageIndex>(ii);
+    RealScalar rownorm = 0;
+
+    typename FactorType::InnerIterator j_it(mat, ii); // Iterate through the current row ii
+    for (; j_it; ++j_it)
+    {
+      Index k = j_it.index();
+      if (k < ii)
+      {
+        // copy the lower part
+        ju(sizel) = convert_index<StorageIndex>(k);
+        u(sizel) = j_it.value();
+        jr(k) = convert_index<StorageIndex>(sizel);
+        ++sizel;
+      }
+      else if (k == ii)
+      {
+        u(ii) = j_it.value();
+      }
+      else
+      {
+        // copy the upper part
+        Index jpos = ii + sizeu;
+        ju(jpos) = convert_index<StorageIndex>(k);
+        u(jpos) = j_it.value();
+        jr(k) = convert_index<StorageIndex>(jpos);
+        ++sizeu;
+      }
+      rownorm += numext::abs2(j_it.value());
+    }
+
+    // 2 - detect possible zero row
+    if(rownorm==0)
+    {
+      m_info = NumericalIssue;
+      return;
+    }
+    // Take the 2-norm of the current row as a relative tolerance
+    rownorm = sqrt(rownorm);
+
+    // 3 - eliminate the previous nonzero rows
+    Index jj = 0;
+    Index len = 0;
+    while (jj < sizel)
+    {
+      // In order to eliminate in the correct order,
+      // we must select first the smallest column index among  ju(jj:sizel)
+      Index k;
+      Index minrow = ju.segment(jj,sizel-jj).minCoeff(&k); // k is relative to the segment
+      k += jj;
+      if (minrow != ju(jj))
+      {
+        // swap the two locations
+        Index j = ju(jj);
+        swap(ju(jj), ju(k));
+        jr(minrow) = convert_index<StorageIndex>(jj);
+        jr(j) = convert_index<StorageIndex>(k);
+        swap(u(jj), u(k));
+      }
+      // Reset this location
+      jr(minrow) = -1;
+
+      // Start elimination
+      typename FactorType::InnerIterator ki_it(m_lu, minrow);
+      while (ki_it && ki_it.index() < minrow) ++ki_it;
+      eigen_internal_assert(ki_it && ki_it.col()==minrow);
+      Scalar fact = u(jj) / ki_it.value();
+
+      // drop too small elements
+      if(abs(fact) <= m_droptol)
+      {
+        jj++;
+        continue;
+      }
+
+      // linear combination of the current row ii and the row minrow
+      ++ki_it;
+      for (; ki_it; ++ki_it)
+      {
+        Scalar prod = fact * ki_it.value();
+        Index j     = ki_it.index();
+        Index jpos  = jr(j);
+        if (jpos == -1) // fill-in element
+        {
+          Index newpos;
+          if (j >= ii) // dealing with the upper part
+          {
+            newpos = ii + sizeu;
+            sizeu++;
+            eigen_internal_assert(sizeu<=n);
+          }
+          else // dealing with the lower part
+          {
+            newpos = sizel;
+            sizel++;
+            eigen_internal_assert(sizel<=ii);
+          }
+          ju(newpos) = convert_index<StorageIndex>(j);
+          u(newpos) = -prod;
+          jr(j) = convert_index<StorageIndex>(newpos);
+        }
+        else
+          u(jpos) -= prod;
+      }
+      // store the pivot element
+      u(len)  = fact;
+      ju(len) = convert_index<StorageIndex>(minrow);
+      ++len;
+
+      jj++;
+    } // end of the elimination on the row ii
+
+    // reset the upper part of the pointer jr to zero
+    for(Index k = 0; k <sizeu; k++) jr(ju(ii+k)) = -1;
+
+    // 4 - partially sort and insert the elements in the m_lu matrix
+
+    // sort the L-part of the row
+    sizel = len;
+    len = (std::min)(sizel, nnzL);
+    typename Vector::SegmentReturnType ul(u.segment(0, sizel));
+    typename VectorI::SegmentReturnType jul(ju.segment(0, sizel));
+    internal::QuickSplit(ul, jul, len);
+
+    // store the largest m_fill elements of the L part
+    m_lu.startVec(ii);
+    for(Index k = 0; k < len; k++)
+      m_lu.insertBackByOuterInnerUnordered(ii,ju(k)) = u(k);
+
+    // store the diagonal element
+    // apply a shifting rule to avoid zero pivots (we are doing an incomplete factorization)
+    if (u(ii) == Scalar(0))
+      u(ii) = sqrt(m_droptol) * rownorm;
+    m_lu.insertBackByOuterInnerUnordered(ii, ii) = u(ii);
+
+    // sort the U-part of the row
+    // apply the dropping rule first
+    len = 0;
+    for(Index k = 1; k < sizeu; k++)
+    {
+      if(abs(u(ii+k)) > m_droptol * rownorm )
+      {
+        ++len;
+        u(ii + len)  = u(ii + k);
+        ju(ii + len) = ju(ii + k);
+      }
+    }
+    sizeu = len + 1; // +1 to take into account the diagonal element
+    len = (std::min)(sizeu, nnzU);
+    typename Vector::SegmentReturnType uu(u.segment(ii+1, sizeu-1));
+    typename VectorI::SegmentReturnType juu(ju.segment(ii+1, sizeu-1));
+    internal::QuickSplit(uu, juu, len);
+
+    // store the largest elements of the U part
+    for(Index k = ii + 1; k < ii + len; k++)
+      m_lu.insertBackByOuterInnerUnordered(ii,ju(k)) = u(k);
+  }
+  m_lu.finalize();
+  m_lu.makeCompressed();
+
+  m_factorizationIsOk = true;
+  m_info = Success;
+}
+
+} // end namespace Eigen
+
+#endif // EIGEN_INCOMPLETE_LUT_H