pyvale 2026.1.1__cp311-cp311-manylinux_2_17_i686.manylinux2014_i686.whl

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

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+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2011 Gael Guennebaud <gael.guennebaud@inria.fr>
+// Copyright (C) 2012, 2014 Kolja Brix <brix@igpm.rwth-aaachen.de>
+//
+// 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_GMRES_H
+#define EIGEN_GMRES_H
+
+namespace Eigen {
+
+namespace internal {
+
+/**
+* Generalized Minimal Residual Algorithm based on the
+* Arnoldi algorithm implemented with Householder reflections.
+*
+* Parameters:
+*  \param mat       matrix of linear system of equations
+*  \param rhs       right hand side vector of linear system of equations
+*  \param x         on input: initial guess, on output: solution
+*  \param precond   preconditioner used
+*  \param iters     on input: maximum number of iterations to perform
+*                   on output: number of iterations performed
+*  \param restart   number of iterations for a restart
+*  \param tol_error on input: relative residual tolerance
+*                   on output: residuum achieved
+*
+* \sa IterativeMethods::bicgstab()
+*
+*
+* For references, please see:
+*
+* Saad, Y. and Schultz, M. H.
+* GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems.
+* SIAM J.Sci.Stat.Comp. 7, 1986, pp. 856 - 869.
+*
+* Saad, Y.
+* Iterative Methods for Sparse Linear Systems.
+* Society for Industrial and Applied Mathematics, Philadelphia, 2003.
+*
+* Walker, H. F.
+* Implementations of the GMRES method.
+* Comput.Phys.Comm. 53, 1989, pp. 311 - 320.
+*
+* Walker, H. F.
+* Implementation of the GMRES Method using Householder Transformations.
+* SIAM J.Sci.Stat.Comp. 9, 1988, pp. 152 - 163.
+*
+*/
+template<typename MatrixType, typename Rhs, typename Dest, typename Preconditioner>
+bool gmres(const MatrixType & mat, const Rhs & rhs, Dest & x, const Preconditioner & precond,
+    Index &iters, const Index &restart, 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;
+  typedef Matrix < Scalar, Dynamic, Dynamic, ColMajor> FMatrixType;
+
+  const RealScalar considerAsZero = (std::numeric_limits<RealScalar>::min)();
+
+  if(rhs.norm() <= considerAsZero) 
+  {
+    x.setZero();
+    tol_error = 0;
+    return true;
+  }
+
+  RealScalar tol = tol_error;
+  const Index maxIters = iters;
+  iters = 0;
+
+  const Index m = mat.rows();
+
+  // residual and preconditioned residual
+  VectorType p0 = rhs - mat*x;
+  VectorType r0 = precond.solve(p0);
+
+  const RealScalar r0Norm = r0.norm();
+
+  // is initial guess already good enough?
+  if(r0Norm == 0)
+  {
+    tol_error = 0;
+    return true;
+  }
+
+  // storage for Hessenberg matrix and Householder data
+  FMatrixType H   = FMatrixType::Zero(m, restart + 1);
+  VectorType w    = VectorType::Zero(restart + 1);
+  VectorType tau  = VectorType::Zero(restart + 1);
+
+  // storage for Jacobi rotations
+  std::vector < JacobiRotation < Scalar > > G(restart);
+  
+  // storage for temporaries
+  VectorType t(m), v(m), workspace(m), x_new(m);
+
+  // generate first Householder vector
+  Ref<VectorType> H0_tail = H.col(0).tail(m - 1);
+  RealScalar beta;
+  r0.makeHouseholder(H0_tail, tau.coeffRef(0), beta);
+  w(0) = Scalar(beta);
+  
+  for (Index k = 1; k <= restart; ++k)
+  {
+    ++iters;
+
+    v = VectorType::Unit(m, k - 1);
+
+    // apply Householder reflections H_{1} ... H_{k-1} to v
+    // TODO: use a HouseholderSequence
+    for (Index i = k - 1; i >= 0; --i) {
+      v.tail(m - i).applyHouseholderOnTheLeft(H.col(i).tail(m - i - 1), tau.coeffRef(i), workspace.data());
+    }
+
+    // apply matrix M to v:  v = mat * v;
+    t.noalias() = mat * v;
+    v = precond.solve(t);
+
+    // apply Householder reflections H_{k-1} ... H_{1} to v
+    // TODO: use a HouseholderSequence
+    for (Index i = 0; i < k; ++i) {
+      v.tail(m - i).applyHouseholderOnTheLeft(H.col(i).tail(m - i - 1), tau.coeffRef(i), workspace.data());
+    }
+
+    if (v.tail(m - k).norm() != 0.0)
+    {
+      if (k <= restart)
+      {
+        // generate new Householder vector
+        Ref<VectorType> Hk_tail = H.col(k).tail(m - k - 1);
+        v.tail(m - k).makeHouseholder(Hk_tail, tau.coeffRef(k), beta);
+
+        // apply Householder reflection H_{k} to v
+        v.tail(m - k).applyHouseholderOnTheLeft(Hk_tail, tau.coeffRef(k), workspace.data());
+      }
+    }
+
+    if (k > 1)
+    {
+      for (Index i = 0; i < k - 1; ++i)
+      {
+        // apply old Givens rotations to v
+        v.applyOnTheLeft(i, i + 1, G[i].adjoint());
+      }
+    }
+
+    if (k<m && v(k) != (Scalar) 0)
+    {
+      // determine next Givens rotation
+      G[k - 1].makeGivens(v(k - 1), v(k));
+
+      // apply Givens rotation to v and w
+      v.applyOnTheLeft(k - 1, k, G[k - 1].adjoint());
+      w.applyOnTheLeft(k - 1, k, G[k - 1].adjoint());
+    }
+
+    // insert coefficients into upper matrix triangle
+    H.col(k-1).head(k) = v.head(k);
+
+    tol_error = abs(w(k)) / r0Norm;
+    bool stop = (k==m || tol_error < tol || iters == maxIters);
+
+    if (stop || k == restart)
+    {
+      // solve upper triangular system
+      Ref<VectorType> y = w.head(k);
+      H.topLeftCorner(k, k).template triangularView <Upper>().solveInPlace(y);
+
+      // use Horner-like scheme to calculate solution vector
+      x_new.setZero();
+      for (Index i = k - 1; i >= 0; --i)
+      {
+        x_new(i) += y(i);
+        // apply Householder reflection H_{i} to x_new
+        x_new.tail(m - i).applyHouseholderOnTheLeft(H.col(i).tail(m - i - 1), tau.coeffRef(i), workspace.data());
+      }
+
+      x += x_new;
+
+      if(stop)
+      {
+        return true;
+      }
+      else
+      {
+        k=0;
+
+        // reset data for restart
+        p0.noalias() = rhs - mat*x;
+        r0 = precond.solve(p0);
+
+        // clear Hessenberg matrix and Householder data
+        H.setZero();
+        w.setZero();
+        tau.setZero();
+
+        // generate first Householder vector
+        r0.makeHouseholder(H0_tail, tau.coeffRef(0), beta);
+        w(0) = Scalar(beta);
+      }
+    }
+  }
+
+  return false;
+
+}
+
+}
+
+template< typename _MatrixType,
+          typename _Preconditioner = DiagonalPreconditioner<typename _MatrixType::Scalar> >
+class GMRES;
+
+namespace internal {
+
+template< typename _MatrixType, typename _Preconditioner>
+struct traits<GMRES<_MatrixType,_Preconditioner> >
+{
+  typedef _MatrixType MatrixType;
+  typedef _Preconditioner Preconditioner;
+};
+
+}
+
+/** \ingroup IterativeLinearSolvers_Module
+  * \brief A GMRES solver for sparse square problems
+  *
+  * This class allows to solve for A.x = b sparse linear problems using a generalized minimal
+  * residual method. 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 _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
+  * GMRES<SparseMatrix<double> > solver(A);
+  * x = solver.solve(b);
+  * std::cout << "#iterations:     " << solver.iterations() << std::endl;
+  * std::cout << "estimated error: " << solver.error()      << std::endl;
+  * // update b, and solve again
+  * x = solver.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.
+  * 
+  * GMRES can also be used in a matrix-free context, see the following \link MatrixfreeSolverExample example \endlink.
+  *
+  * \sa class SimplicialCholesky, DiagonalPreconditioner, IdentityPreconditioner
+  */
+template< typename _MatrixType, typename _Preconditioner>
+class GMRES : public IterativeSolverBase<GMRES<_MatrixType,_Preconditioner> >
+{
+  typedef IterativeSolverBase<GMRES> Base;
+  using Base::matrix;
+  using Base::m_error;
+  using Base::m_iterations;
+  using Base::m_info;
+  using Base::m_isInitialized;
+
+private:
+  Index m_restart;
+
+public:
+  using Base::_solve_impl;
+  typedef _MatrixType MatrixType;
+  typedef typename MatrixType::Scalar Scalar;
+  typedef typename MatrixType::RealScalar RealScalar;
+  typedef _Preconditioner Preconditioner;
+
+public:
+
+  /** Default constructor. */
+  GMRES() : Base(), m_restart(30) {}
+
+  /** 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 GMRES(const EigenBase<MatrixDerived>& A) : Base(A.derived()), m_restart(30) {}
+
+  ~GMRES() {}
+
+  /** Get the number of iterations after that a restart is performed.
+    */
+  Index get_restart() { return m_restart; }
+
+  /** Set the number of iterations after that a restart is performed.
+    *  \param restart   number of iterations for a restarti, default is 30.
+    */
+  void set_restart(const Index restart) { m_restart=restart; }
+
+  /** \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;
+    bool ret = internal::gmres(matrix(), b, x, Base::m_preconditioner, m_iterations, m_restart, m_error);
+    m_info = (!ret) ? NumericalIssue
+          : m_error <= Base::m_tolerance ? Success
+          : NoConvergence;
+  }
+
+protected:
+
+};
+
+} // end namespace Eigen
+
+#endif // EIGEN_GMRES_H