umappp 0.1.2

data/vendor/Eigen/src/SPQRSupport/SuiteSparseQRSupport.h

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+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2012 Desire Nuentsa <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_SUITESPARSEQRSUPPORT_H
+#define EIGEN_SUITESPARSEQRSUPPORT_H
+
+namespace Eigen {
+  
+  template<typename MatrixType> class SPQR; 
+  template<typename SPQRType> struct SPQRMatrixQReturnType; 
+  template<typename SPQRType> struct SPQRMatrixQTransposeReturnType; 
+  template <typename SPQRType, typename Derived> struct SPQR_QProduct;
+  namespace internal {
+    template <typename SPQRType> struct traits<SPQRMatrixQReturnType<SPQRType> >
+    {
+      typedef typename SPQRType::MatrixType ReturnType;
+    };
+    template <typename SPQRType> struct traits<SPQRMatrixQTransposeReturnType<SPQRType> >
+    {
+      typedef typename SPQRType::MatrixType ReturnType;
+    };
+    template <typename SPQRType, typename Derived> struct traits<SPQR_QProduct<SPQRType, Derived> >
+    {
+      typedef typename Derived::PlainObject ReturnType;
+    };
+  } // End namespace internal
+  
+/**
+  * \ingroup SPQRSupport_Module
+  * \class SPQR
+  * \brief Sparse QR factorization based on SuiteSparseQR library
+  *
+  * This class is used to perform a multithreaded and multifrontal rank-revealing QR decomposition
+  * of sparse matrices. The result is then used to solve linear leasts_square systems.
+  * Clearly, a QR factorization is returned such that A*P = Q*R where :
+  *
+  * P is the column permutation. Use colsPermutation() to get it.
+  *
+  * Q is the orthogonal matrix represented as Householder reflectors.
+  * Use matrixQ() to get an expression and matrixQ().transpose() to get the transpose.
+  * You can then apply it to a vector.
+  *
+  * R is the sparse triangular factor. Use matrixQR() to get it as SparseMatrix.
+  * NOTE : The Index type of R is always SuiteSparse_long. You can get it with SPQR::Index
+  *
+  * \tparam _MatrixType The type of the sparse matrix A, must be a column-major SparseMatrix<>
+  *
+  * \implsparsesolverconcept
+  *
+  *
+  */
+template<typename _MatrixType>
+class SPQR : public SparseSolverBase<SPQR<_MatrixType> >
+{
+  protected:
+    typedef SparseSolverBase<SPQR<_MatrixType> > Base;
+    using Base::m_isInitialized;
+  public:
+    typedef typename _MatrixType::Scalar Scalar;
+    typedef typename _MatrixType::RealScalar RealScalar;
+    typedef SuiteSparse_long StorageIndex ;
+    typedef SparseMatrix<Scalar, ColMajor, StorageIndex> MatrixType;
+    typedef Map<PermutationMatrix<Dynamic, Dynamic, StorageIndex> > PermutationType;
+    enum {
+      ColsAtCompileTime = Dynamic,
+      MaxColsAtCompileTime = Dynamic
+    };
+  public:
+    SPQR() 
+      : m_analysisIsOk(false),
+        m_factorizationIsOk(false),
+        m_isRUpToDate(false),
+        m_ordering(SPQR_ORDERING_DEFAULT),
+        m_allow_tol(SPQR_DEFAULT_TOL),
+        m_tolerance (NumTraits<Scalar>::epsilon()),
+        m_cR(0),
+        m_E(0),
+        m_H(0),
+        m_HPinv(0),
+        m_HTau(0),
+        m_useDefaultThreshold(true)
+    { 
+      cholmod_l_start(&m_cc);
+    }
+    
+    explicit SPQR(const _MatrixType& matrix)
+      : m_analysisIsOk(false),
+        m_factorizationIsOk(false),
+        m_isRUpToDate(false),
+        m_ordering(SPQR_ORDERING_DEFAULT),
+        m_allow_tol(SPQR_DEFAULT_TOL),
+        m_tolerance (NumTraits<Scalar>::epsilon()),
+        m_cR(0),
+        m_E(0),
+        m_H(0),
+        m_HPinv(0),
+        m_HTau(0),
+        m_useDefaultThreshold(true)
+    {
+      cholmod_l_start(&m_cc);
+      compute(matrix);
+    }
+    
+    ~SPQR()
+    {
+      SPQR_free();
+      cholmod_l_finish(&m_cc);
+    }
+    void SPQR_free()
+    {
+      cholmod_l_free_sparse(&m_H, &m_cc);
+      cholmod_l_free_sparse(&m_cR, &m_cc);
+      cholmod_l_free_dense(&m_HTau, &m_cc);
+      std::free(m_E);
+      std::free(m_HPinv);
+    }
+
+    void compute(const _MatrixType& matrix)
+    {
+      if(m_isInitialized) SPQR_free();
+
+      MatrixType mat(matrix);
+      
+      /* Compute the default threshold as in MatLab, see:
+       * Tim Davis, "Algorithm 915, SuiteSparseQR: Multifrontal Multithreaded Rank-Revealing
+       * Sparse QR Factorization, ACM Trans. on Math. Soft. 38(1), 2011, Page 8:3 
+       */
+      RealScalar pivotThreshold = m_tolerance;
+      if(m_useDefaultThreshold) 
+      {
+        RealScalar max2Norm = 0.0;
+        for (int j = 0; j < mat.cols(); j++) max2Norm = numext::maxi(max2Norm, mat.col(j).norm());
+        if(max2Norm==RealScalar(0))
+          max2Norm = RealScalar(1);
+        pivotThreshold = 20 * (mat.rows() + mat.cols()) * max2Norm * NumTraits<RealScalar>::epsilon();
+      }
+      cholmod_sparse A; 
+      A = viewAsCholmod(mat);
+      m_rows = matrix.rows();
+      Index col = matrix.cols();
+      m_rank = SuiteSparseQR<Scalar>(m_ordering, pivotThreshold, col, &A, 
+                             &m_cR, &m_E, &m_H, &m_HPinv, &m_HTau, &m_cc);
+
+      if (!m_cR)
+      {
+        m_info = NumericalIssue;
+        m_isInitialized = false;
+        return;
+      }
+      m_info = Success;
+      m_isInitialized = true;
+      m_isRUpToDate = false;
+    }
+    /** 
+     * Get the number of rows of the input matrix and the Q matrix
+     */
+    inline Index rows() const {return m_rows; }
+    
+    /** 
+     * Get the number of columns of the input matrix. 
+     */
+    inline Index cols() const { return m_cR->ncol; }
+    
+    template<typename Rhs, typename Dest>
+    void _solve_impl(const MatrixBase<Rhs> &b, MatrixBase<Dest> &dest) const
+    {
+      eigen_assert(m_isInitialized && " The QR factorization should be computed first, call compute()");
+      eigen_assert(b.cols()==1 && "This method is for vectors only");
+
+      //Compute Q^T * b
+      typename Dest::PlainObject y, y2;
+      y = matrixQ().transpose() * b;
+      
+      // Solves with the triangular matrix R
+      Index rk = this->rank();
+      y2 = y;
+      y.resize((std::max)(cols(),Index(y.rows())),y.cols());
+      y.topRows(rk) = this->matrixR().topLeftCorner(rk, rk).template triangularView<Upper>().solve(y2.topRows(rk));
+
+      // Apply the column permutation 
+      // colsPermutation() performs a copy of the permutation,
+      // so let's apply it manually:
+      for(Index i = 0; i < rk; ++i) dest.row(m_E[i]) = y.row(i);
+      for(Index i = rk; i < cols(); ++i) dest.row(m_E[i]).setZero();
+      
+//       y.bottomRows(y.rows()-rk).setZero();
+//       dest = colsPermutation() * y.topRows(cols());
+      
+      m_info = Success;
+    }
+    
+    /** \returns the sparse triangular factor R. It is a sparse matrix
+     */
+    const MatrixType matrixR() const
+    {
+      eigen_assert(m_isInitialized && " The QR factorization should be computed first, call compute()");
+      if(!m_isRUpToDate) {
+        m_R = viewAsEigen<Scalar,ColMajor, typename MatrixType::StorageIndex>(*m_cR);
+        m_isRUpToDate = true;
+      }
+      return m_R;
+    }
+    /// Get an expression of the matrix Q
+    SPQRMatrixQReturnType<SPQR> matrixQ() const
+    {
+      return SPQRMatrixQReturnType<SPQR>(*this);
+    }
+    /// Get the permutation that was applied to columns of A
+    PermutationType colsPermutation() const
+    { 
+      eigen_assert(m_isInitialized && "Decomposition is not initialized.");
+      return PermutationType(m_E, m_cR->ncol);
+    }
+    /**
+     * Gets the rank of the matrix. 
+     * It should be equal to matrixQR().cols if the matrix is full-rank
+     */
+    Index rank() const
+    {
+      eigen_assert(m_isInitialized && "Decomposition is not initialized.");
+      return m_cc.SPQR_istat[4];
+    }
+    /// Set the fill-reducing ordering method to be used
+    void setSPQROrdering(int ord) { m_ordering = ord;}
+    /// Set the tolerance tol to treat columns with 2-norm < =tol as zero
+    void setPivotThreshold(const RealScalar& tol)
+    {
+      m_useDefaultThreshold = false;
+      m_tolerance = tol;
+    }
+    
+    /** \returns a pointer to the SPQR workspace */
+    cholmod_common *cholmodCommon() const { return &m_cc; }
+    
+    
+    /** \brief Reports whether previous computation was successful.
+      *
+      * \returns \c Success if computation was successful,
+      *          \c NumericalIssue if the sparse QR can not be computed
+      */
+    ComputationInfo info() const
+    {
+      eigen_assert(m_isInitialized && "Decomposition is not initialized.");
+      return m_info;
+    }
+  protected:
+    bool m_analysisIsOk;
+    bool m_factorizationIsOk;
+    mutable bool m_isRUpToDate;
+    mutable ComputationInfo m_info;
+    int m_ordering; // Ordering method to use, see SPQR's manual
+    int m_allow_tol; // Allow to use some tolerance during numerical factorization.
+    RealScalar m_tolerance; // treat columns with 2-norm below this tolerance as zero
+    mutable cholmod_sparse *m_cR; // The sparse R factor in cholmod format
+    mutable MatrixType m_R; // The sparse matrix R in Eigen format
+    mutable StorageIndex *m_E; // The permutation applied to columns
+    mutable cholmod_sparse *m_H;  //The householder vectors
+    mutable StorageIndex *m_HPinv; // The row permutation of H
+    mutable cholmod_dense *m_HTau; // The Householder coefficients
+    mutable Index m_rank; // The rank of the matrix
+    mutable cholmod_common m_cc; // Workspace and parameters
+    bool m_useDefaultThreshold;     // Use default threshold
+    Index m_rows;
+    template<typename ,typename > friend struct SPQR_QProduct;
+};
+
+template <typename SPQRType, typename Derived>
+struct SPQR_QProduct : ReturnByValue<SPQR_QProduct<SPQRType,Derived> >
+{
+  typedef typename SPQRType::Scalar Scalar;
+  typedef typename SPQRType::StorageIndex StorageIndex;
+  //Define the constructor to get reference to argument types
+  SPQR_QProduct(const SPQRType& spqr, const Derived& other, bool transpose) : m_spqr(spqr),m_other(other),m_transpose(transpose) {}
+  
+  inline Index rows() const { return m_transpose ? m_spqr.rows() : m_spqr.cols(); }
+  inline Index cols() const { return m_other.cols(); }
+  // Assign to a vector
+  template<typename ResType>
+  void evalTo(ResType& res) const
+  {
+    cholmod_dense y_cd;
+    cholmod_dense *x_cd; 
+    int method = m_transpose ? SPQR_QTX : SPQR_QX; 
+    cholmod_common *cc = m_spqr.cholmodCommon();
+    y_cd = viewAsCholmod(m_other.const_cast_derived());
+    x_cd = SuiteSparseQR_qmult<Scalar>(method, m_spqr.m_H, m_spqr.m_HTau, m_spqr.m_HPinv, &y_cd, cc);
+    res = Matrix<Scalar,ResType::RowsAtCompileTime,ResType::ColsAtCompileTime>::Map(reinterpret_cast<Scalar*>(x_cd->x), x_cd->nrow, x_cd->ncol);
+    cholmod_l_free_dense(&x_cd, cc);
+  }
+  const SPQRType& m_spqr; 
+  const Derived& m_other; 
+  bool m_transpose; 
+  
+};
+template<typename SPQRType>
+struct SPQRMatrixQReturnType{
+  
+  SPQRMatrixQReturnType(const SPQRType& spqr) : m_spqr(spqr) {}
+  template<typename Derived>
+  SPQR_QProduct<SPQRType, Derived> operator*(const MatrixBase<Derived>& other)
+  {
+    return SPQR_QProduct<SPQRType,Derived>(m_spqr,other.derived(),false);
+  }
+  SPQRMatrixQTransposeReturnType<SPQRType> adjoint() const
+  {
+    return SPQRMatrixQTransposeReturnType<SPQRType>(m_spqr);
+  }
+  // To use for operations with the transpose of Q
+  SPQRMatrixQTransposeReturnType<SPQRType> transpose() const
+  {
+    return SPQRMatrixQTransposeReturnType<SPQRType>(m_spqr);
+  }
+  const SPQRType& m_spqr;
+};
+
+template<typename SPQRType>
+struct SPQRMatrixQTransposeReturnType{
+  SPQRMatrixQTransposeReturnType(const SPQRType& spqr) : m_spqr(spqr) {}
+  template<typename Derived>
+  SPQR_QProduct<SPQRType,Derived> operator*(const MatrixBase<Derived>& other)
+  {
+    return SPQR_QProduct<SPQRType,Derived>(m_spqr,other.derived(), true);
+  }
+  const SPQRType& m_spqr;
+};
+
+}// End namespace Eigen
+#endif