umappp 0.1.2

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

@@ -0,0 +1,444 @@
+// 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_ITERATIVE_SOLVER_BASE_H
+#define EIGEN_ITERATIVE_SOLVER_BASE_H
+
+namespace Eigen {
+
+namespace internal {
+
+template<typename MatrixType>
+struct is_ref_compatible_impl
+{
+private:
+  template <typename T0>
+  struct any_conversion
+  {
+    template <typename T> any_conversion(const volatile T&);
+    template <typename T> any_conversion(T&);
+  };
+  struct yes {int a[1];};
+  struct no  {int a[2];};
+
+  template<typename T>
+  static yes test(const Ref<const T>&, int);
+  template<typename T>
+  static no  test(any_conversion<T>, ...);
+
+public:
+  static MatrixType ms_from;
+  enum { value = sizeof(test<MatrixType>(ms_from, 0))==sizeof(yes) };
+};
+
+template<typename MatrixType>
+struct is_ref_compatible
+{
+  enum { value = is_ref_compatible_impl<typename remove_all<MatrixType>::type>::value };
+};
+
+template<typename MatrixType, bool MatrixFree = !internal::is_ref_compatible<MatrixType>::value>
+class generic_matrix_wrapper;
+
+// We have an explicit matrix at hand, compatible with Ref<>
+template<typename MatrixType>
+class generic_matrix_wrapper<MatrixType,false>
+{
+public:
+  typedef Ref<const MatrixType> ActualMatrixType;
+  template<int UpLo> struct ConstSelfAdjointViewReturnType {
+    typedef typename ActualMatrixType::template ConstSelfAdjointViewReturnType<UpLo>::Type Type;
+  };
+
+  enum {
+    MatrixFree = false
+  };
+
+  generic_matrix_wrapper()
+    : m_dummy(0,0), m_matrix(m_dummy)
+  {}
+
+  template<typename InputType>
+  generic_matrix_wrapper(const InputType &mat)
+    : m_matrix(mat)
+  {}
+
+  const ActualMatrixType& matrix() const
+  {
+    return m_matrix;
+  }
+
+  template<typename MatrixDerived>
+  void grab(const EigenBase<MatrixDerived> &mat)
+  {
+    m_matrix.~Ref<const MatrixType>();
+    ::new (&m_matrix) Ref<const MatrixType>(mat.derived());
+  }
+
+  void grab(const Ref<const MatrixType> &mat)
+  {
+    if(&(mat.derived()) != &m_matrix)
+    {
+      m_matrix.~Ref<const MatrixType>();
+      ::new (&m_matrix) Ref<const MatrixType>(mat);
+    }
+  }
+
+protected:
+  MatrixType m_dummy; // used to default initialize the Ref<> object
+  ActualMatrixType m_matrix;
+};
+
+// MatrixType is not compatible with Ref<> -> matrix-free wrapper
+template<typename MatrixType>
+class generic_matrix_wrapper<MatrixType,true>
+{
+public:
+  typedef MatrixType ActualMatrixType;
+  template<int UpLo> struct ConstSelfAdjointViewReturnType
+  {
+    typedef ActualMatrixType Type;
+  };
+
+  enum {
+    MatrixFree = true
+  };
+
+  generic_matrix_wrapper()
+    : mp_matrix(0)
+  {}
+
+  generic_matrix_wrapper(const MatrixType &mat)
+    : mp_matrix(&mat)
+  {}
+
+  const ActualMatrixType& matrix() const
+  {
+    return *mp_matrix;
+  }
+
+  void grab(const MatrixType &mat)
+  {
+    mp_matrix = &mat;
+  }
+
+protected:
+  const ActualMatrixType *mp_matrix;
+};
+
+}
+
+/** \ingroup IterativeLinearSolvers_Module
+  * \brief Base class for linear iterative solvers
+  *
+  * \sa class SimplicialCholesky, DiagonalPreconditioner, IdentityPreconditioner
+  */
+template< typename Derived>
+class IterativeSolverBase : public SparseSolverBase<Derived>
+{
+protected:
+  typedef SparseSolverBase<Derived> Base;
+  using Base::m_isInitialized;
+
+public:
+  typedef typename internal::traits<Derived>::MatrixType MatrixType;
+  typedef typename internal::traits<Derived>::Preconditioner Preconditioner;
+  typedef typename MatrixType::Scalar Scalar;
+  typedef typename MatrixType::StorageIndex StorageIndex;
+  typedef typename MatrixType::RealScalar RealScalar;
+
+  enum {
+    ColsAtCompileTime = MatrixType::ColsAtCompileTime,
+    MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
+  };
+
+public:
+
+  using Base::derived;
+
+  /** Default constructor. */
+  IterativeSolverBase()
+  {
+    init();
+  }
+
+  /** 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 IterativeSolverBase(const EigenBase<MatrixDerived>& A)
+    : m_matrixWrapper(A.derived())
+  {
+    init();
+    compute(matrix());
+  }
+
+  ~IterativeSolverBase() {}
+
+  /** Initializes the iterative solver for the sparsity pattern of the matrix \a A for further solving \c Ax=b problems.
+    *
+    * Currently, this function mostly calls analyzePattern on the preconditioner. In the future
+    * we might, for instance, implement column reordering for faster matrix vector products.
+    */
+  template<typename MatrixDerived>
+  Derived& analyzePattern(const EigenBase<MatrixDerived>& A)
+  {
+    grab(A.derived());
+    m_preconditioner.analyzePattern(matrix());
+    m_isInitialized = true;
+    m_analysisIsOk = true;
+    m_info = m_preconditioner.info();
+    return derived();
+  }
+
+  /** Initializes the iterative solver with the numerical values of the matrix \a A for further solving \c Ax=b problems.
+    *
+    * Currently, this function mostly calls factorize on the preconditioner.
+    *
+    * \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>
+  Derived& factorize(const EigenBase<MatrixDerived>& A)
+  {
+    eigen_assert(m_analysisIsOk && "You must first call analyzePattern()");
+    grab(A.derived());
+    m_preconditioner.factorize(matrix());
+    m_factorizationIsOk = true;
+    m_info = m_preconditioner.info();
+    return derived();
+  }
+
+  /** Initializes the iterative solver with the matrix \a A for further solving \c Ax=b problems.
+    *
+    * Currently, this function mostly initializes/computes the preconditioner. In the future
+    * we might, for instance, implement column reordering for faster matrix vector products.
+    *
+    * \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>
+  Derived& compute(const EigenBase<MatrixDerived>& A)
+  {
+    grab(A.derived());
+    m_preconditioner.compute(matrix());
+    m_isInitialized = true;
+    m_analysisIsOk = true;
+    m_factorizationIsOk = true;
+    m_info = m_preconditioner.info();
+    return derived();
+  }
+
+  /** \internal */
+  EIGEN_CONSTEXPR Index rows() const EIGEN_NOEXCEPT { return matrix().rows(); }
+
+  /** \internal */
+  EIGEN_CONSTEXPR Index cols() const EIGEN_NOEXCEPT { return matrix().cols(); }
+
+  /** \returns the tolerance threshold used by the stopping criteria.
+    * \sa setTolerance()
+    */
+  RealScalar tolerance() const { return m_tolerance; }
+
+  /** Sets the tolerance threshold used by the stopping criteria.
+    *
+    * This value is used as an upper bound to the relative residual error: |Ax-b|/|b|.
+    * The default value is the machine precision given by NumTraits<Scalar>::epsilon()
+    */
+  Derived& setTolerance(const RealScalar& tolerance)
+  {
+    m_tolerance = tolerance;
+    return derived();
+  }
+
+  /** \returns a read-write reference to the preconditioner for custom configuration. */
+  Preconditioner& preconditioner() { return m_preconditioner; }
+
+  /** \returns a read-only reference to the preconditioner. */
+  const Preconditioner& preconditioner() const { return m_preconditioner; }
+
+  /** \returns the max number of iterations.
+    * It is either the value set by setMaxIterations or, by default,
+    * twice the number of columns of the matrix.
+    */
+  Index maxIterations() const
+  {
+    return (m_maxIterations<0) ? 2*matrix().cols() : m_maxIterations;
+  }
+
+  /** Sets the max number of iterations.
+    * Default is twice the number of columns of the matrix.
+    */
+  Derived& setMaxIterations(Index maxIters)
+  {
+    m_maxIterations = maxIters;
+    return derived();
+  }
+
+  /** \returns the number of iterations performed during the last solve */
+  Index iterations() const
+  {
+    eigen_assert(m_isInitialized && "ConjugateGradient is not initialized.");
+    return m_iterations;
+  }
+
+  /** \returns the tolerance error reached during the last solve.
+    * It is a close approximation of the true relative residual error |Ax-b|/|b|.
+    */
+  RealScalar error() const
+  {
+    eigen_assert(m_isInitialized && "ConjugateGradient is not initialized.");
+    return m_error;
+  }
+
+  /** \returns the solution x of \f$ A x = b \f$ using the current decomposition of A
+    * and \a x0 as an initial solution.
+    *
+    * \sa solve(), compute()
+    */
+  template<typename Rhs,typename Guess>
+  inline const SolveWithGuess<Derived, Rhs, Guess>
+  solveWithGuess(const MatrixBase<Rhs>& b, const Guess& x0) const
+  {
+    eigen_assert(m_isInitialized && "Solver is not initialized.");
+    eigen_assert(derived().rows()==b.rows() && "solve(): invalid number of rows of the right hand side matrix b");
+    return SolveWithGuess<Derived, Rhs, Guess>(derived(), b.derived(), x0);
+  }
+
+  /** \returns Success if the iterations converged, and NoConvergence otherwise. */
+  ComputationInfo info() const
+  {
+    eigen_assert(m_isInitialized && "IterativeSolverBase is not initialized.");
+    return m_info;
+  }
+
+  /** \internal */
+  template<typename Rhs, typename DestDerived>
+  void _solve_with_guess_impl(const Rhs& b, SparseMatrixBase<DestDerived> &aDest) const
+  {
+    eigen_assert(rows()==b.rows());
+
+    Index rhsCols = b.cols();
+    Index size = b.rows();
+    DestDerived& dest(aDest.derived());
+    typedef typename DestDerived::Scalar DestScalar;
+    Eigen::Matrix<DestScalar,Dynamic,1> tb(size);
+    Eigen::Matrix<DestScalar,Dynamic,1> tx(cols());
+    // We do not directly fill dest because sparse expressions have to be free of aliasing issue.
+    // For non square least-square problems, b and dest might not have the same size whereas they might alias each-other.
+    typename DestDerived::PlainObject tmp(cols(),rhsCols);
+    ComputationInfo global_info = Success;
+    for(Index k=0; k<rhsCols; ++k)
+    {
+      tb = b.col(k);
+      tx = dest.col(k);
+      derived()._solve_vector_with_guess_impl(tb,tx);
+      tmp.col(k) = tx.sparseView(0);
+
+      // The call to _solve_vector_with_guess_impl updates m_info, so if it failed for a previous column
+      // we need to restore it to the worst value.
+      if(m_info==NumericalIssue)
+        global_info = NumericalIssue;
+      else if(m_info==NoConvergence)
+        global_info = NoConvergence;
+    }
+    m_info = global_info;
+    dest.swap(tmp);
+  }
+
+  template<typename Rhs, typename DestDerived>
+  typename internal::enable_if<Rhs::ColsAtCompileTime!=1 && DestDerived::ColsAtCompileTime!=1>::type
+  _solve_with_guess_impl(const Rhs& b, MatrixBase<DestDerived> &aDest) const
+  {
+    eigen_assert(rows()==b.rows());
+
+    Index rhsCols = b.cols();
+    DestDerived& dest(aDest.derived());
+    ComputationInfo global_info = Success;
+    for(Index k=0; k<rhsCols; ++k)
+    {
+      typename DestDerived::ColXpr xk(dest,k);
+      typename Rhs::ConstColXpr bk(b,k);
+      derived()._solve_vector_with_guess_impl(bk,xk);
+
+      // The call to _solve_vector_with_guess updates m_info, so if it failed for a previous column
+      // we need to restore it to the worst value.
+      if(m_info==NumericalIssue)
+        global_info = NumericalIssue;
+      else if(m_info==NoConvergence)
+        global_info = NoConvergence;
+    }
+    m_info = global_info;
+  }
+
+  template<typename Rhs, typename DestDerived>
+  typename internal::enable_if<Rhs::ColsAtCompileTime==1 || DestDerived::ColsAtCompileTime==1>::type
+  _solve_with_guess_impl(const Rhs& b, MatrixBase<DestDerived> &dest) const
+  {
+    derived()._solve_vector_with_guess_impl(b,dest.derived());
+  }
+
+  /** \internal default initial guess = 0 */
+  template<typename Rhs,typename Dest>
+  void _solve_impl(const Rhs& b, Dest& x) const
+  {
+    x.setZero();
+    derived()._solve_with_guess_impl(b,x);
+  }
+
+protected:
+  void init()
+  {
+    m_isInitialized = false;
+    m_analysisIsOk = false;
+    m_factorizationIsOk = false;
+    m_maxIterations = -1;
+    m_tolerance = NumTraits<Scalar>::epsilon();
+  }
+
+  typedef internal::generic_matrix_wrapper<MatrixType> MatrixWrapper;
+  typedef typename MatrixWrapper::ActualMatrixType ActualMatrixType;
+
+  const ActualMatrixType& matrix() const
+  {
+    return m_matrixWrapper.matrix();
+  }
+
+  template<typename InputType>
+  void grab(const InputType &A)
+  {
+    m_matrixWrapper.grab(A);
+  }
+
+  MatrixWrapper m_matrixWrapper;
+  Preconditioner m_preconditioner;
+
+  Index m_maxIterations;
+  RealScalar m_tolerance;
+
+  mutable RealScalar m_error;
+  mutable Index m_iterations;
+  mutable ComputationInfo m_info;
+  mutable bool m_analysisIsOk, m_factorizationIsOk;
+};
+
+} // end namespace Eigen
+
+#endif // EIGEN_ITERATIVE_SOLVER_BASE_H

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

@@ -0,0 +1,198 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// 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_LEAST_SQUARE_CONJUGATE_GRADIENT_H
+#define EIGEN_LEAST_SQUARE_CONJUGATE_GRADIENT_H
+
+namespace Eigen { 
+
+namespace internal {
+
+/** \internal Low-level conjugate gradient algorithm for least-square problems
+  * \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 A'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.
+  */
+template<typename MatrixType, typename Rhs, typename Dest, typename Preconditioner>
+EIGEN_DONT_INLINE
+void least_square_conjugate_gradient(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 m = mat.rows(), n = mat.cols();
+
+  VectorType residual        = rhs - mat * x;
+  VectorType normal_residual = mat.adjoint() * residual;
+
+  RealScalar rhsNorm2 = (mat.adjoint()*rhs).squaredNorm();
+  if(rhsNorm2 == 0) 
+  {
+    x.setZero();
+    iters = 0;
+    tol_error = 0;
+    return;
+  }
+  RealScalar threshold = tol*tol*rhsNorm2;
+  RealScalar residualNorm2 = normal_residual.squaredNorm();
+  if (residualNorm2 < threshold)
+  {
+    iters = 0;
+    tol_error = sqrt(residualNorm2 / rhsNorm2);
+    return;
+  }
+  
+  VectorType p(n);
+  p = precond.solve(normal_residual);                         // initial search direction
+
+  VectorType z(n), tmp(m);
+  RealScalar absNew = numext::real(normal_residual.dot(p));  // the square of the absolute value of r scaled by invM
+  Index i = 0;
+  while(i < maxIters)
+  {
+    tmp.noalias() = mat * p;
+
+    Scalar alpha = absNew / tmp.squaredNorm();      // the amount we travel on dir
+    x += alpha * p;                                 // update solution
+    residual -= alpha * tmp;                        // update residual
+    normal_residual = mat.adjoint() * residual;     // update residual of the normal equation
+    
+    residualNorm2 = normal_residual.squaredNorm();
+    if(residualNorm2 < threshold)
+      break;
+    
+    z = precond.solve(normal_residual);             // approximately solve for "A'A z = normal_residual"
+
+    RealScalar absOld = absNew;
+    absNew = numext::real(normal_residual.dot(z));  // update the absolute value of r
+    RealScalar beta = absNew / absOld;              // calculate the Gram-Schmidt value used to create the new search direction
+    p = z + beta * p;                               // update search direction
+    i++;
+  }
+  tol_error = sqrt(residualNorm2 / rhsNorm2);
+  iters = i;
+}
+
+}
+
+template< typename _MatrixType,
+          typename _Preconditioner = LeastSquareDiagonalPreconditioner<typename _MatrixType::Scalar> >
+class LeastSquaresConjugateGradient;
+
+namespace internal {
+
+template< typename _MatrixType, typename _Preconditioner>
+struct traits<LeastSquaresConjugateGradient<_MatrixType,_Preconditioner> >
+{
+  typedef _MatrixType MatrixType;
+  typedef _Preconditioner Preconditioner;
+};
+
+}
+
+/** \ingroup IterativeLinearSolvers_Module
+  * \brief A conjugate gradient solver for sparse (or dense) least-square problems
+  *
+  * This class allows to solve for A x = b linear problems using an iterative conjugate gradient algorithm.
+  * The matrix A can be non symmetric and rectangular, but the matrix A' A should be positive-definite to guaranty stability.
+  * Otherwise, the SparseLU or SparseQR classes might be preferable.
+  * The matrix A and the vectors x and b can be either dense or sparse.
+  *
+  * \tparam _MatrixType the type of the matrix A, can be a dense or a sparse matrix.
+  * \tparam _Preconditioner the type of the preconditioner. Default is LeastSquareDiagonalPreconditioner
+  *
+  * \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.
+  * 
+  * This class can be used as the direct solver classes. Here is a typical usage example:
+    \code
+    int m=1000000, n = 10000;
+    VectorXd x(n), b(m);
+    SparseMatrix<double> A(m,n);
+    // fill A and b
+    LeastSquaresConjugateGradient<SparseMatrix<double> > lscg;
+    lscg.compute(A);
+    x = lscg.solve(b);
+    std::cout << "#iterations:     " << lscg.iterations() << std::endl;
+    std::cout << "estimated error: " << lscg.error()      << std::endl;
+    // update b, and solve again
+    x = lscg.solve(b);
+    \endcode
+  * 
+  * By default the iterations start with x=0 as an initial guess of the solution.
+  * One can control the start using the solveWithGuess() method.
+  * 
+  * \sa class ConjugateGradient, SparseLU, SparseQR
+  */
+template< typename _MatrixType, typename _Preconditioner>
+class LeastSquaresConjugateGradient : public IterativeSolverBase<LeastSquaresConjugateGradient<_MatrixType,_Preconditioner> >
+{
+  typedef IterativeSolverBase<LeastSquaresConjugateGradient> 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. */
+  LeastSquaresConjugateGradient() : 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 LeastSquaresConjugateGradient(const EigenBase<MatrixDerived>& A) : Base(A.derived()) {}
+
+  ~LeastSquaresConjugateGradient() {}
+
+  /** \internal */
+  template<typename Rhs,typename Dest>
+  void _solve_vector_with_guess_impl(const Rhs& b, Dest& x) const
+  {
+    m_iterations = Base::maxIterations();
+    m_error = Base::m_tolerance;
+
+    internal::least_square_conjugate_gradient(matrix(), b, x, Base::m_preconditioner, m_iterations, m_error);
+    m_info = m_error <= Base::m_tolerance ? Success : NoConvergence;
+  }
+
+};
+
+} // end namespace Eigen
+
+#endif // EIGEN_LEAST_SQUARE_CONJUGATE_GRADIENT_H