// This file is part of Eigen, a lightweight C++ template library // for linear algebra. // // Copyright (C) 2012 Désiré Nuentsa-Wakam // Copyright (C) 2012-2014 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/. #ifndef EIGEN_SPARSE_LU_H #define EIGEN_SPARSE_LU_H namespace Eigen { template > class SparseLU; template struct SparseLUMatrixLReturnType; template struct SparseLUMatrixUReturnType; /** \ingroup SparseLU_Module * \class SparseLU * * \brief Sparse supernodal LU factorization for general matrices * * This class implements the supernodal LU factorization for general matrices. * It uses the main techniques from the sequential SuperLU package * (http://crd-legacy.lbl.gov/~xiaoye/SuperLU/). It handles transparently real * and complex arithmetics with single and double precision, depending on the * scalar type of your input matrix. * The code has been optimized to provide BLAS-3 operations during supernode-panel updates. * It benefits directly from the built-in high-performant Eigen BLAS routines. * Moreover, when the size of a supernode is very small, the BLAS calls are avoided to * enable a better optimization from the compiler. For best performance, * you should compile it with NDEBUG flag to avoid the numerous bounds checking on vectors. * * An important parameter of this class is the ordering method. It is used to reorder the columns * (and eventually the rows) of the matrix to reduce the number of new elements that are created during * numerical factorization. The cheapest method available is COLAMD. * See \link OrderingMethods_Module the OrderingMethods module \endlink for the list of * built-in and external ordering methods. * * Simple example with key steps * \code * VectorXd x(n), b(n); * SparseMatrix A; * SparseLU, COLAMDOrdering > solver; * // fill A and b; * // Compute the ordering permutation vector from the structural pattern of A * solver.analyzePattern(A); * // Compute the numerical factorization * solver.factorize(A); * //Use the factors to solve the linear system * x = solver.solve(b); * \endcode * * \warning The input matrix A should be in a \b compressed and \b column-major form. * Otherwise an expensive copy will be made. You can call the inexpensive makeCompressed() to get a compressed matrix. * * \note Unlike the initial SuperLU implementation, there is no step to equilibrate the matrix. * For badly scaled matrices, this step can be useful to reduce the pivoting during factorization. * If this is the case for your matrices, you can try the basic scaling method at * "unsupported/Eigen/src/IterativeSolvers/Scaling.h" * * \tparam _MatrixType The type of the sparse matrix. It must be a column-major SparseMatrix<> * \tparam _OrderingType The ordering method to use, either AMD, COLAMD or METIS. Default is COLMAD * * \implsparsesolverconcept * * \sa \ref TutorialSparseSolverConcept * \sa \ref OrderingMethods_Module */ template class SparseLU : public SparseSolverBase >, public internal::SparseLUImpl { protected: typedef SparseSolverBase > APIBase; using APIBase::m_isInitialized; public: using APIBase::_solve_impl; typedef _MatrixType MatrixType; typedef _OrderingType OrderingType; typedef typename MatrixType::Scalar Scalar; typedef typename MatrixType::RealScalar RealScalar; typedef typename MatrixType::StorageIndex StorageIndex; typedef SparseMatrix NCMatrix; typedef internal::MappedSuperNodalMatrix SCMatrix; typedef Matrix ScalarVector; typedef Matrix IndexVector; typedef PermutationMatrix PermutationType; typedef internal::SparseLUImpl Base; enum { ColsAtCompileTime = MatrixType::ColsAtCompileTime, MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime }; public: SparseLU():m_lastError(""),m_Ustore(0,0,0,0,0,0),m_symmetricmode(false),m_diagpivotthresh(1.0),m_detPermR(1) { initperfvalues(); } explicit SparseLU(const MatrixType& matrix) : m_lastError(""),m_Ustore(0,0,0,0,0,0),m_symmetricmode(false),m_diagpivotthresh(1.0),m_detPermR(1) { initperfvalues(); compute(matrix); } ~SparseLU() { // Free all explicit dynamic pointers } void analyzePattern (const MatrixType& matrix); void factorize (const MatrixType& matrix); void simplicialfactorize(const MatrixType& matrix); /** * Compute the symbolic and numeric factorization of the input sparse matrix. * The input matrix should be in column-major storage. */ void compute (const MatrixType& matrix) { // Analyze analyzePattern(matrix); //Factorize factorize(matrix); } inline Index rows() const { return m_mat.rows(); } inline Index cols() const { return m_mat.cols(); } /** Indicate that the pattern of the input matrix is symmetric */ void isSymmetric(bool sym) { m_symmetricmode = sym; } /** \returns an expression of the matrix L, internally stored as supernodes * The only operation available with this expression is the triangular solve * \code * y = b; matrixL().solveInPlace(y); * \endcode */ SparseLUMatrixLReturnType matrixL() const { return SparseLUMatrixLReturnType(m_Lstore); } /** \returns an expression of the matrix U, * The only operation available with this expression is the triangular solve * \code * y = b; matrixU().solveInPlace(y); * \endcode */ SparseLUMatrixUReturnType > matrixU() const { return SparseLUMatrixUReturnType >(m_Lstore, m_Ustore); } /** * \returns a reference to the row matrix permutation \f$ P_r \f$ such that \f$P_r A P_c^T = L U\f$ * \sa colsPermutation() */ inline const PermutationType& rowsPermutation() const { return m_perm_r; } /** * \returns a reference to the column matrix permutation\f$ P_c^T \f$ such that \f$P_r A P_c^T = L U\f$ * \sa rowsPermutation() */ inline const PermutationType& colsPermutation() const { return m_perm_c; } /** Set the threshold used for a diagonal entry to be an acceptable pivot. */ void setPivotThreshold(const RealScalar& thresh) { m_diagpivotthresh = thresh; } #ifdef EIGEN_PARSED_BY_DOXYGEN /** \returns the solution X of \f$ A X = B \f$ using the current decomposition of A. * * \warning the destination matrix X in X = this->solve(B) must be colmun-major. * * \sa compute() */ template inline const Solve solve(const MatrixBase& B) const; #endif // EIGEN_PARSED_BY_DOXYGEN /** \brief Reports whether previous computation was successful. * * \returns \c Success if computation was succesful, * \c NumericalIssue if the LU factorization reports a problem, zero diagonal for instance * \c InvalidInput if the input matrix is invalid * * \sa iparm() */ ComputationInfo info() const { eigen_assert(m_isInitialized && "Decomposition is not initialized."); return m_info; } /** * \returns A string describing the type of error */ std::string lastErrorMessage() const { return m_lastError; } template bool _solve_impl(const MatrixBase &B, MatrixBase &X_base) const { Dest& X(X_base.derived()); eigen_assert(m_factorizationIsOk && "The matrix should be factorized first"); EIGEN_STATIC_ASSERT((Dest::Flags&RowMajorBit)==0, THIS_METHOD_IS_ONLY_FOR_COLUMN_MAJOR_MATRICES); // Permute the right hand side to form X = Pr*B // on return, X is overwritten by the computed solution X.resize(B.rows(),B.cols()); // this ugly const_cast_derived() helps to detect aliasing when applying the permutations for(Index j = 0; j < B.cols(); ++j) X.col(j) = rowsPermutation() * B.const_cast_derived().col(j); //Forward substitution with L this->matrixL().solveInPlace(X); this->matrixU().solveInPlace(X); // Permute back the solution for (Index j = 0; j < B.cols(); ++j) X.col(j) = colsPermutation().inverse() * X.col(j); return true; } /** * \returns the absolute value of the determinant of the matrix of which * *this is the QR decomposition. * * \warning a determinant can be very big or small, so for matrices * of large enough dimension, there is a risk of overflow/underflow. * One way to work around that is to use logAbsDeterminant() instead. * * \sa logAbsDeterminant(), signDeterminant() */ Scalar absDeterminant() { using std::abs; eigen_assert(m_factorizationIsOk && "The matrix should be factorized first."); // Initialize with the determinant of the row matrix Scalar det = Scalar(1.); // Note that the diagonal blocks of U are stored in supernodes, // which are available in the L part :) for (Index j = 0; j < this->cols(); ++j) { for (typename SCMatrix::InnerIterator it(m_Lstore, j); it; ++it) { if(it.index() == j) { det *= abs(it.value()); break; } } } return det; } /** \returns the natural log of the absolute value of the determinant of the matrix * of which **this is the QR decomposition * * \note This method is useful to work around the risk of overflow/underflow that's * inherent to the determinant computation. * * \sa absDeterminant(), signDeterminant() */ Scalar logAbsDeterminant() const { using std::log; using std::abs; eigen_assert(m_factorizationIsOk && "The matrix should be factorized first."); Scalar det = Scalar(0.); for (Index j = 0; j < this->cols(); ++j) { for (typename SCMatrix::InnerIterator it(m_Lstore, j); it; ++it) { if(it.row() < j) continue; if(it.row() == j) { det += log(abs(it.value())); break; } } } return det; } /** \returns A number representing the sign of the determinant * * \sa absDeterminant(), logAbsDeterminant() */ Scalar signDeterminant() { eigen_assert(m_factorizationIsOk && "The matrix should be factorized first."); // Initialize with the determinant of the row matrix Index det = 1; // Note that the diagonal blocks of U are stored in supernodes, // which are available in the L part :) for (Index j = 0; j < this->cols(); ++j) { for (typename SCMatrix::InnerIterator it(m_Lstore, j); it; ++it) { if(it.index() == j) { if(it.value()<0) det = -det; else if(it.value()==0) return 0; break; } } } return det * m_detPermR * m_detPermC; } /** \returns The determinant of the matrix. * * \sa absDeterminant(), logAbsDeterminant() */ Scalar determinant() { eigen_assert(m_factorizationIsOk && "The matrix should be factorized first."); // Initialize with the determinant of the row matrix Scalar det = Scalar(1.); // Note that the diagonal blocks of U are stored in supernodes, // which are available in the L part :) for (Index j = 0; j < this->cols(); ++j) { for (typename SCMatrix::InnerIterator it(m_Lstore, j); it; ++it) { if(it.index() == j) { det *= it.value(); break; } } } return (m_detPermR * m_detPermC) > 0 ? det : -det; } protected: // Functions void initperfvalues() { m_perfv.panel_size = 16; m_perfv.relax = 1; m_perfv.maxsuper = 128; m_perfv.rowblk = 16; m_perfv.colblk = 8; m_perfv.fillfactor = 20; } // Variables mutable ComputationInfo m_info; bool m_factorizationIsOk; bool m_analysisIsOk; std::string m_lastError; NCMatrix m_mat; // The input (permuted ) matrix SCMatrix m_Lstore; // The lower triangular matrix (supernodal) MappedSparseMatrix m_Ustore; // The upper triangular matrix PermutationType m_perm_c; // Column permutation PermutationType m_perm_r ; // Row permutation IndexVector m_etree; // Column elimination tree typename Base::GlobalLU_t m_glu; // SparseLU options bool m_symmetricmode; // values for performance internal::perfvalues m_perfv; RealScalar m_diagpivotthresh; // Specifies the threshold used for a diagonal entry to be an acceptable pivot Index m_nnzL, m_nnzU; // Nonzeros in L and U factors Index m_detPermR, m_detPermC; // Determinants of the permutation matrices private: // Disable copy constructor SparseLU (const SparseLU& ); }; // End class SparseLU // Functions needed by the anaysis phase /** * Compute the column permutation to minimize the fill-in * * - Apply this permutation to the input matrix - * * - Compute the column elimination tree on the permuted matrix * * - Postorder the elimination tree and the column permutation * */ template void SparseLU::analyzePattern(const MatrixType& mat) { //TODO It is possible as in SuperLU to compute row and columns scaling vectors to equilibrate the matrix mat. // Firstly, copy the whole input matrix. m_mat = mat; // Compute fill-in ordering OrderingType ord; ord(m_mat,m_perm_c); // Apply the permutation to the column of the input matrix if (m_perm_c.size()) { m_mat.uncompress(); //NOTE: The effect of this command is only to create the InnerNonzeros pointers. FIXME : This vector is filled but not subsequently used. // Then, permute only the column pointers ei_declare_aligned_stack_constructed_variable(StorageIndex,outerIndexPtr,mat.cols()+1,mat.isCompressed()?const_cast(mat.outerIndexPtr()):0); // If the input matrix 'mat' is uncompressed, then the outer-indices do not match the ones of m_mat, and a copy is thus needed. if(!mat.isCompressed()) IndexVector::Map(outerIndexPtr, mat.cols()+1) = IndexVector::Map(m_mat.outerIndexPtr(),mat.cols()+1); // Apply the permutation and compute the nnz per column. for (Index i = 0; i < mat.cols(); i++) { m_mat.outerIndexPtr()[m_perm_c.indices()(i)] = outerIndexPtr[i]; m_mat.innerNonZeroPtr()[m_perm_c.indices()(i)] = outerIndexPtr[i+1] - outerIndexPtr[i]; } } // Compute the column elimination tree of the permuted matrix IndexVector firstRowElt; internal::coletree(m_mat, m_etree,firstRowElt); // In symmetric mode, do not do postorder here if (!m_symmetricmode) { IndexVector post, iwork; // Post order etree internal::treePostorder(StorageIndex(m_mat.cols()), m_etree, post); // Renumber etree in postorder Index m = m_mat.cols(); iwork.resize(m+1); for (Index i = 0; i < m; ++i) iwork(post(i)) = post(m_etree(i)); m_etree = iwork; // Postmultiply A*Pc by post, i.e reorder the matrix according to the postorder of the etree PermutationType post_perm(m); for (Index i = 0; i < m; i++) post_perm.indices()(i) = post(i); // Combine the two permutations : postorder the permutation for future use if(m_perm_c.size()) { m_perm_c = post_perm * m_perm_c; } } // end postordering m_analysisIsOk = true; } // Functions needed by the numerical factorization phase /** * - Numerical factorization * - Interleaved with the symbolic factorization * On exit, info is * * = 0: successful factorization * * > 0: if info = i, and i is * * <= A->ncol: U(i,i) is exactly zero. The factorization has * been completed, but the factor U is exactly singular, * and division by zero will occur if it is used to solve a * system of equations. * * > A->ncol: number of bytes allocated when memory allocation * failure occurred, plus A->ncol. If lwork = -1, it is * the estimated amount of space needed, plus A->ncol. */ template void SparseLU::factorize(const MatrixType& matrix) { using internal::emptyIdxLU; eigen_assert(m_analysisIsOk && "analyzePattern() should be called first"); eigen_assert((matrix.rows() == matrix.cols()) && "Only for squared matrices"); m_isInitialized = true; // Apply the column permutation computed in analyzepattern() // m_mat = matrix * m_perm_c.inverse(); m_mat = matrix; if (m_perm_c.size()) { m_mat.uncompress(); //NOTE: The effect of this command is only to create the InnerNonzeros pointers. //Then, permute only the column pointers const StorageIndex * outerIndexPtr; if (matrix.isCompressed()) outerIndexPtr = matrix.outerIndexPtr(); else { StorageIndex* outerIndexPtr_t = new StorageIndex[matrix.cols()+1]; for(Index i = 0; i <= matrix.cols(); i++) outerIndexPtr_t[i] = m_mat.outerIndexPtr()[i]; outerIndexPtr = outerIndexPtr_t; } for (Index i = 0; i < matrix.cols(); i++) { m_mat.outerIndexPtr()[m_perm_c.indices()(i)] = outerIndexPtr[i]; m_mat.innerNonZeroPtr()[m_perm_c.indices()(i)] = outerIndexPtr[i+1] - outerIndexPtr[i]; } if(!matrix.isCompressed()) delete[] outerIndexPtr; } else { //FIXME This should not be needed if the empty permutation is handled transparently m_perm_c.resize(matrix.cols()); for(StorageIndex i = 0; i < matrix.cols(); ++i) m_perm_c.indices()(i) = i; } Index m = m_mat.rows(); Index n = m_mat.cols(); Index nnz = m_mat.nonZeros(); Index maxpanel = m_perfv.panel_size * m; // Allocate working storage common to the factor routines Index lwork = 0; Index info = Base::memInit(m, n, nnz, lwork, m_perfv.fillfactor, m_perfv.panel_size, m_glu); if (info) { m_lastError = "UNABLE TO ALLOCATE WORKING MEMORY\n\n" ; m_factorizationIsOk = false; return ; } // Set up pointers for integer working arrays IndexVector segrep(m); segrep.setZero(); IndexVector parent(m); parent.setZero(); IndexVector xplore(m); xplore.setZero(); IndexVector repfnz(maxpanel); IndexVector panel_lsub(maxpanel); IndexVector xprune(n); xprune.setZero(); IndexVector marker(m*internal::LUNoMarker); marker.setZero(); repfnz.setConstant(-1); panel_lsub.setConstant(-1); // Set up pointers for scalar working arrays ScalarVector dense; dense.setZero(maxpanel); ScalarVector tempv; tempv.setZero(internal::LUnumTempV(m, m_perfv.panel_size, m_perfv.maxsuper, /*m_perfv.rowblk*/m) ); // Compute the inverse of perm_c PermutationType iperm_c(m_perm_c.inverse()); // Identify initial relaxed snodes IndexVector relax_end(n); if ( m_symmetricmode == true ) Base::heap_relax_snode(n, m_etree, m_perfv.relax, marker, relax_end); else Base::relax_snode(n, m_etree, m_perfv.relax, marker, relax_end); m_perm_r.resize(m); m_perm_r.indices().setConstant(-1); marker.setConstant(-1); m_detPermR = 1; // Record the determinant of the row permutation m_glu.supno(0) = emptyIdxLU; m_glu.xsup.setConstant(0); m_glu.xsup(0) = m_glu.xlsub(0) = m_glu.xusub(0) = m_glu.xlusup(0) = Index(0); // Work on one 'panel' at a time. A panel is one of the following : // (a) a relaxed supernode at the bottom of the etree, or // (b) panel_size contiguous columns, defined by the user Index jcol; IndexVector panel_histo(n); Index pivrow; // Pivotal row number in the original row matrix Index nseg1; // Number of segments in U-column above panel row jcol Index nseg; // Number of segments in each U-column Index irep; Index i, k, jj; for (jcol = 0; jcol < n; ) { // Adjust panel size so that a panel won't overlap with the next relaxed snode. Index panel_size = m_perfv.panel_size; // upper bound on panel width for (k = jcol + 1; k < (std::min)(jcol+panel_size, n); k++) { if (relax_end(k) != emptyIdxLU) { panel_size = k - jcol; break; } } if (k == n) panel_size = n - jcol; // Symbolic outer factorization on a panel of columns Base::panel_dfs(m, panel_size, jcol, m_mat, m_perm_r.indices(), nseg1, dense, panel_lsub, segrep, repfnz, xprune, marker, parent, xplore, m_glu); // Numeric sup-panel updates in topological order Base::panel_bmod(m, panel_size, jcol, nseg1, dense, tempv, segrep, repfnz, m_glu); // Sparse LU within the panel, and below the panel diagonal for ( jj = jcol; jj< jcol + panel_size; jj++) { k = (jj - jcol) * m; // Column index for w-wide arrays nseg = nseg1; // begin after all the panel segments //Depth-first-search for the current column VectorBlock panel_lsubk(panel_lsub, k, m); VectorBlock repfnz_k(repfnz, k, m); info = Base::column_dfs(m, jj, m_perm_r.indices(), m_perfv.maxsuper, nseg, panel_lsubk, segrep, repfnz_k, xprune, marker, parent, xplore, m_glu); if ( info ) { m_lastError = "UNABLE TO EXPAND MEMORY IN COLUMN_DFS() "; m_info = NumericalIssue; m_factorizationIsOk = false; return; } // Numeric updates to this column VectorBlock dense_k(dense, k, m); VectorBlock segrep_k(segrep, nseg1, m-nseg1); info = Base::column_bmod(jj, (nseg - nseg1), dense_k, tempv, segrep_k, repfnz_k, jcol, m_glu); if ( info ) { m_lastError = "UNABLE TO EXPAND MEMORY IN COLUMN_BMOD() "; m_info = NumericalIssue; m_factorizationIsOk = false; return; } // Copy the U-segments to ucol(*) info = Base::copy_to_ucol(jj, nseg, segrep, repfnz_k ,m_perm_r.indices(), dense_k, m_glu); if ( info ) { m_lastError = "UNABLE TO EXPAND MEMORY IN COPY_TO_UCOL() "; m_info = NumericalIssue; m_factorizationIsOk = false; return; } // Form the L-segment info = Base::pivotL(jj, m_diagpivotthresh, m_perm_r.indices(), iperm_c.indices(), pivrow, m_glu); if ( info ) { m_lastError = "THE MATRIX IS STRUCTURALLY SINGULAR ... ZERO COLUMN AT "; std::ostringstream returnInfo; returnInfo << info; m_lastError += returnInfo.str(); m_info = NumericalIssue; m_factorizationIsOk = false; return; } // Update the determinant of the row permutation matrix // FIXME: the following test is not correct, we should probably take iperm_c into account and pivrow is not directly the row pivot. if (pivrow != jj) m_detPermR = -m_detPermR; // Prune columns (0:jj-1) using column jj Base::pruneL(jj, m_perm_r.indices(), pivrow, nseg, segrep, repfnz_k, xprune, m_glu); // Reset repfnz for this column for (i = 0; i < nseg; i++) { irep = segrep(i); repfnz_k(irep) = emptyIdxLU; } } // end SparseLU within the panel jcol += panel_size; // Move to the next panel } // end for -- end elimination m_detPermR = m_perm_r.determinant(); m_detPermC = m_perm_c.determinant(); // Count the number of nonzeros in factors Base::countnz(n, m_nnzL, m_nnzU, m_glu); // Apply permutation to the L subscripts Base::fixupL(n, m_perm_r.indices(), m_glu); // Create supernode matrix L m_Lstore.setInfos(m, n, m_glu.lusup, m_glu.xlusup, m_glu.lsub, m_glu.xlsub, m_glu.supno, m_glu.xsup); // Create the column major upper sparse matrix U; new (&m_Ustore) MappedSparseMatrix ( m, n, m_nnzU, m_glu.xusub.data(), m_glu.usub.data(), m_glu.ucol.data() ); m_info = Success; m_factorizationIsOk = true; } template struct SparseLUMatrixLReturnType : internal::no_assignment_operator { typedef typename MappedSupernodalType::Scalar Scalar; explicit SparseLUMatrixLReturnType(const MappedSupernodalType& mapL) : m_mapL(mapL) { } Index rows() { return m_mapL.rows(); } Index cols() { return m_mapL.cols(); } template void solveInPlace( MatrixBase &X) const { m_mapL.solveInPlace(X); } const MappedSupernodalType& m_mapL; }; template struct SparseLUMatrixUReturnType : internal::no_assignment_operator { typedef typename MatrixLType::Scalar Scalar; SparseLUMatrixUReturnType(const MatrixLType& mapL, const MatrixUType& mapU) : m_mapL(mapL),m_mapU(mapU) { } Index rows() { return m_mapL.rows(); } Index cols() { return m_mapL.cols(); } template void solveInPlace(MatrixBase &X) const { Index nrhs = X.cols(); Index n = X.rows(); // Backward solve with U for (Index k = m_mapL.nsuper(); k >= 0; k--) { Index fsupc = m_mapL.supToCol()[k]; Index lda = m_mapL.colIndexPtr()[fsupc+1] - m_mapL.colIndexPtr()[fsupc]; // leading dimension Index nsupc = m_mapL.supToCol()[k+1] - fsupc; Index luptr = m_mapL.colIndexPtr()[fsupc]; if (nsupc == 1) { for (Index j = 0; j < nrhs; j++) { X(fsupc, j) /= m_mapL.valuePtr()[luptr]; } } else { Map, 0, OuterStride<> > A( &(m_mapL.valuePtr()[luptr]), nsupc, nsupc, OuterStride<>(lda) ); Map< Matrix, 0, OuterStride<> > U (&(X(fsupc,0)), nsupc, nrhs, OuterStride<>(n) ); U = A.template triangularView().solve(U); } for (Index j = 0; j < nrhs; ++j) { for (Index jcol = fsupc; jcol < fsupc + nsupc; jcol++) { typename MatrixUType::InnerIterator it(m_mapU, jcol); for ( ; it; ++it) { Index irow = it.index(); X(irow, j) -= X(jcol, j) * it.value(); } } } } // End For U-solve } const MatrixLType& m_mapL; const MatrixUType& m_mapU; }; } // End namespace Eigen #endif