pylibsparseir 0.1.0__cp311-cp311-macosx_15_0_arm64.whl → 0.6.0__cp311-cp311-macosx_15_0_arm64.whl

include/eigen3/unsupported/Eigen/src/IterativeSolvers/MINRES.h

@@ -0,0 +1,267 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2012 Giacomo Po <gpo@ucla.edu>
+// Copyright (C) 2011-2014 Gael Guennebaud <gael.guennebaud@inria.fr>
+// Copyright (C) 2018 David Hyde <dabh@stanford.edu>
+//
+// 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_MINRES_H_
+#define EIGEN_MINRES_H_
+
+
+namespace Eigen {
+    
+    namespace internal {
+        
+        /** \internal Low-level MINRES 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 right 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.
+         */
+        template<typename MatrixType, typename Rhs, typename Dest, typename Preconditioner>
+        EIGEN_DONT_INLINE
+        void minres(const MatrixType& mat, const Rhs& rhs, Dest& x,
+                    const Preconditioner& precond, Index& iters,
+                    typename Dest::RealScalar& tol_error)
+        {
+            using std::sqrt;
+            typedef typename Dest::RealScalar RealScalar;
+            typedef typename Dest::Scalar Scalar;
+            typedef Matrix<Scalar,Dynamic,1> VectorType;
+
+            // Check for zero rhs
+            const RealScalar rhsNorm2(rhs.squaredNorm());
+            if(rhsNorm2 == 0)
+            {
+                x.setZero();
+                iters = 0;
+                tol_error = 0;
+                return;
+            }
+            
+            // initialize
+            const Index maxIters(iters);  // initialize maxIters to iters
+            const Index N(mat.cols());    // the size of the matrix
+            const RealScalar threshold2(tol_error*tol_error*rhsNorm2); // convergence threshold (compared to residualNorm2)
+            
+            // Initialize preconditioned Lanczos
+            VectorType v_old(N); // will be initialized inside loop
+            VectorType v( VectorType::Zero(N) ); //initialize v
+            VectorType v_new(rhs-mat*x); //initialize v_new
+            RealScalar residualNorm2(v_new.squaredNorm());
+            VectorType w(N); // will be initialized inside loop
+            VectorType w_new(precond.solve(v_new)); // initialize w_new
+//            RealScalar beta; // will be initialized inside loop
+            RealScalar beta_new2(v_new.dot(w_new));
+            eigen_assert(beta_new2 >= 0.0 && "PRECONDITIONER IS NOT POSITIVE DEFINITE");
+            RealScalar beta_new(sqrt(beta_new2));
+            const RealScalar beta_one(beta_new);
+            // Initialize other variables
+            RealScalar c(1.0); // the cosine of the Givens rotation
+            RealScalar c_old(1.0);
+            RealScalar s(0.0); // the sine of the Givens rotation
+            RealScalar s_old(0.0); // the sine of the Givens rotation
+            VectorType p_oold(N); // will be initialized in loop
+            VectorType p_old(VectorType::Zero(N)); // initialize p_old=0
+            VectorType p(p_old); // initialize p=0
+            RealScalar eta(1.0);
+                        
+            iters = 0; // reset iters
+            while ( iters < maxIters )
+            {
+                // Preconditioned Lanczos
+                /* Note that there are 4 variants on the Lanczos algorithm. These are
+                 * described in Paige, C. C. (1972). Computational variants of
+                 * the Lanczos method for the eigenproblem. IMA Journal of Applied
+                 * Mathematics, 10(3), 373-381. The current implementation corresponds 
+                 * to the case A(2,7) in the paper. It also corresponds to 
+                 * algorithm 6.14 in Y. Saad, Iterative Methods for Sparse Linear
+                 * Systems, 2003 p.173. For the preconditioned version see 
+                 * A. Greenbaum, Iterative Methods for Solving Linear Systems, SIAM (1987).
+                 */
+                const RealScalar beta(beta_new);
+                v_old = v; // update: at first time step, this makes v_old = 0 so value of beta doesn't matter
+                v_new /= beta_new; // overwrite v_new for next iteration
+                w_new /= beta_new; // overwrite w_new for next iteration
+                v = v_new; // update
+                w = w_new; // update
+                v_new.noalias() = mat*w - beta*v_old; // compute v_new
+                const RealScalar alpha = v_new.dot(w);
+                v_new -= alpha*v; // overwrite v_new
+                w_new = precond.solve(v_new); // overwrite w_new
+                beta_new2 = v_new.dot(w_new); // compute beta_new
+                eigen_assert(beta_new2 >= 0.0 && "PRECONDITIONER IS NOT POSITIVE DEFINITE");
+                beta_new = sqrt(beta_new2); // compute beta_new
+                
+                // Givens rotation
+                const RealScalar r2 =s*alpha+c*c_old*beta; // s, s_old, c and c_old are still from previous iteration
+                const RealScalar r3 =s_old*beta; // s, s_old, c and c_old are still from previous iteration
+                const RealScalar r1_hat=c*alpha-c_old*s*beta;
+                const RealScalar r1 =sqrt( std::pow(r1_hat,2) + std::pow(beta_new,2) );
+                c_old = c; // store for next iteration
+                s_old = s; // store for next iteration
+                c=r1_hat/r1; // new cosine
+                s=beta_new/r1; // new sine
+                
+                // Update solution
+                p_oold = p_old;
+                p_old = p;
+                p.noalias()=(w-r2*p_old-r3*p_oold) /r1; // IS NOALIAS REQUIRED?
+                x += beta_one*c*eta*p;
+                
+                /* Update the squared residual. Note that this is the estimated residual.
+                The real residual |Ax-b|^2 may be slightly larger */
+                residualNorm2 *= s*s;
+                
+                if ( residualNorm2 < threshold2)
+                {
+                    break;
+                }
+                
+                eta=-s*eta; // update eta
+                iters++; // increment iteration number (for output purposes)
+            }
+            
+            /* Compute error. Note that this is the estimated error. The real 
+             error |Ax-b|/|b| may be slightly larger */
+            tol_error = std::sqrt(residualNorm2 / rhsNorm2);
+        }
+        
+    }
+    
+    template< typename _MatrixType, int _UpLo=Lower,
+    typename _Preconditioner = IdentityPreconditioner>
+    class MINRES;
+    
+    namespace internal {
+        
+        template< typename _MatrixType, int _UpLo, typename _Preconditioner>
+        struct traits<MINRES<_MatrixType,_UpLo,_Preconditioner> >
+        {
+            typedef _MatrixType MatrixType;
+            typedef _Preconditioner Preconditioner;
+        };
+        
+    }
+    
+    /** \ingroup IterativeLinearSolvers_Module
+     * \brief A minimal residual solver for sparse symmetric problems
+     *
+     * This class allows to solve for A.x = b sparse linear problems using the MINRES algorithm
+     * of Paige and Saunders (1975). The sparse matrix A must be symmetric (possibly indefinite).
+     * 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 _UpLo the triangular part that will be used for the computations. It can be Lower,
+     *               Upper, or Lower|Upper in which the full matrix entries will be considered. Default is Lower.
+     * \tparam _Preconditioner the type of the preconditioner. Default is DiagonalPreconditioner
+     *
+     * 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 n = 10000;
+     * VectorXd x(n), b(n);
+     * SparseMatrix<double> A(n,n);
+     * // fill A and b
+     * MINRES<SparseMatrix<double> > mr;
+     * mr.compute(A);
+     * x = mr.solve(b);
+     * std::cout << "#iterations:     " << mr.iterations() << std::endl;
+     * std::cout << "estimated error: " << mr.error()      << std::endl;
+     * // update b, and solve again
+     * x = mr.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.
+     *
+     * MINRES can also be used in a matrix-free context, see the following \link MatrixfreeSolverExample example \endlink.
+     *
+     * \sa class ConjugateGradient, BiCGSTAB, SimplicialCholesky, DiagonalPreconditioner, IdentityPreconditioner
+     */
+    template< typename _MatrixType, int _UpLo, typename _Preconditioner>
+    class MINRES : public IterativeSolverBase<MINRES<_MatrixType,_UpLo,_Preconditioner> >
+    {
+        
+        typedef IterativeSolverBase<MINRES> Base;
+        using Base::matrix;
+        using Base::m_error;
+        using Base::m_iterations;
+        using Base::m_info;
+        using Base::m_isInitialized;
+    public:
+        using Base::_solve_impl;
+        typedef _MatrixType MatrixType;
+        typedef typename MatrixType::Scalar Scalar;
+        typedef typename MatrixType::RealScalar RealScalar;
+        typedef _Preconditioner Preconditioner;
+        
+        enum {UpLo = _UpLo};
+        
+    public:
+        
+        /** Default constructor. */
+        MINRES() : 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 MINRES(const EigenBase<MatrixDerived>& A) : Base(A.derived()) {}
+        
+        /** Destructor. */
+        ~MINRES(){}
+
+        /** \internal */
+        template<typename Rhs,typename Dest>
+        void _solve_vector_with_guess_impl(const Rhs& b, Dest& x) const
+        {
+            typedef typename Base::MatrixWrapper MatrixWrapper;
+            typedef typename Base::ActualMatrixType ActualMatrixType;
+            enum {
+              TransposeInput  =   (!MatrixWrapper::MatrixFree)
+                              &&  (UpLo==(Lower|Upper))
+                              &&  (!MatrixType::IsRowMajor)
+                              &&  (!NumTraits<Scalar>::IsComplex)
+            };
+            typedef typename internal::conditional<TransposeInput,Transpose<const ActualMatrixType>, ActualMatrixType const&>::type RowMajorWrapper;
+            EIGEN_STATIC_ASSERT(EIGEN_IMPLIES(MatrixWrapper::MatrixFree,UpLo==(Lower|Upper)),MATRIX_FREE_CONJUGATE_GRADIENT_IS_COMPATIBLE_WITH_UPPER_UNION_LOWER_MODE_ONLY);
+            typedef typename internal::conditional<UpLo==(Lower|Upper),
+                                                  RowMajorWrapper,
+                                                  typename MatrixWrapper::template ConstSelfAdjointViewReturnType<UpLo>::Type
+                                            >::type SelfAdjointWrapper;
+
+            m_iterations = Base::maxIterations();
+            m_error = Base::m_tolerance;
+            RowMajorWrapper row_mat(matrix());
+            internal::minres(SelfAdjointWrapper(row_mat), b, x,
+                             Base::m_preconditioner, m_iterations, m_error);
+            m_info = m_error <= Base::m_tolerance ? Success : NoConvergence;
+        }
+        
+    protected:
+        
+    };
+
+} // end namespace Eigen
+
+#endif // EIGEN_MINRES_H

include/eigen3/unsupported/Eigen/src/IterativeSolvers/Scaling.h

@@ -0,0 +1,193 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2012 Desire 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_ITERSCALING_H
+#define EIGEN_ITERSCALING_H
+
+namespace Eigen {
+
+/**
+  * \ingroup IterativeSolvers_Module
+  * \brief iterative scaling algorithm to equilibrate rows and column norms in matrices
+  * 
+  * This class can be used as a preprocessing tool to accelerate the convergence of iterative methods 
+  * 
+  * This feature is  useful to limit the pivoting amount during LU/ILU factorization
+  * The  scaling strategy as presented here preserves the symmetry of the problem
+  * NOTE It is assumed that the matrix does not have empty row or column, 
+  * 
+  * Example with key steps 
+  * \code
+  * VectorXd x(n), b(n);
+  * SparseMatrix<double> A;
+  * // fill A and b;
+  * IterScaling<SparseMatrix<double> > scal; 
+  * // Compute the left and right scaling vectors. The matrix is equilibrated at output
+  * scal.computeRef(A); 
+  * // Scale the right hand side
+  * b = scal.LeftScaling().cwiseProduct(b); 
+  * // Now, solve the equilibrated linear system with any available solver
+  * 
+  * // Scale back the computed solution
+  * x = scal.RightScaling().cwiseProduct(x); 
+  * \endcode
+  * 
+  * \tparam _MatrixType the type of the matrix. It should be a real square sparsematrix
+  * 
+  * References : D. Ruiz and B. Ucar, A Symmetry Preserving Algorithm for Matrix Scaling, INRIA Research report RR-7552
+  * 
+  * \sa \ref IncompleteLUT 
+  */
+template<typename _MatrixType>
+class IterScaling
+{
+  public:
+    typedef _MatrixType MatrixType; 
+    typedef typename MatrixType::Scalar Scalar;
+    typedef typename MatrixType::Index Index;
+    
+  public:
+    IterScaling() { init(); }
+    
+    IterScaling(const MatrixType& matrix)
+    {
+      init();
+      compute(matrix);
+    }
+    
+    ~IterScaling() { }
+    
+    /** 
+     * Compute the left and right diagonal matrices to scale the input matrix @p mat
+     * 
+     * FIXME This algorithm will be modified such that the diagonal elements are permuted on the diagonal. 
+     * 
+     * \sa LeftScaling() RightScaling()
+     */
+    void compute (const MatrixType& mat)
+    {
+      using std::abs;
+      int m = mat.rows(); 
+      int n = mat.cols();
+      eigen_assert((m>0 && m == n) && "Please give a non - empty matrix");
+      m_left.resize(m); 
+      m_right.resize(n);
+      m_left.setOnes();
+      m_right.setOnes();
+      m_matrix = mat;
+      VectorXd Dr, Dc, DrRes, DcRes; // Temporary Left and right scaling vectors
+      Dr.resize(m); Dc.resize(n);
+      DrRes.resize(m); DcRes.resize(n);
+      double EpsRow = 1.0, EpsCol = 1.0;
+      int its = 0; 
+      do
+      { // Iterate until the infinite norm of each row and column is approximately 1
+        // Get the maximum value in each row and column
+        Dr.setZero(); Dc.setZero();
+        for (int k=0; k<m_matrix.outerSize(); ++k)
+        {
+          for (typename MatrixType::InnerIterator it(m_matrix, k); it; ++it)
+          {
+            if ( Dr(it.row()) < abs(it.value()) )
+              Dr(it.row()) = abs(it.value());
+            
+            if ( Dc(it.col()) < abs(it.value()) )
+              Dc(it.col()) = abs(it.value());
+          }
+        }
+        for (int i = 0; i < m; ++i) 
+        {
+          Dr(i) = std::sqrt(Dr(i));
+        }
+        for (int i = 0; i < n; ++i) 
+        {
+          Dc(i) = std::sqrt(Dc(i));
+        }
+        // Save the scaling factors 
+        for (int i = 0; i < m; ++i) 
+        {
+          m_left(i) /= Dr(i);
+        }
+        for (int i = 0; i < n; ++i) 
+        {
+          m_right(i) /= Dc(i);
+        }
+        // Scale the rows and the columns of the matrix
+        DrRes.setZero(); DcRes.setZero(); 
+        for (int k=0; k<m_matrix.outerSize(); ++k)
+        {
+          for (typename MatrixType::InnerIterator it(m_matrix, k); it; ++it)
+          {
+            it.valueRef() = it.value()/( Dr(it.row()) * Dc(it.col()) );
+            // Accumulate the norms of the row and column vectors   
+            if ( DrRes(it.row()) < abs(it.value()) )
+              DrRes(it.row()) = abs(it.value());
+            
+            if ( DcRes(it.col()) < abs(it.value()) )
+              DcRes(it.col()) = abs(it.value());
+          }
+        }  
+        DrRes.array() = (1-DrRes.array()).abs();
+        EpsRow = DrRes.maxCoeff();
+        DcRes.array() = (1-DcRes.array()).abs();
+        EpsCol = DcRes.maxCoeff();
+        its++;
+      }while ( (EpsRow >m_tol || EpsCol > m_tol) && (its < m_maxits) );
+      m_isInitialized = true;
+    }
+    /** Compute the left and right vectors to scale the vectors
+     * the input matrix is scaled with the computed vectors at output
+     * 
+     * \sa compute()
+     */
+    void computeRef (MatrixType& mat)
+    {
+      compute (mat);
+      mat = m_matrix;
+    }
+    /** Get the vector to scale the rows of the matrix 
+     */
+    VectorXd& LeftScaling()
+    {
+      return m_left;
+    }
+    
+    /** Get the vector to scale the columns of the matrix 
+     */
+    VectorXd& RightScaling()
+    {
+      return m_right;
+    }
+    
+    /** Set the tolerance for the convergence of the iterative scaling algorithm
+     */
+    void setTolerance(double tol)
+    {
+      m_tol = tol; 
+    }
+      
+  protected:
+    
+    void init()
+    {
+      m_tol = 1e-10;
+      m_maxits = 5;
+      m_isInitialized = false;
+    }
+    
+    MatrixType m_matrix;
+    mutable ComputationInfo m_info; 
+    bool m_isInitialized; 
+    VectorXd m_left; // Left scaling vector
+    VectorXd m_right; // m_right scaling vector
+    double m_tol; 
+    int m_maxits; // Maximum number of iterations allowed
+};
+}
+#endif