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Implement wrapper for matrix-free iterative solvers

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This commit is contained in:
Gael Guennebaud
2015-12-07 12:23:22 +01:00
parent f4ca8ad917
commit b37036afce
10 changed files with 189 additions and 51 deletions
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16
unsupported/Eigen/src/IterativeSolvers/DGMRES.h
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@@ -40,7 +40,6 @@ void sortWithPermutation (VectorType& vec, IndexType& perm, typename IndexType::
{
eigen_assert(vec.size() == perm.size());
typedef typename IndexType::Scalar Index;
typedef typename VectorType::Scalar Scalar;
bool flag;
for (Index k = 0; k < ncut; k++)
{
@@ -101,7 +100,7 @@ template< typename _MatrixType, typename _Preconditioner>
class DGMRES : public IterativeSolverBase<DGMRES<_MatrixType,_Preconditioner> >
{
typedef IterativeSolverBase<DGMRES> Base;
using Base::mp_matrix;
using Base::matrix;
using Base::m_error;
using Base::m_iterations;
using Base::m_info;
@@ -112,6 +111,7 @@ class DGMRES : public IterativeSolverBase<DGMRES<_MatrixType,_Preconditioner> >
typedef _MatrixType MatrixType;
typedef typename MatrixType::Scalar Scalar;
typedef typename MatrixType::Index Index;
typedef typename MatrixType::StorageIndex StorageIndex;
typedef typename MatrixType::RealScalar RealScalar;
typedef _Preconditioner Preconditioner;
typedef Matrix<Scalar,Dynamic,Dynamic> DenseMatrix;
@@ -150,7 +150,7 @@ class DGMRES : public IterativeSolverBase<DGMRES<_MatrixType,_Preconditioner> >
m_error = Base::m_tolerance;
typename Dest::ColXpr xj(x,j);
dgmres(mp_matrix, b.col(j), xj, Base::m_preconditioner);
dgmres(matrix(), b.col(j), xj, Base::m_preconditioner);
}
m_info = failed ? NumericalIssue
: m_error <= Base::m_tolerance ? Success
@@ -202,7 +202,7 @@ class DGMRES : public IterativeSolverBase<DGMRES<_MatrixType,_Preconditioner> >
template<typename Dest>
int dgmresCycle(const MatrixType& mat, const Preconditioner& precond, Dest& x, DenseVector& r0, RealScalar& beta, const RealScalar& normRhs, int& nbIts) const;
// Compute data to use for deflation
int dgmresComputeDeflationData(const MatrixType& mat, const Preconditioner& precond, const Index& it, Index& neig) const;
int dgmresComputeDeflationData(const MatrixType& mat, const Preconditioner& precond, const Index& it, StorageIndex& neig) const;
// Apply deflation to a vector
template<typename RhsType, typename DestType>
int dgmresApplyDeflation(const RhsType& In, DestType& Out) const;
@@ -218,7 +218,7 @@ class DGMRES : public IterativeSolverBase<DGMRES<_MatrixType,_Preconditioner> >
mutable DenseMatrix m_MU; // matrix operator applied to m_U (for next cycles)
mutable DenseMatrix m_T; /* T=U^T*M^{-1}*A*U */
mutable PartialPivLU<DenseMatrix> m_luT; // LU factorization of m_T
mutable int m_neig; //Number of eigenvalues to extract at each restart
mutable StorageIndex m_neig; //Number of eigenvalues to extract at each restart
mutable int m_r; // Current number of deflated eigenvalues, size of m_U
mutable int m_maxNeig; // Maximum number of eigenvalues to deflate
mutable RealScalar m_lambdaN; //Modulus of the largest eigenvalue of A
@@ -338,7 +338,7 @@ int DGMRES<_MatrixType, _Preconditioner>::dgmresCycle(const MatrixType& mat, con
beta = std::abs(g(it+1));
m_error = beta/normRhs;
std::cerr << nbIts << " Relative Residual Norm " << m_error << std::endl;
// std::cerr << nbIts << " Relative Residual Norm " << m_error << std::endl;
it++; nbIts++;
if (m_error < m_tolerance)
@@ -416,7 +416,7 @@ inline typename DGMRES<_MatrixType, _Preconditioner>::ComplexVector DGMRES<_Matr
}
template< typename _MatrixType, typename _Preconditioner>
int DGMRES<_MatrixType, _Preconditioner>::dgmresComputeDeflationData(const MatrixType& mat, const Preconditioner& precond, const Index& it, Index& neig) const
int DGMRES<_MatrixType, _Preconditioner>::dgmresComputeDeflationData(const MatrixType& mat, const Preconditioner& precond, const Index& it, StorageIndex& neig) const
{
// First, find the Schur form of the Hessenberg matrix H
typename internal::conditional<NumTraits<Scalar>::IsComplex, ComplexSchur<DenseMatrix>, RealSchur<DenseMatrix> >::type schurofH;
@@ -426,7 +426,7 @@ int DGMRES<_MatrixType, _Preconditioner>::dgmresComputeDeflationData(const Matri
schurofH.computeFromHessenberg(m_Hes.topLeftCorner(it,it), matrixQ, computeU);
ComplexVector eig(it);
Matrix<Index,Dynamic,1>perm(it);
Matrix<StorageIndex,Dynamic,1>perm(it);
eig = this->schurValues(schurofH);
// Reorder the absolute values of Schur values

4
unsupported/Eigen/src/IterativeSolvers/GMRES.h
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@@ -257,7 +257,7 @@ template< typename _MatrixType, typename _Preconditioner>
class GMRES : public IterativeSolverBase<GMRES<_MatrixType,_Preconditioner> >
{
typedef IterativeSolverBase<GMRES> Base;
using Base::mp_matrix;
using Base::matrix;
using Base::m_error;
using Base::m_iterations;
using Base::m_info;
@@ -313,7 +313,7 @@ public:
m_error = Base::m_tolerance;
typename Dest::ColXpr xj(x,j);
if(!internal::gmres(mp_matrix, b.col(j), xj, Base::m_preconditioner, m_iterations, m_restart, m_error))
if(!internal::gmres(matrix(), b.col(j), xj, Base::m_preconditioner, m_iterations, m_restart, m_error))
failed = true;
}
m_info = failed ? NumericalIssue

24
unsupported/Eigen/src/IterativeSolvers/MINRES.h
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@@ -198,7 +198,7 @@ namespace Eigen {
{
typedef IterativeSolverBase<MINRES> Base;
using Base::mp_matrix;
using Base::matrix;
using Base::m_error;
using Base::m_iterations;
using Base::m_info;
@@ -237,21 +237,31 @@ namespace Eigen {
template<typename Rhs,typename Dest>
void _solve_with_guess_impl(const Rhs& b, Dest& x) const
{
typedef typename Base::MatrixWrapper MatrixWrapper;
typedef typename Base::ActualMatrixType ActualMatrixType;
enum {
TransposeInput = (!MatrixWrapper::MatrixFree)
&& (UpLo==(Lower|Upper))
&& (!MatrixType::IsRowMajor)
&& (!NumTraits<Scalar>::IsComplex)
};
typedef typename internal::conditional<TransposeInput,Transpose<const ActualMatrixType>, ActualMatrixType const&>::type RowMajorWrapper;
EIGEN_STATIC_ASSERT(EIGEN_IMPLIES(MatrixWrapper::MatrixFree,UpLo==(Lower|Upper)),MATRIX_FREE_CONJUGATE_GRADIENT_IS_COMPATIBLE_WITH_UPPER_UNION_LOWER_MODE_ONLY);
typedef typename internal::conditional<UpLo==(Lower|Upper),
Ref<const MatrixType>&,
SparseSelfAdjointView<const Ref<const MatrixType>, UpLo>
>::type MatrixWrapperType;
RowMajorWrapper,
typename MatrixWrapper::template ConstSelfAdjointViewReturnType<UpLo>::Type
>::type SelfAdjointWrapper;
m_iterations = Base::maxIterations();
m_error = Base::m_tolerance;
RowMajorWrapper row_mat(matrix());
for(int j=0; j<b.cols(); ++j)
{
m_iterations = Base::maxIterations();
m_error = Base::m_tolerance;
typename Dest::ColXpr xj(x,j);
internal::minres(MatrixWrapperType(mp_matrix), b.col(j), xj,
internal::minres(SelfAdjointWrapper(row_mat), b.col(j), xj,
Base::m_preconditioner, m_iterations, m_error);
}