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Add Sparse Subset of Matrix Inverse

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This commit is contained in:
Julian Kent
2022-07-28 18:04:35 +00:00
committed by Rasmus Munk Larsen
parent 34780d8bd1
commit 69714ff613
4 changed files with 329 additions and 0 deletions
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45
unsupported/test/sparse_extra.cpp
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@@ -164,6 +164,49 @@ void check_marketio_dense()
VERIFY_IS_EQUAL(m1,m2);
}
template <typename Scalar>
void check_sparse_inverse() {
typedef SparseMatrix<Scalar> MatrixType;
typedef SparseMatrix<Scalar, RowMajor> RowMatrixType;
Matrix<Scalar, -1, -1> A;
A.resize(1000, 1000);
A.fill(0);
A.setIdentity();
A.col(0).array() += 1;
A.row(0).array() += 2;
A.col(2).array() += 3;
A.row(7).array() += 3;
A.col(9).array() += 3;
A.block(3, 4, 4, 2).array() += 9;
A.middleRows(10, 50).array() += 3;
A.middleCols(50, 50).array() += 40;
A.block(500, 300, 40, 20).array() += 10;
A.transposeInPlace();
Eigen::SparseLU<MatrixType> slu;
slu.compute(A.sparseView());
Matrix<Scalar, -1, -1> Id(A.rows(), A.cols());
Id.setIdentity();
Matrix<Scalar, -1, -1> inv = slu.solve(Id);
const MatrixType sparseInv = Eigen::SparseInverse<Scalar>().compute(A.sparseView()).inverse();
Scalar sumdiff = 0; // Check the diff only of the non-zero elements
for (Eigen::Index j = 0; j < A.cols(); j++) {
for (typename MatrixType::InnerIterator iter(sparseInv, j); iter; ++iter) {
const Scalar diff = std::abs(inv(iter.row(), iter.col()) - iter.value());
VERIFY_IS_APPROX_OR_LESS_THAN(diff, 1e-11);
if (iter.value() != 0) {
sumdiff += diff;
}
}
}
VERIFY_IS_APPROX_OR_LESS_THAN(sumdiff, 1e-10);
}
EIGEN_DECLARE_TEST(sparse_extra)
{
for(int i = 0; i < g_repeat; i++) {
@@ -200,6 +243,8 @@ EIGEN_DECLARE_TEST(sparse_extra)
CALL_SUBTEST_5( (check_marketio_vector<Matrix<std::complex<float>,Dynamic,1> >()) );
CALL_SUBTEST_5( (check_marketio_vector<Matrix<std::complex<double>,Dynamic,1> >()) );
CALL_SUBTEST_6((check_sparse_inverse<double>()));
TEST_SET_BUT_UNUSED_VARIABLE(s);
}
}