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PR 567: makes all dense solvers inherit SoverBase (LU,Cholesky,QR,SVD).

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This changeset also includes:
 * add HouseholderSequence::conjugateIf
 * define int as the StorageIndex type for all dense solvers
 * dedicated unit tests, including assertion checking
 * _check_solve_assertion(): this method can be implemented in derived solver classes to implement custom checks
 * CompleteOrthogonalDecompositions: add applyZOnTheLeftInPlace, fix scalar type in applyZAdjointOnTheLeftInPlace(), add missing assertions
 * Cholesky: add missing assertions
 * FullPivHouseholderQR: Corrected Scalar type in _solve_impl()
 * BDCSVD: Unambiguous return type for ternary operator
 * SVDBase: Corrected Scalar type in _solve_impl()
This commit is contained in:
Patrick Peltzer
2019-01-17 01:17:39 +01:00
parent 7f32109c11
commit 15e53d5d93
23 changed files with 576 additions and 239 deletions
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56
Eigen/src/Cholesky/LDLT.h
View File

@@ -16,6 +16,15 @@
namespace Eigen {
namespace internal {
template<typename _MatrixType, int _UpLo> struct traits<LDLT<_MatrixType, _UpLo> >
: traits<_MatrixType>
{
typedef MatrixXpr XprKind;
typedef SolverStorage StorageKind;
typedef int StorageIndex;
enum { Flags = 0 };
};
template<typename MatrixType, int UpLo> struct LDLT_Traits;
// PositiveSemiDef means positive semi-definite and non-zero; same for NegativeSemiDef
@@ -48,20 +57,19 @@ namespace internal {
* \sa MatrixBase::ldlt(), SelfAdjointView::ldlt(), class LLT
*/
template<typename _MatrixType, int _UpLo> class LDLT
: public SolverBase<LDLT<_MatrixType, _UpLo> >
{
public:
typedef _MatrixType MatrixType;
typedef SolverBase<LDLT> Base;
friend class SolverBase<LDLT>;
EIGEN_GENERIC_PUBLIC_INTERFACE(LDLT)
enum {
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
ColsAtCompileTime = MatrixType::ColsAtCompileTime,
MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
UpLo = _UpLo
};
typedef typename MatrixType::Scalar Scalar;
typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3
typedef typename MatrixType::StorageIndex StorageIndex;
typedef Matrix<Scalar, RowsAtCompileTime, 1, 0, MaxRowsAtCompileTime, 1> TmpMatrixType;
typedef Transpositions<RowsAtCompileTime, MaxRowsAtCompileTime> TranspositionType;
@@ -180,6 +188,7 @@ template<typename _MatrixType, int _UpLo> class LDLT
return m_sign == internal::NegativeSemiDef || m_sign == internal::ZeroSign;
}
#ifdef EIGEN_PARSED_BY_DOXYGEN
/** \returns a solution x of \f$ A x = b \f$ using the current decomposition of A.
*
* This function also supports in-place solves using the syntax <tt>x = decompositionObject.solve(x)</tt> .
@@ -197,13 +206,8 @@ template<typename _MatrixType, int _UpLo> class LDLT
*/
template<typename Rhs>
inline const Solve<LDLT, Rhs>
solve(const MatrixBase<Rhs>& b) const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
eigen_assert(m_matrix.rows()==b.rows()
&& "LDLT::solve(): invalid number of rows of the right hand side matrix b");
return Solve<LDLT, Rhs>(*this, b.derived());
}
solve(const MatrixBase<Rhs>& b) const;
#endif
template<typename Derived>
bool solveInPlace(MatrixBase<Derived> &bAndX) const;
@@ -259,6 +263,9 @@ template<typename _MatrixType, int _UpLo> class LDLT
#ifndef EIGEN_PARSED_BY_DOXYGEN
template<typename RhsType, typename DstType>
void _solve_impl(const RhsType &rhs, DstType &dst) const;
template<bool Conjugate, typename RhsType, typename DstType>
void _solve_impl_transposed(const RhsType &rhs, DstType &dst) const;
#endif
protected:
@@ -559,14 +566,22 @@ template<typename _MatrixType, int _UpLo>
template<typename RhsType, typename DstType>
void LDLT<_MatrixType,_UpLo>::_solve_impl(const RhsType &rhs, DstType &dst) const
{
eigen_assert(rhs.rows() == rows());
_solve_impl_transposed<true>(rhs, dst);
}
template<typename _MatrixType,int _UpLo>
template<bool Conjugate, typename RhsType, typename DstType>
void LDLT<_MatrixType,_UpLo>::_solve_impl_transposed(const RhsType &rhs, DstType &dst) const
{
// dst = P b
dst = m_transpositions * rhs;
// dst = L^-1 (P b)
matrixL().solveInPlace(dst);
// dst = L^-*T (P b)
matrixL().template conjugateIf<!Conjugate>().solveInPlace(dst);
// dst = D^-1 (L^-1 P b)
// dst = D^-* (L^-1 P b)
// dst = D^-1 (L^-*T P b)
// more precisely, use pseudo-inverse of D (see bug 241)
using std::abs;
const typename Diagonal<const MatrixType>::RealReturnType vecD(vectorD());
@@ -578,7 +593,6 @@ void LDLT<_MatrixType,_UpLo>::_solve_impl(const RhsType &rhs, DstType &dst) cons
// Moreover, Lapack's xSYTRS routines use 0 for the tolerance.
// Using numeric_limits::min() gives us more robustness to denormals.
RealScalar tolerance = (std::numeric_limits<RealScalar>::min)();
for (Index i = 0; i < vecD.size(); ++i)
{
if(abs(vecD(i)) > tolerance)
@@ -587,10 +601,12 @@ void LDLT<_MatrixType,_UpLo>::_solve_impl(const RhsType &rhs, DstType &dst) cons
dst.row(i).setZero();
}
// dst = L^-T (D^-1 L^-1 P b)
matrixU().solveInPlace(dst);
// dst = L^-* (D^-* L^-1 P b)
// dst = L^-T (D^-1 L^-*T P b)
matrixL().transpose().template conjugateIf<Conjugate>().solveInPlace(dst);
// dst = P^-1 (L^-T D^-1 L^-1 P b) = A^-1 b
// dst = P^T (L^-* D^-* L^-1 P b) = A^-1 b
// dst = P^-T (L^-T D^-1 L^-*T P b) = A^-1 b
dst = m_transpositions.transpose() * dst;
}
#endif

47
Eigen/src/Cholesky/LLT.h
View File

@@ -13,6 +13,16 @@
namespace Eigen {
namespace internal{
template<typename _MatrixType, int _UpLo> struct traits<LLT<_MatrixType, _UpLo> >
: traits<_MatrixType>
{
typedef MatrixXpr XprKind;
typedef SolverStorage StorageKind;
typedef int StorageIndex;
enum { Flags = 0 };
};
template<typename MatrixType, int UpLo> struct LLT_Traits;
}
@@ -54,18 +64,17 @@ template<typename MatrixType, int UpLo> struct LLT_Traits;
* \sa MatrixBase::llt(), SelfAdjointView::llt(), class LDLT
*/
template<typename _MatrixType, int _UpLo> class LLT
: public SolverBase<LLT<_MatrixType, _UpLo> >
{
public:
typedef _MatrixType MatrixType;
typedef SolverBase<LLT> Base;
friend class SolverBase<LLT>;
EIGEN_GENERIC_PUBLIC_INTERFACE(LLT)
enum {
RowsAtCompileTime = MatrixType::RowsAtCompileTime,
ColsAtCompileTime = MatrixType::ColsAtCompileTime,
MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
};
typedef typename MatrixType::Scalar Scalar;
typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar;
typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3
typedef typename MatrixType::StorageIndex StorageIndex;
enum {
PacketSize = internal::packet_traits<Scalar>::size,
@@ -129,6 +138,7 @@ template<typename _MatrixType, int _UpLo> class LLT
return Traits::getL(m_matrix);
}
#ifdef EIGEN_PARSED_BY_DOXYGEN
/** \returns the solution x of \f$ A x = b \f$ using the current decomposition of A.
*
* Since this LLT class assumes anyway that the matrix A is invertible, the solution
@@ -141,13 +151,8 @@ template<typename _MatrixType, int _UpLo> class LLT
*/
template<typename Rhs>
inline const Solve<LLT, Rhs>
solve(const MatrixBase<Rhs>& b) const
{
eigen_assert(m_isInitialized && "LLT is not initialized.");
eigen_assert(m_matrix.rows()==b.rows()
&& "LLT::solve(): invalid number of rows of the right hand side matrix b");
return Solve<LLT, Rhs>(*this, b.derived());
}
solve(const MatrixBase<Rhs>& b) const;
#endif
template<typename Derived>
void solveInPlace(const MatrixBase<Derived> &bAndX) const;
@@ -205,6 +210,9 @@ template<typename _MatrixType, int _UpLo> class LLT
#ifndef EIGEN_PARSED_BY_DOXYGEN
template<typename RhsType, typename DstType>
void _solve_impl(const RhsType &rhs, DstType &dst) const;
template<bool Conjugate, typename RhsType, typename DstType>
void _solve_impl_transposed(const RhsType &rhs, DstType &dst) const;
#endif
protected:
@@ -476,8 +484,17 @@ template<typename _MatrixType,int _UpLo>
template<typename RhsType, typename DstType>
void LLT<_MatrixType,_UpLo>::_solve_impl(const RhsType &rhs, DstType &dst) const
{
dst = rhs;
solveInPlace(dst);
_solve_impl_transposed<true>(rhs, dst);
}
template<typename _MatrixType,int _UpLo>
template<bool Conjugate, typename RhsType, typename DstType>
void LLT<_MatrixType,_UpLo>::_solve_impl_transposed(const RhsType &rhs, DstType &dst) const
{
dst = rhs;
matrixL().template conjugateIf<!Conjugate>().solveInPlace(dst);
matrixU().template conjugateIf<!Conjugate>().solveInPlace(dst);
}
#endif