// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2012 Desire Nuentsa // // 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/. #ifndef EIGEN_SUITESPARSEQRSUPPORT_H #define EIGEN_SUITESPARSEQRSUPPORT_H namespace Eigen { template class SPQR; template struct SPQRMatrixQReturnType; template struct SPQRMatrixQTransposeReturnType; template struct SPQR_QProduct; namespace internal { template struct traits > { typedef typename SPQRType::MatrixType ReturnType; }; template struct traits > { typedef typename SPQRType::MatrixType ReturnType; }; template struct traits > { typedef typename Derived::PlainObject ReturnType; }; } // End namespace internal /** * \ingroup SPQRSupport_Module * \class SPQR * \brief Sparse QR factorization based on SuiteSparseQR library * * This class is used to perform a multithreaded and multifrontal QR decomposition * of sparse matrices. The result is then used to solve linear leasts_square systems. * Clearly, a QR factorization is returned such that A*P = Q*R where : * * P is the column permutation. 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 factor. Use matrixQR() to get it as SparseMatrix. * NOTE : The Index type of R is always UF_long. You can get it with SPQR::Index * * \tparam _MatrixType The type of the sparse matrix A, must be a SparseMatrix<>, either row-major or column-major. * NOTE * */ template class SPQR { public: typedef typename _MatrixType::Scalar Scalar; typedef typename _MatrixType::RealScalar RealScalar; typedef UF_long Index ; typedef SparseMatrix MatrixType; public: SPQR() : m_ordering(SPQR_ORDERING_DEFAULT), m_allow_tol(SPQR_DEFAULT_TOL), m_tolerance (NumTraits::epsilon()) { cholmod_l_start(&m_cc); } SPQR(const _MatrixType& matrix) : SPQR() { compute(matrix); } ~SPQR() { // Calls SuiteSparseQR_free() cholmod_free_sparse(&m_H, &m_cc); cholmod_free_dense(&m_HTau, &m_cc); delete[] m_E; delete[] m_HPinv; } void compute(const MatrixType& matrix) { MatrixType mat(matrix); cholmod_sparse A; A = viewAsCholmod(mat); Index col = matrix.cols(); m_rank = SuiteSparseQR(m_ordering, m_tolerance, col, &A, &m_cR, &m_E, &m_H, &m_HPinv, &m_HTau, &m_cc); if (!m_cR) { m_info = NumericalIssue; m_isInitialized = false; return; } m_info = Success; m_isInitialized = true; } template void _solve(const MatrixBase &b, MatrixBase &dest) const { eigen_assert(m_isInitialized && " The QR factorization should be computed first, call compute()"); eigen_assert(b.cols()==1 && "This method is for vectors only"); //Compute Q^T * b // NOTE : We may have called directly the corresponding routines in SPQR codes. // This version is used to test directly the corresponding part of the code dest = matrixQ().transpose() * b; // Solves with the triangular matrix R Dest y; y = this->matrixQR().template triangularView().solve(dest.derived()); // Apply the column permutation //TODO Check the terminology behind the permutation for (int j = 0; j < y.size(); j++) dest(m_E[j]) = y(j); m_info = Success; } /// Get the sparse triangular matrix R. It is a sparse matrix MatrixType matrixQR() const { MatrixType R; R = viewAsEigen(*m_cR); return R; } /// Get an expression of the matrix Q SPQRMatrixQReturnType matrixQ() const { return SPQRMatrixQReturnType(*this); } /// Get the permutation that was applied to columns of A Index *colsPermutation() { return m_E; } /// Set the fill-reducing ordering method to be used void setOrdering(int ord) { m_ordering = ord;} /// Set the tolerance tol to treat columns with 2-norm < =tol as zero void setTolerance(RealScalar tol) { m_tolerance = tol; } /// Return a pointer to SPQR workspace cholmod_common *cc() const { return &m_cc; } cholmod_sparse * H() const { return m_H; } Index *HPinv() const { return m_HPinv; } cholmod_dense* HTau() const { return m_HTau; } /** \brief Reports whether previous computation was successful. * * \returns \c Success if computation was succesful, * \c NumericalIssue if the sparse QR can not be computed */ 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; int m_ordering; // Ordering method to use, see SPQR's manual int m_allow_tol; // Allow to use some tolerance during numerical factorization. RealScalar m_tolerance; // treat columns with 2-norm below this tolerance as zero mutable cholmod_sparse *m_cR; // The sparse R factor in cholmod format mutable Index *m_E; // The permutation applied to columns mutable cholmod_sparse *m_H; //The householder vectors mutable Index *m_HPinv; // The row permutation of H mutable cholmod_dense *m_HTau; // The Householder coefficients mutable Index m_rank; // The rank of the matrix mutable cholmod_common m_cc; // Workspace and parameters }; template struct SPQR_QProduct : ReturnByValue > { typedef typename SPQRType::Scalar Scalar; //Define the constructor to get reference to argument types SPQR_QProduct(const SPQRType& spqr, const Derived& other, bool transpose) : m_spqr(spqr),m_other(other),m_transpose(transpose) {} // Assign to a vector template void evalTo(ResType& res) const { cholmod_dense y_cd; cholmod_dense *x_cd; int method = m_transpose ? SPQR_QTX : SPQR_QX; cholmod_common *cc = m_spqr.cc(); y_cd = viewAsCholmod(m_other.const_cast_derived()); x_cd = SuiteSparseQR_qmult(method, m_spqr.H(), m_spqr.HTau(), m_spqr.HPinv(), &y_cd, cc); res = Matrix::Map(reinterpret_cast(x_cd->x), x_cd->nrow, x_cd->ncol); cholmod_free_dense(&x_cd, cc); } const SPQRType& m_spqr; const Derived& m_other; bool m_transpose; }; template struct SPQRMatrixQReturnType{ SPQRMatrixQReturnType(const SPQRType& spqr) : m_spqr(spqr) {} template SPQR_QProduct operator*(const MatrixBase& other) { return SPQR_QProduct(m_spqr,other.derived(),false); } // To use for operations with the transpose of Q SPQRMatrixQTransposeReturnType transpose() const { return SPQRMatrixQTransposeReturnType(m_spqr); } const SPQRType& m_spqr; }; template struct SPQRMatrixQTransposeReturnType{ SPQRMatrixQTransposeReturnType(const SPQRType& spqr) : m_spqr(spqr) {} template SPQR_QProduct operator*(const MatrixBase& other) { return SPQR_QProduct(m_spqr,other.derived(), true); } const SPQRType& m_spqr; }; }// End namespace Eigen #endif