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Intel(R) MKL support added.
* * * License disclaimer changed to BSD license for MKL_support.h * * * Pardiso support fixed, test added. blas/lapack tests fixed: Scalar parameter was added in Cholesky, product_matrix_vector_triangular remaned to triangular_matrix_vector_product. * * * PARDISO test was added physically.
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karturov
94
Eigen/src/QR/ColPivHouseholderQR_MKL.h
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94
Eigen/src/QR/ColPivHouseholderQR_MKL.h
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/*
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Copyright (c) 2011, Intel Corporation. All rights reserved.
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Redistribution and use in source and binary forms, with or without modification,
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are permitted provided that the following conditions are met:
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* Redistributions of source code must retain the above copyright notice, this
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list of conditions and the following disclaimer.
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* Redistributions in binary form must reproduce the above copyright notice,
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this list of conditions and the following disclaimer in the documentation
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and/or other materials provided with the distribution.
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* Neither the name of Intel Corporation nor the names of its contributors may
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be used to endorse or promote products derived from this software without
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specific prior written permission.
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THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
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ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
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WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
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DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
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ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
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(INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
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LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON
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ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
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SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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********************************************************************************
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* Content : Eigen bindings to Intel(R) MKL
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* Householder QR decomposition of a matrix with column pivoting based on
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* LAPACKE_?geqp3 function.
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********************************************************************************
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*/
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#ifndef EIGEN_COLPIVOTINGHOUSEHOLDERQR_MKL_H
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#define EIGEN_COLPIVOTINGHOUSEHOLDERQR_MKL_H
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#include "Eigen/src/Core/util/MKL_support.h"
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/** \internal Specialization for the data types supported by MKL */
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#define EIGEN_MKL_QR_COLPIV(EIGTYPE, MKLTYPE, MKLPREFIX, EIGCOLROW, MKLCOLROW) \
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template<> \
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ColPivHouseholderQR<Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic> >& \
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ColPivHouseholderQR<Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic> >::compute( \
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const Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic>& matrix) \
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\
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{ \
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typedef Matrix<EIGTYPE, Dynamic, Dynamic, EIGCOLROW, Dynamic, Dynamic> MatrixType; \
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typedef MatrixType::Scalar Scalar; \
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typedef MatrixType::RealScalar RealScalar; \
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Index rows = matrix.rows();\
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Index cols = matrix.cols();\
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Index size = matrix.diagonalSize();\
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\
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m_qr = matrix;\
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m_hCoeffs.resize(size);\
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\
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m_colsTranspositions.resize(cols);\
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Index number_of_transpositions = 0;\
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\
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m_nonzero_pivots = 0; \
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m_maxpivot = RealScalar(0);\
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m_colsPermutation.resize(cols); \
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m_colsPermutation.indices().setZero(); \
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\
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lapack_int lda = m_qr.outerStride(), i; \
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lapack_int matrix_order = MKLCOLROW; \
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LAPACKE_##MKLPREFIX##geqp3( matrix_order, rows, cols, (MKLTYPE*)m_qr.data(), lda, (lapack_int*)m_colsPermutation.indices().data(), (MKLTYPE*)m_hCoeffs.data()); \
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m_isInitialized = true; \
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m_maxpivot=m_qr.diagonal().cwiseAbs().maxCoeff(); \
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m_hCoeffs.adjointInPlace(); \
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RealScalar premultiplied_threshold = internal::abs(m_maxpivot) * threshold(); \
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lapack_int *perm = m_colsPermutation.indices().data(); \
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for(i=0;i<size;i++) { \
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m_nonzero_pivots += (internal::abs(m_qr.coeff(i,i)) > premultiplied_threshold);\
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} \
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for(i=0;i<cols;i++) perm[i]--;\
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\
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/*m_det_pq = (number_of_transpositions%2) ? -1 : 1; // TODO: It's not needed now; fix upon availability in Eigen */ \
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\
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return *this; \
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};
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EIGEN_MKL_QR_COLPIV(double, double, d, ColMajor, LAPACK_COL_MAJOR)
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EIGEN_MKL_QR_COLPIV(float, float, s, ColMajor, LAPACK_COL_MAJOR)
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EIGEN_MKL_QR_COLPIV(dcomplex, MKL_Complex16, z, ColMajor, LAPACK_COL_MAJOR)
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EIGEN_MKL_QR_COLPIV(scomplex, MKL_Complex8, c, ColMajor, LAPACK_COL_MAJOR)
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EIGEN_MKL_QR_COLPIV(double, double, d, RowMajor, LAPACK_ROW_MAJOR)
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EIGEN_MKL_QR_COLPIV(float, float, s, RowMajor, LAPACK_ROW_MAJOR)
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EIGEN_MKL_QR_COLPIV(dcomplex, MKL_Complex16, z, RowMajor, LAPACK_ROW_MAJOR)
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EIGEN_MKL_QR_COLPIV(scomplex, MKL_Complex8, c, RowMajor, LAPACK_ROW_MAJOR)
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#endif // EIGEN_COLPIVOTINGHOUSEHOLDERQR_MKL_H
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65
Eigen/src/QR/HouseholderQR_MKL.h
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65
Eigen/src/QR/HouseholderQR_MKL.h
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@@ -0,0 +1,65 @@
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/*
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Copyright (c) 2011, Intel Corporation. All rights reserved.
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Redistribution and use in source and binary forms, with or without modification,
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are permitted provided that the following conditions are met:
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* Redistributions of source code must retain the above copyright notice, this
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list of conditions and the following disclaimer.
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* Redistributions in binary form must reproduce the above copyright notice,
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this list of conditions and the following disclaimer in the documentation
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and/or other materials provided with the distribution.
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* Neither the name of Intel Corporation nor the names of its contributors may
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be used to endorse or promote products derived from this software without
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specific prior written permission.
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THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
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ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
|
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WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
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DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
|
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ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
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(INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
|
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LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON
|
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ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
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SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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********************************************************************************
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* Content : Eigen bindings to Intel(R) MKL
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* Householder QR decomposition of a matrix w/o pivoting based on
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* LAPACKE_?geqrf function.
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********************************************************************************
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*/
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#ifndef EIGEN_QR_MKL_H
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#define EIGEN_QR_MKL_H
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#include "Eigen/src/Core/util/MKL_support.h"
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namespace internal {
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/** \internal Specialization for the data types supported by MKL */
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#define EIGEN_MKL_QR_NOPIV(EIGTYPE, MKLTYPE, MKLPREFIX) \
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template<typename MatrixQR, typename HCoeffs> \
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void householder_qr_inplace_blocked(MatrixQR& mat, HCoeffs& hCoeffs, \
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typename MatrixQR::Index maxBlockSize=32, \
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EIGTYPE* tempData = 0) \
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{ \
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lapack_int m = mat.rows(); \
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lapack_int n = mat.cols(); \
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lapack_int lda = mat.outerStride(); \
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lapack_int matrix_order = (MatrixQR::IsRowMajor) ? LAPACK_ROW_MAJOR : LAPACK_COL_MAJOR; \
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LAPACKE_##MKLPREFIX##geqrf( matrix_order, m, n, (MKLTYPE*)mat.data(), lda, (MKLTYPE*)hCoeffs.data()); \
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hCoeffs.adjointInPlace(); \
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\
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}
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EIGEN_MKL_QR_NOPIV(double, double, d)
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EIGEN_MKL_QR_NOPIV(float, float, s)
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EIGEN_MKL_QR_NOPIV(dcomplex, MKL_Complex16, z)
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EIGEN_MKL_QR_NOPIV(scomplex, MKL_Complex8, c)
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} // end namespace internal
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#endif // EIGEN_QR_MKL_H
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