// Copyright (C) 2016-2022 Yixuan Qiu // // 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 https://mozilla.org/MPL/2.0/. #ifndef SPECTRA_SPARSE_CHOLESKY_H #define SPECTRA_SPARSE_CHOLESKY_H #include #include #include #include #include "../Util/CompInfo.h" namespace Spectra { /// /// \ingroup MatOp /// /// This class defines the operations related to Cholesky decomposition on a /// sparse positive definite matrix, \f$B=LL'\f$, where \f$L\f$ is a lower triangular /// matrix. It is mainly used in the SymGEigsSolver generalized eigen solver /// in the Cholesky decomposition mode. /// /// \tparam Scalar_ The element type of the matrix, for example, /// `float`, `double`, and `long double`. /// \tparam Uplo Either `Eigen::Lower` or `Eigen::Upper`, indicating which /// triangular part of the matrix is used. /// \tparam Flags Either `Eigen::ColMajor` or `Eigen::RowMajor`, indicating /// the storage format of the input matrix. /// \tparam StorageIndex The type of the indices for the sparse matrix. /// template class SparseCholesky { public: /// /// Element type of the matrix. /// using Scalar = Scalar_; private: using Index = Eigen::Index; using Vector = Eigen::Matrix; using MapConstVec = Eigen::Map; using MapVec = Eigen::Map; using SparseMatrix = Eigen::SparseMatrix; const Index m_n; Eigen::SimplicialLLT m_decomp; CompInfo m_info; // status of the decomposition public: /// /// Constructor to create the matrix operation object. /// /// \param mat An **Eigen** sparse matrix object, whose type can be /// `Eigen::SparseMatrix` or its mapped version /// `Eigen::Map >`. /// template SparseCholesky(const Eigen::SparseMatrixBase& mat) : m_n(mat.rows()) { static_assert( static_cast(Derived::PlainObject::IsRowMajor) == static_cast(SparseMatrix::IsRowMajor), "SparseCholesky: the \"Flags\" template parameter does not match the input matrix (Eigen::ColMajor/Eigen::RowMajor)"); if (mat.rows() != mat.cols()) throw std::invalid_argument("SparseCholesky: matrix must be square"); m_decomp.compute(mat); m_info = (m_decomp.info() == Eigen::Success) ? CompInfo::Successful : CompInfo::NumericalIssue; } /// /// Returns the number of rows of the underlying matrix. /// Index rows() const { return m_n; } /// /// Returns the number of columns of the underlying matrix. /// Index cols() const { return m_n; } /// /// Returns the status of the computation. /// The full list of enumeration values can be found in \ref Enumerations. /// CompInfo info() const { return m_info; } /// /// Performs the lower triangular solving operation \f$y=L^{-1}x\f$. /// /// \param x_in Pointer to the \f$x\f$ vector. /// \param y_out Pointer to the \f$y\f$ vector. /// // y_out = inv(L) * x_in void lower_triangular_solve(const Scalar* x_in, Scalar* y_out) const { MapConstVec x(x_in, m_n); MapVec y(y_out, m_n); y.noalias() = m_decomp.permutationP() * x; m_decomp.matrixL().solveInPlace(y); } /// /// Performs the upper triangular solving operation \f$y=(L')^{-1}x\f$. /// /// \param x_in Pointer to the \f$x\f$ vector. /// \param y_out Pointer to the \f$y\f$ vector. /// // y_out = inv(L') * x_in void upper_triangular_solve(const Scalar* x_in, Scalar* y_out) const { MapConstVec x(x_in, m_n); MapVec y(y_out, m_n); y.noalias() = m_decomp.matrixU().solve(x); y = m_decomp.permutationPinv() * y; } }; } // namespace Spectra #endif // SPECTRA_SPARSE_CHOLESKY_H