#ifndef EIGEN_SPARSE_QR_H #define EIGEN_SPARSE_QR_H // This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2012-2013 Desire Nuentsa // Copyright (C) 2012-2013 Gael Guennebaud // // 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 http://mozilla.org/MPL/2.0/. namespace Eigen { template class SparseQR; template struct SparseQRMatrixQReturnType; template struct SparseQRMatrixQTransposeReturnType; template struct SparseQR_QProduct; namespace internal { template struct traits > { typedef typename SparseQRType::MatrixType ReturnType; }; template struct traits > { typedef typename SparseQRType::MatrixType ReturnType; }; template struct traits > { typedef typename Derived::PlainObject ReturnType; }; } // End namespace internal /** * \ingroup SparseQR_Module * \class SparseQR * \brief Sparse left-looking rank-revealing QR factorization * * This class is used to perform a left-looking rank-revealing QR decomposition * of sparse matrices. When a column has a norm less than a given tolerance * it is implicitly permuted to the end. The QR factorization thus obtained is * given by A*P = Q*R where R is upper triangular or trapezoidal. * * P is the column permutation which is the product of the fill-reducing and the * rank-revealing permutations. Use colsPermutation() to get it. * * Q is the orthogonal matrix represented as Householder reflectors. * Use matrixQ() to get an expression and matrixQ().transpose() to get the transpose. * You can then apply it to a vector. * * R is the sparse triangular or trapezoidal matrix. This occurs when A is rank-deficient. * matrixR().topLeftCorner(rank(), rank()) always returns a triangular factor of full rank. * * \tparam _MatrixType The type of the sparse matrix A, must be a column-major SparseMatrix<> * \tparam _OrderingType The fill-reducing ordering method. See the \link OrderingMethods_Module * OrderingMethods \endlink module for the list of built-in and external ordering methods. * * */ template class SparseQR { public: typedef _MatrixType MatrixType; typedef _OrderingType OrderingType; typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::RealScalar RealScalar; typedef typename MatrixType::Index Index; typedef SparseMatrix QRMatrixType; typedef Matrix IndexVector; typedef Matrix ScalarVector; typedef PermutationMatrix PermutationType; public: SparseQR () : m_isInitialized(false),m_analysisIsok(false),m_lastError(""),m_useDefaultThreshold(true) { } SparseQR(const MatrixType& mat) : m_isInitialized(false),m_analysisIsok(false),m_lastError(""),m_useDefaultThreshold(true) { compute(mat); } void compute(const MatrixType& mat) { analyzePattern(mat); factorize(mat); } void analyzePattern(const MatrixType& mat); void factorize(const MatrixType& mat); /** \returns the number of rows of the represented matrix. */ inline Index rows() const { return m_pmat.rows(); } /** \returns the number of columns of the represented matrix. */ inline Index cols() const { return m_pmat.cols();} /** \returns a const reference to the \b sparse upper triangular matrix R of the QR factorization. */ const /*SparseTriangularView*/MatrixType matrixR() const { return m_R; } /** \returns the number of columns in the R factor * \warning This is not the rank of the matrix. It is provided here only for compatibility */ Index rank() const { eigen_assert(m_isInitialized && "The factorization should be called first, use compute()"); return m_nonzeropivots; } /** \returns an expression of the matrix Q as products of sparse Householder reflectors. * You can do the following to get an actual SparseMatrix representation of Q: * \code * SparseMatrix Q = SparseQR >(A).matrixQ(); * \endcode */ SparseQRMatrixQReturnType matrixQ() const { return SparseQRMatrixQReturnType(*this); } /** \returns a const reference to the fill-in reducing permutation that was applied to the columns of A */ const PermutationType colsPermutation() const { eigen_assert(m_isInitialized && "Decomposition is not initialized."); return m_outputPerm_c; } /** * \returns A string describing the type of error */ std::string lastErrorMessage() const { return m_lastError; } /** \internal */ template bool _solve(const MatrixBase &B, MatrixBase &dest) const { eigen_assert(m_isInitialized && "The factorization should be called first, use compute()"); eigen_assert(this->rows() == B.rows() && "SparseQR::solve() : invalid number of rows in the right hand side matrix"); Index rank = this->rank(); // Compute Q^T * b; Dest y,b; y = this->matrixQ().transpose() * B; b = y; // Solve with the triangular matrix R y.topRows(rank) = this->matrixR().topLeftCorner(rank, rank).template triangularView().solve(b.topRows(rank)); y.bottomRows(y.size()-rank).setZero(); // Apply the column permutation if (m_perm_c.size()) dest.topRows(cols()) = colsPermutation() * y.topRows(cols()); else dest = y.topRows(cols()); m_info = Success; return true; } /** Set the threshold that is used to determine the rank and the null Householder * reflections. Precisely, if the norm of a householder reflection is below this * threshold, the entire column is treated as zero. */ void setThreshold(const RealScalar& threshold) { m_useDefaultThreshold = false; m_threshold = threshold; } /** \returns the solution X of \f$ A X = B \f$ using the current decomposition of A. * * \sa compute() */ template inline const internal::solve_retval solve(const MatrixBase& B) const { eigen_assert(m_isInitialized && "The factorization should be called first, use compute()"); eigen_assert(this->rows() == B.rows() && "SparseQR::solve() : invalid number of rows in the right hand side matrix"); return internal::solve_retval(*this, B.derived()); } /** \brief Reports whether previous computation was successful. * * \returns \c Success if computation was succesful, * \c NumericalIssue if the QR factorization reports a numerical problem * \c InvalidInput if the input matrix is invalid * * \sa iparm() */ ComputationInfo info() const { eigen_assert(m_isInitialized && "Decomposition is not initialized."); return m_info; } protected: bool m_isInitialized; bool m_analysisIsok; bool m_factorizationIsok; mutable ComputationInfo m_info; std::string m_lastError; QRMatrixType m_pmat; // Temporary matrix QRMatrixType m_R; // The triangular factor matrix QRMatrixType m_Q; // The orthogonal reflectors ScalarVector m_hcoeffs; // The Householder coefficients PermutationType m_perm_c; // Fill-reducing Column permutation PermutationType m_pivotperm; // The permutation for rank revealing PermutationType m_outputPerm_c; //The final column permutation RealScalar m_threshold; // Threshold to determine null Householder reflections bool m_useDefaultThreshold; // Use default threshold Index m_nonzeropivots; // Number of non zero pivots found IndexVector m_etree; // Column elimination tree IndexVector m_firstRowElt; // First element in each row template friend struct SparseQR_QProduct; }; /** \brief Preprocessing step of a QR factorization * * In this step, the fill-reducing permutation is computed and applied to the columns of A * and the column elimination tree is computed as well. Only the sparcity pattern of \a mat is exploited. * \note In this step it is assumed that there is no empty row in the matrix \a mat */ template void SparseQR::analyzePattern(const MatrixType& mat) { // Compute the column fill reducing ordering OrderingType ord; ord(mat, m_perm_c); Index n = mat.cols(); Index m = mat.rows(); if (!m_perm_c.size()) { m_perm_c.resize(n); m_perm_c.indices().setLinSpaced(n, 0,n-1); } // Compute the column elimination tree of the permuted matrix m_outputPerm_c = m_perm_c.inverse(); internal::coletree(mat, m_etree, m_firstRowElt, m_outputPerm_c.indices().data()); m_R.resize(n, n); m_Q.resize(m, n); // Allocate space for nonzero elements : rough estimation m_R.reserve(2*mat.nonZeros()); //FIXME Get a more accurate estimation through symbolic factorization with the etree m_Q.reserve(2*mat.nonZeros()); m_hcoeffs.resize(n); m_analysisIsok = true; } /** \brief Perform the numerical QR factorization of the input matrix * * The function SparseQR::analyzePattern(const MatrixType&) must have been called beforehand with * a matrix having the same sparcity pattern than \a mat. * * \param mat The sparse column-major matrix */ template void SparseQR::factorize(const MatrixType& mat) { eigen_assert(m_analysisIsok && "analyzePattern() should be called before this step"); Index m = mat.rows(); Index n = mat.cols(); IndexVector mark(m); mark.setConstant(-1); // Record the visited nodes IndexVector Ridx(n), Qidx(m); // Store temporarily the row indexes for the current column of R and Q Index nzcolR, nzcolQ; // Number of nonzero for the current column of R and Q ScalarVector tval(m); bool found_diag; m_pmat = mat; m_pmat.uncompress(); // To have the innerNonZeroPtr allocated for (int i = 0; i < n; i++) { Index p = m_perm_c.size() ? m_perm_c.indices()(i) : i; m_pmat.outerIndexPtr()[p] = mat.outerIndexPtr()[i]; m_pmat.innerNonZeroPtr()[p] = mat.outerIndexPtr()[i+1] - mat.outerIndexPtr()[i]; } // Compute the default threshold. if(m_useDefaultThreshold) { RealScalar infNorm = 0.0; for (int j = 0; j < n; j++) { //FIXME No support for mat.col(i).maxCoeff()) for(typename MatrixType::InnerIterator it(m_pmat, j); it; ++it) infNorm = (std::max)(infNorm, (std::abs)(it.value())); } m_threshold = 20 * (m + n) * infNorm *std::numeric_limits::epsilon(); } m_pivotperm.resize(n); m_pivotperm.indices().setLinSpaced(n, 0, n-1); // For rank-revealing // Left looking rank-revealing QR factorization : Compute a column of R and Q at a time Index rank = 0; // Record the number of valid pivots for (Index col = 0; col < n; col++) { mark.setConstant(-1); m_R.startVec(col); m_Q.startVec(col); mark(rank) = col; Qidx(0) = rank; nzcolR = 0; nzcolQ = 1; found_diag = false; tval.setZero(); // Symbolic factorization : Find the nonzero locations of the column k of the factors R and Q // i.e All the nodes (with indexes lower than rank) reachable through the col etree rooted at node k for (typename MatrixType::InnerIterator itp(m_pmat, col); itp || !found_diag; ++itp) { Index curIdx = rank ; if (itp) curIdx = itp.row(); if(curIdx == rank) found_diag = true; // Get the nonzeros indexes of the current column of R Index st = m_firstRowElt(curIdx); // The traversal of the etree starts here if (st < 0 ) { m_lastError = " Empty row found during Numerical factorization "; m_info = NumericalIssue; return; } // Traverse the etree Index bi = nzcolR; for (; mark(st) != col; st = m_etree(st)) { Ridx(nzcolR) = st; // Add this row to the list mark(st) = col; // Mark this row as visited nzcolR++; } // Reverse the list to get the topological ordering Index nt = nzcolR-bi; for(int i = 0; i < nt/2; i++) std::swap(Ridx(bi+i), Ridx(nzcolR-i-1)); // Copy the current (curIdx,pcol) value of the input mat if (itp) tval(curIdx) = itp.value(); else tval(curIdx) = Scalar(0.); // Compute the pattern of Q(:,k) if (curIdx > rank && mark(curIdx) != col ) { Qidx(nzcolQ) = curIdx; // Add this row to the pattern of Q mark(curIdx) = col; // And mark it as visited nzcolQ++; } } // Browse all the indexes of R(:,col) in reverse order for (Index i = nzcolR-1; i >= 0; i--) { Index curIdx = m_pivotperm.indices()(Ridx(i)); // Apply the householder vector to tval Scalar tdot(0.); //First compute q'*tval for (typename QRMatrixType::InnerIterator itq(m_Q, curIdx); itq; ++itq) { tdot += internal::conj(itq.value()) * tval(itq.row()); } tdot *= m_hcoeffs(curIdx); // Then compute tval = tval - q*tau for (typename QRMatrixType::InnerIterator itq(m_Q, curIdx); itq; ++itq) { tval(itq.row()) -= itq.value() * tdot; } // Detect fill-in for the current column of Q if((m_etree(Ridx(i)) == rank) ) { for (typename QRMatrixType::InnerIterator itq(m_Q, curIdx); itq; ++itq) { Index iQ = itq.row(); if (mark(iQ) != col) { Qidx(nzcolQ++) = iQ; // Add this row to the pattern of Q mark(iQ) = col; //And mark it as visited } } } } // End update current column // Compute the Householder reflection for the current column RealScalar sqrNorm =0.; Scalar tau; RealScalar beta; Scalar c0 = (nzcolQ) ? tval(Qidx(0)) : Scalar(0.); //First, the squared norm of Q((col+1):m, col) for (Index itq = 1; itq < nzcolQ; ++itq) { sqrNorm += internal::abs2(tval(Qidx(itq))); } if(sqrNorm == RealScalar(0) && internal::imag(c0) == RealScalar(0)) { tau = RealScalar(0); beta = internal::real(c0); tval(Qidx(0)) = 1; } else { beta = std::sqrt(internal::abs2(c0) + sqrNorm); if(internal::real(c0) >= RealScalar(0)) beta = -beta; tval(Qidx(0)) = 1; for (Index itq = 1; itq < nzcolQ; ++itq) tval(Qidx(itq)) /= (c0 - beta); tau = internal::conj((beta-c0) / beta); } // Insert values in R for (Index i = nzcolR-1; i >= 0; i--) { Index curIdx = Ridx(i); if(curIdx < rank) { m_R.insertBackByOuterInnerUnordered(col, curIdx) = tval(curIdx); tval(curIdx) = Scalar(0.); } } if(std::abs(beta) >= m_threshold) { m_R.insertBackByOuterInner(col, rank) = beta; rank++; // The householder coefficient m_hcoeffs(col) = tau; /* Record the householder reflections */ for (Index itq = 0; itq < nzcolQ; ++itq) { Index iQ = Qidx(itq); m_Q.insertBackByOuterInnerUnordered(col,iQ) = tval(iQ); tval(iQ) = Scalar(0.); } } else { // Zero pivot found : Move implicitly this column to the end m_hcoeffs(col) = Scalar(0); for (Index j = rank; j < n-1; j++) std::swap(m_pivotperm.indices()(j), m_pivotperm.indices()[j+1]); // Recompute the column elimination tree internal::coletree(m_pmat, m_etree, m_firstRowElt, m_pivotperm.indices().data()); } } // Finalize the column pointers of the sparse matrices R and Q m_Q.finalize(); m_Q.makeCompressed(); m_R.finalize();m_R.makeCompressed(); m_nonzeropivots = rank; // Permute the triangular factor to put the 'dead' columns to the end MatrixType tempR(m_R); m_R = tempR * m_pivotperm; // Compute the inverse permutation IndexVector iperm(n); for(int i = 0; i < n; i++) iperm(m_perm_c.indices()(i)) = i; // Update the column permutation m_outputPerm_c.resize(n); for (Index j = 0; j < n; j++) m_outputPerm_c.indices()(j) = iperm(m_pivotperm.indices()(j)); m_isInitialized = true; m_factorizationIsok = true; m_info = Success; } namespace internal { template struct solve_retval, Rhs> : solve_retval_base, Rhs> { typedef SparseQR<_MatrixType,OrderingType> Dec; EIGEN_MAKE_SOLVE_HELPERS(Dec,Rhs) template void evalTo(Dest& dst) const { dec()._solve(rhs(),dst); } }; } // end namespace internal template struct SparseQR_QProduct : ReturnByValue > { typedef typename SparseQRType::QRMatrixType MatrixType; typedef typename SparseQRType::Scalar Scalar; typedef typename SparseQRType::Index Index; // Get the references SparseQR_QProduct(const SparseQRType& qr, const Derived& other, bool transpose) : m_qr(qr),m_other(other),m_transpose(transpose) {} inline Index rows() const { return m_transpose ? m_qr.rows() : m_qr.cols(); } inline Index cols() const { return m_other.cols(); } // Assign to a vector template void evalTo(DesType& res) const { Index n = m_qr.cols(); if (m_transpose) { eigen_assert(m_qr.m_Q.rows() == m_other.rows() && "Non conforming object sizes"); // Compute res = Q' * other : res = m_other; for (Index k = 0; k < n; k++) { Scalar tau = Scalar(0); tau = m_qr.m_Q.col(k).dot(res); tau = tau * m_qr.m_hcoeffs(k); for (typename MatrixType::InnerIterator itq(m_qr.m_Q, k); itq; ++itq) { res(itq.row()) -= itq.value() * tau; } } } else { eigen_assert(m_qr.m_Q.cols() == m_other.rows() && "Non conforming object sizes"); // Compute res = Q * other : res = m_other; for (Index k = n-1; k >=0; k--) { Scalar tau = Scalar(0); tau = m_qr.m_Q.col(k).dot(res); tau = tau * m_qr.m_hcoeffs(k); res -= tau * m_qr.m_Q.col(k); } } } const SparseQRType& m_qr; const Derived& m_other; bool m_transpose; }; template struct SparseQRMatrixQReturnType { SparseQRMatrixQReturnType(const SparseQRType& qr) : m_qr(qr) {} template SparseQR_QProduct operator*(const MatrixBase& other) { return SparseQR_QProduct(m_qr,other.derived(),false); } SparseQRMatrixQTransposeReturnType adjoint() const { return SparseQRMatrixQTransposeReturnType(m_qr); } // To use for operations with the transpose of Q SparseQRMatrixQTransposeReturnType transpose() const { return SparseQRMatrixQTransposeReturnType(m_qr); } const SparseQRType& m_qr; }; template struct SparseQRMatrixQTransposeReturnType { SparseQRMatrixQTransposeReturnType(const SparseQRType& qr) : m_qr(qr) {} template SparseQR_QProduct operator*(const MatrixBase& other) { return SparseQR_QProduct(m_qr,other.derived(), true); } const SparseQRType& m_qr; }; } // end namespace Eigen #endif