{-# LANGUAGE ConstraintKinds #-} {-# LANGUAGE FlexibleContexts, TypeFamilies, MultiParamTypeClasses, FlexibleInstances #-} {-# language ApplicativeDo #-} -- {-# OPTIONS_GHC -O2 -rtsopts -with-rtsopts=-K32m -prof#-} {-| This module exposes the high-level functionality of the library. -} module Numeric.LinearAlgebra.Sparse ( -- * Linear solvers -- ** Iterative methods linSolve0, LinSolveMethod(..), (<\>), -- ** Moore-Penrose pseudoinverse pinv, -- ** Preconditioners jacobiPre, ilu0, mSsor, -- ** Direct methods luSolve, -- *** Forward substitution triLowerSolve, -- *** Backward substitution triUpperSolve, -- * Eigensolvers eigsQR, eigRayleigh, -- * Matrix factorization algorithms -- ** QR qr, -- ** LU lu, -- ** Cholesky chol, -- ** Arnoldi iteration arnoldi, -- * Matrix partitioning diagPartitions, -- * Utilities -- ** Givens' rotation givens, -- ** Condition number conditionNumberSM, -- ** Householder reflection hhMat, hhRefl, -- -- * Householder bidiagonalization -- -- * Random arrays -- randArray, -- -- * Random matrices and vectors -- randMat, randVec, -- -- ** Sparse " -- randSpMat, randSpVec, -- * From/to SpVector fromListSV, toListSV, -- * From/to SpMatrix fromListSM, toListSM, -- * Iteration combinators untilConvergedG0, untilConvergedG, untilConvergedGM, modifyInspectGuarded, modifyInspectGuardedM, IterationConfig (..), modifyUntil, modifyUntilM ) where import Control.Exception.Common import Control.Iterative import Data.Sparse.Common import Control.Monad.Catch import Data.Typeable -- import Control.Applicative ((<|>)) -- import Control.Monad (replicateM) import Control.Monad.State.Strict -- import Control.Monad.Writer -- import Control.Monad.Trans.Class import qualified Control.Monad.Trans.State as MTS -- (runStateT) -- import Control.Monad.Trans.Writer (runWriterT) import Data.Complex import Data.VectorSpace hiding (magnitude) import qualified Data.Sparse.Internal.IntM as I -- import Data.Utils.StrictFold (foldlStrict) -- hidden in `containers` -- import qualified System.Random.MWC as MWC -- import qualified System.Random.MWC.Distributions as MWC -- import Data.Monoid -- import qualified Data.Foldable as F -- import qualified Data.Traversable as T -- import qualified Data.List as L import Data.Maybe import qualified Data.Vector as V -- | A lumped constraint for numerical types type Num' x = (Epsilon x, Elt x, Show x, Ord x) -- * Matrix condition number -- |uses the R matrix from the QR factorization conditionNumberSM :: (MonadThrow m, MatrixRing (SpMatrix a), Num' a, Typeable a) => SpMatrix a -> m a conditionNumberSM m = do (_, r) <- qr m let u = extractDiagDense r lmax = abs (maximum u) lmin = abs (minimum u) kappa = lmax / lmin if nearZero lmin then throwM (HugeConditionNumber "conditionNumberSM" kappa) else return kappa -- * Householder transformation hhMat :: Num a => a -> SpVector a -> SpMatrix a hhMat beta x = eye n ^-^ beta `scale` (x >< x) where n = dim x -- | Householder reflection: a vector `x` uniquely defines an orthogonal plane; the Householder operator reflects any point `v` with respect to this plane: -- v' = (I - 2 x >< x) v hhRefl :: Num a => SpVector a -> SpMatrix a hhRefl = hhMat (fromInteger 2) -- * Givens rotation matrix -- -- -- | Givens coefficients (using stable algorithm shown in Anderson, Edward (4 December 2000). "Discontinuous Plane Rotations and the Symmetric Eigenvalue Problem". LAPACK Working Note) -- -- -- givensCoef0 :: (Ord b, Floating a, Eq a) => (a -> b) -> a -> a -> (a, a, a) -- -- givensCoef0 -- -- :: (Signum t, Ord a, Floating t, Eq t) => -- -- (t -> a) -> t -> t -> (t, t, t) -- givensCoef0 ff a b -- returns (c, s, r) where r = norm (a, b) -- | b==0 = (signum' a, 0, abs a) -- | a==0 = (0, signum' b, abs b) -- | ff a > ff b = let t = b/a -- u = signum' a * abs ( sqrt (1 + t**2)) -- in (1/u, - t/u, a*u) -- | otherwise = let t = a/b -- u = signum' b * abs ( sqrt (1 + t**2)) -- in (t/u, - 1/u, b*u) -- -- | Givens coefficients, real-valued -- givensCoef :: (Floating a, Ord a) => a -> a -> (a, a, a) -- givensCoef = givensCoef0 abs -- -- | Givens coefficients, complex-valued -- givensCoefC :: RealFloat a => Complex a -> Complex a -> (Complex a, Complex a, Complex a) -- givensCoefC = givensCoef0 magnitude {- | Givens method, row version: choose other row index i' s.t. i' is : * below the diagonal * corresponding element is nonzero QR.C1 ) To zero out entry A(i, j) we must find row k such that A(k, j) is non-zero but A has zeros in row k for all columns less than j. NB: the current version is quite inefficient in that: 1. the Givens' matrix `G_i` is different from Identity only in 4 entries 2. at each iteration `i` we multiply `G_i` by the previous partial result `M`. Since this corresponds to a rotation, and the `givensCoef` function already computes the value of the resulting non-zero component (output `r`), `G_i ## M` can be simplified by just changing two entries of `M` (i.e. zeroing one out and changing the other into `r`). -} {-# inline givens #-} givens :: (Elt a, MonadThrow m) => SpMatrix a -> Int -> Int -> m (SpMatrix a) givens aa i j | isValidIxSM aa (i,j) && nrows aa >= ncols aa = do i' <- candidateRows' (immSM aa) i j return $ givensMat aa i i' j | otherwise = throwM (OOBIxsError "Givens" [i, j]) where givensMat mm i i' j = fromListSM' [(i,i, c), (j,j, conj c), (j,i, - conj s), (i,j, s)] (eye (nrows mm)) where (c, s, _) = givensCoef a b a = mm @@ (i', j) b = mm @@ (i, j) -- element to zero out candidateRows' mm i j | null u = throwM (OOBNoCompatRows "Givens" (i,j)) | otherwise = return $ head (I.keys u) where u = I.filterWithKey (\irow row -> irow /= i && firstNZColumn row j) mm firstNZColumn m k = isJust (I.lookup k m) && isNothing (I.lookupLT k m) rotMat :: Elt e => e -> e -> IxRow -> IxRow -> Int -> SpMatrix e rotMat a b i j n = fromListSM' [(i,i, c), (j,j, conj c), (j,i, - conj s), (i,j, s)] (eye n) where (c, s, _) = givensCoef a b -- | Givens coefficients and norm of associated vector givensCoef :: Elt t => t -> t -> (t, t, t) givensCoef a b = (c0/r, s0/r, r) where c0 = conj a s0 = - conj b r = hypot c0 s0 hypot x y = abs x * sqrt (1 + (y/x)**2) {- ( c s ) G =( ) ( -s* c*) -} -- * QR decomposition -- | Given a matrix A, returns a pair of matrices (Q, R) such that Q R = A, where Q is orthogonal and R is upper triangular. Applies Givens rotation iteratively to zero out sub-diagonal elements. {-# inline qr #-} qr :: (Elt a, MatrixRing (SpMatrix a), Epsilon a, MonadThrow m) => SpMatrix a -> m (SpMatrix a, SpMatrix a) qr mm = do (qt, r, _) <- MTS.execStateT (modifyUntilM haltf qrstepf) gminit return (transpose qt, r) where gminit = (eye (nrows mm), mm, subdiagIndicesSM mm) haltf (_, _, iis) = null iis qrstepf (qmatt, m, iis) = do let (i, j) = head iis g <- givens m i j let qmatt' = g #~# qmatt -- update Q' m' = g #~# m -- update R return (qmatt', m', tail iis) -- * Eigenvalue algorithms -- ** QR algorithm -- | `eigsQR n mm` performs `n` iterations of the QR algorithm on matrix `mm`, and returns a SpVector containing all eigenvalues eigsQR :: (MonadThrow m, MonadIO m, Elt a, Normed (SpVector a), MatrixRing (SpMatrix a), Epsilon a, Typeable (Magnitude (SpVector a)), Typeable a, Show a) => Int -> Bool -- ^ Print debug information -> SpMatrix a -- ^ Operand matrix -> m (SpVector a) -- ^ Eigenvalues eigsQR nitermax debq m = pf <$> untilConvergedGM "eigsQR" c (const True) stepf m where pf = extractDiagDense c = IterConf nitermax debq pf prd stepf mm = do (q, _) <- qr mm return $ q #~^# (m ## q) -- r #~# q -- ** Rayleigh iteration -- | `eigsRayleigh n mm` performs `n` iterations of the Rayleigh algorithm on matrix `mm` and returns the eigenpair closest to the initialization. It displays cubic-order convergence, but it also requires an educated guess on the initial eigenpair. eigRayleigh nitermax debq prntf m = untilConvergedGM "eigRayleigh" config (const True) (rayStep m) where ii = eye (nrows m) config = IterConf nitermax debq fst prntf rayStep aa (b, mu) = do nom <- (m ^-^ (mu `matScale` ii)) <\> b let b' = normalize2' nom mu' = (b' <.> (aa #> b')) / (b' <.> b') return (b', mu') -- | `eigArnoldi n aa b` computes at most n iterations of the Arnoldi algorithm to find a Krylov subspace of (A, b), along with a Hessenberg matrix of coefficients H. After that, it computes the QR decomposition of H, and the eigenvalues of A are listed on the diagonal of the R factor. eigArnoldi :: (Scalar (SpVector t) ~ t, MatrixType (SpVector t) ~ SpMatrix t, Elt t, Normed (SpVector t), MatrixRing (SpMatrix t), LinearVectorSpace (SpVector t), Epsilon t, MonadThrow m) => Int -> SpMatrix t -> SpVector t -> m (SpMatrix t, SpMatrix t, SpVector t) -- ^ Q, O, R eigArnoldi nitermax aa b = do (q, h) <- arnoldi aa b nitermax (o, r) <- qr h return (q, o, extractDiagDense r) -- * Householder vector -- (Golub & Van Loan, Alg. 5.1.1, function `house`) hhV :: (Scalar (SpVector t) ~ t, Elt t, InnerSpace (SpVector t), Epsilon t) => SpVector t -> (SpVector t, t) hhV x = (v, beta) where tx = tailSV x sigma = tx <.> tx vtemp = singletonSV 1 `concatSV` tx (v, beta) | nearZero sigma = (vtemp, 0) | otherwise = let mu = sqrt (headSV x**2 + sigma) xh = headSV x vh | mag xh <= 1 = xh - mu | otherwise = - sigma / (xh + mu) vnew = (1 / vh) `scale` insertSpVector 0 vh vtemp in (vnew, 2 * xh**2 / (sigma + vh**2)) -- -- * Bidiagonalization -- -- * SVD {- Golub & Van Loan, sec 8.6.2 (p 452 segg.) SVD of A, Golub-Kahan method * reduce A to upper bidiagonal form B (Alg. 5.4.2, Householder bidiagonalization) * compute SVD of B (implicit-shift QR step applied to B^T B, Alg. 8.3.2) -} -- * Cholesky factorization -- | Given a positive semidefinite matrix A, returns a lower-triangular matrix L such that L L^T = A . This is an implementation of the Cholesky–Banachiewicz algorithm, i.e. proceeding row by row from the upper-left corner. chol :: (Elt a, Epsilon a, MonadThrow m) => SpMatrix a -> m (SpMatrix a) -- ^ L chol aa = do let n = nrows aa q (i, _) = i == n l0 <- cholUpd aa (0, zeroSM n n) (_, lfin) <- MTS.execStateT (modifyUntilM q (cholUpd aa)) l0 return lfin where oops i = throwM (NeedsPivoting "chol" (unwords ["L", show (i,i)]) :: MatrixException Double) cholUpd aa (i, ll) = do sd <- cholSDRowUpd aa ll i -- update subdiagonal entries ll' <- cholDiagUpd aa sd i -- update diagonal entries return (i + 1, ll') cholSDRowUpd aa ll i = do lrs <- fromListSV (i + 1) <$> onRangeSparseM cholSubDiag [0 .. i-1] return $ insertRow ll lrs i where cholSubDiag j | isNz ljj = return $ 1/ljj*(aij - inn) | otherwise = oops j where ljj = ll @@! (j, j) aij = aa @@! (i, j) inn = contractSub ll ll i j (j - 1) cholDiagUpd aa ll i = do cd <- cholDiag return $ insertSpMatrix i i cd ll where cholDiag | i == 0 = sqrt <$> aai | otherwise = do a <- aai let l = sum (fmap (**2) lrow) return $ sqrt (a - l) where lrow = ifilterSV (\j _ -> j < i) (extractRow ll i) -- sub-diagonal elems of L aai | isNz aaii = return aaii | otherwise = oops i where aaii = aa @@! (i,i) -- * LU factorization -- ** Doolittle algorithm {- Doolittle algorithm for factoring A' = P A, where P is a permutation matrix such that A' has a nonzero as its (0, 0) entry -} -- | Given a matrix A, returns a pair of matrices (L, U) where L is lower triangular and U is upper triangular such that L U = A lu :: (Scalar (SpVector t) ~ t, Elt t, VectorSpace (SpVector t), Epsilon t, MonadThrow m) => SpMatrix t -> m (SpMatrix t, SpMatrix t) -- ^ L, U lu aa = do let oops j = throwM (NeedsPivoting "solveForLij" ("U" ++ show (j, j)) :: MatrixException Double) n = nrows aa q (i, _, _) = i == n - 1 luInit | isNz u00 = return (1, l0, u0) | otherwise = oops (0 :: Int) where l0 = insertCol (eye n) ((extractSubCol aa 0 (1, n-1)) ./ u00 ) 0 u0 = insertRow (zeroSM n n) (extractRow aa 0) 0 -- initial U u00 = u0 @@! (0,0) -- make sure this is non-zero by applying permutation luUpd (i, l, u) = do -- (i + 1, l', u') u' <- uUpd aa n (i, l, u) -- update U l' <- lUpd (i, l, u') -- update L return (i + 1, l', u') uUpd aa n (ix, lmat, umat) = do let us = onRangeSparse (solveForUij ix) [ix .. n - 1] solveForUij i j = a - p where a = aa @@! (i, j) p = contractSub lmat umat i j (i - 1) return $ insertRow umat (fromListSV n us) ix lUpd (ix, lmat, umat) = do -- insertCol lmat (fromListSV n ls) ix ls <- lsm return $ insertCol lmat (fromListSV n ls) ix where lsm = onRangeSparseM (`solveForLij` ix) [ix + 1 .. n - 1] solveForLij i j | isNz ujj = return $ (a - p)/ujj | otherwise = oops j where a = aa @@! (i, j) ujj = umat @@! (j , j) -- NB this must be /= 0 p = contractSub lmat umat i j (i - 1) s0 <- luInit (ixf, lf, uf) <- MTS.execStateT (modifyUntilM q luUpd) s0 ufin <- uUpd aa n (ixf, lf, uf) -- final U update return (lf, ufin) -- -- Produces the permutation matrix necessary to have a nonzero in position (iref, jref). This is used in the LU factorization -- permutAA :: Num b => IxRow -> IxCol -> SpMatrix a -> Maybe (SpMatrix b) -- permutAA iref jref (SM (nro,_) mm) -- | isJust (lookupIM2 iref jref mm) = Nothing -- eye nro -- | otherwise = Just $ permutationSM nro [head u] where -- u = IM.keys (ifilterIM2 ff mm) -- ff i j _ = i /= iref && -- j == jref -- * Arnoldi iteration -- | Given a matrix A, a vector b and a positive integer `n`, this procedure finds the basis of an order `n` Krylov subspace (as the columns of matrix Q), along with an upper Hessenberg matrix H, such that A = Q^T H Q. -- At the i`th iteration, it finds (i + 1) coefficients (the i`th column of the Hessenberg matrix H) and the (i + 1)`th Krylov vector. arnoldi :: (MatrixType (SpVector a) ~ SpMatrix a, V (SpVector a) , Scalar (SpVector a) ~ a, Epsilon a, MonadThrow m) => SpMatrix a -- ^ System matrix -> SpVector a -- ^ r.h.s. -> Int -- ^ Max. # of iterations -> m (SpMatrix a, SpMatrix a) -- ^ Q, H arnoldi aa b kn | n == nb = return (fromCols qvfin, fromListSM (nmax + 1, nmax) hhfin) | otherwise = throwM (MatVecSizeMismatchException "arnoldi" (m,n) nb) where (qvfin, hhfin, nmax, _) = execState (modifyUntil tf arnoldiStep) arnInit tf (_, _, ii, fbreak) = ii == kn || fbreak -- termination criterion (m, n) = (nrows aa, ncols aa) nb = dim b arnInit = (qv1, hh1, 1, False) where q0 = normalize2 b -- starting basis vector aq0 = aa #> q0 -- A q0 h11 = q0 `dot` aq0 q1nn = aq0 ^-^ (h11 .* q0) hh1 = V.fromList [(0, 0, h11), (1, 0, h21)] where h21 = norm2' q1nn q1 = normalize2 q1nn -- q1 `dot` q0 ~ 0 qv1 = V.fromList [q0, q1] arnoldiStep (qv, hh, i, _) = (qv', hh', i + 1, breakf) where qi = V.last qv aqi = aa #> qi hhcoli = fmap (`dot` aqi) qv -- H_{1, i}, H_{2, i}, .. , H_{m + 1, i} zv = zeroSV m qipnn = aqi ^-^ V.foldl' (^+^) zv (V.zipWith (.*) hhcoli qv) -- unnormalized q_{i+1} qipnorm = norm2' qipnn -- normalization factor H_{i+1, i} qip = normalize2 qipnn -- q_{i + 1} hh' = (V.++) hh (indexed2 $ V.snoc hhcoli qipnorm) where -- update H indexed2 v = V.zip3 ii jj v ii = V.fromList [0 .. n] -- nth col of upper Hessenberg has `n+1` nz jj = V.replicate (n + 1) i -- `n+1` replicas of `i` qv' = V.snoc qv qip -- append q_{i+1} to Krylov basis Q_i breakf | nearZero qipnorm = True -- breakdown condition | otherwise = False -- * Preconditioning -- | Partition a matrix into strictly subdiagonal, diagonal and strictly superdiagonal parts diagPartitions :: SpMatrix a -> (SpMatrix a, SpMatrix a, SpMatrix a) -- ^ Subdiagonal, diagonal, superdiagonal partitions diagPartitions aa = (e,d,f) where e = extractSubDiag aa d = extractDiag aa f = extractSuperDiag aa -- ** Jacobi preconditioner -- | The Jacobi preconditioner is just the reciprocal of the diagonal jacobiPre :: Fractional a => SpMatrix a -> SpMatrix a jacobiPre x = recip <$> extractDiag x -- ** Incomplete LU -- | Used for Incomplete LU : remove entries in `m` corresponding to zero entries in `m2` (this is called ILU(0) in the preconditioner literature) ilu0 :: (Scalar (SpVector t) ~ t, Elt t, VectorSpace (SpVector t), Epsilon t, MonadThrow m) => SpMatrix t -> m (SpMatrix t, SpMatrix t) -- ^ L, U (with holes) ilu0 aa = do (l, u) <- lu aa let lh = sparsifyLU l aa uh = sparsifyLU u aa sparsifyLU m m2 = ifilterSM f m where f i j _ = isJust (lookupSM m2 i j) return (lh, uh) -- ** SSOR -- | Symmetric Successive Over-Relaxation. `mSsor aa omega` : if `omega = 1` it returns the symmetric Gauss-Seidel preconditioner. When ω = 1, the SOR reduces to Gauss-Seidel; when ω > 1 and ω < 1, it corresponds to over-relaxation and under-relaxation, respectively. mSsor :: (MatrixRing (SpMatrix b), Fractional b) => SpMatrix b -> b -- ^ relaxation factor -> (SpMatrix b, SpMatrix b) -- ^ Left, right factors mSsor aa omega = (l, r) where (e, d, f) = diagPartitions aa n = nrows e l = (eye n ^-^ scale omega e) ## reciprocal d r = d ^-^ scale omega f -- * Linear solver, LU-based -- | Direct solver based on a triangular factorization of the system matrix. luSolve :: (Scalar (SpVector t) ~ t, MonadThrow m, Elt t, InnerSpace (SpVector t), Epsilon t) => SpMatrix t -- ^ Lower triangular -> SpMatrix t -- ^ Upper triangular -> SpVector t -- ^ r.h.s. -> m (SpVector t) luSolve ll uu b | isLowerTriSM ll && isUpperTriSM uu = do w <- triLowerSolve ll b triUpperSolve uu w | otherwise = throwM (NonTriangularException "luSolve") -- | Forward substitution solver triLowerSolve :: (Scalar (SpVector t) ~ t, Elt t, InnerSpace (SpVector t), Epsilon t, MonadThrow m) => SpMatrix t -- ^ Lower triangular -> SpVector t -> m (SpVector t) triLowerSolve ll b = do let q (_, i) = i == nb nb = svDim b oops i = throwM (NeedsPivoting "triLowerSolve" (unwords ["L", show (i, i)]) :: MatrixException Double) lStep (ww, i) = do -- (ww', i + 1) where let lii = ll @@ (i, i) bi = b @@ i wi = (bi - r)/lii where r = extractSubRow ll i (0, i-1) `dot` takeSV i ww if isNz lii then return (insertSpVector i wi ww, i + 1) else oops i lInit = do -- (ww0, 1) where let l00 = ll @@ (0, 0) b0 = b @@ 0 w0 = b0 / l00 if isNz l00 then return (insertSpVector 0 w0 $ zeroSV (dim b), 1) else oops (0 :: Int) l0 <- lInit (v, _) <- MTS.execStateT (modifyUntilM q lStep) l0 return $ sparsifySV v -- NB in the computation of `xi` we must rebalance the subrow indices (extractSubRow_RK) because `dropSV` does that too, in order to take the inner product with consistent index pairs -- | Backward substitution solver triUpperSolve :: (Scalar (SpVector t) ~ t, Elt t, InnerSpace (SpVector t), Epsilon t, MonadThrow m) => SpMatrix t -- ^ Upper triangular -> SpVector t -> m (SpVector t) triUpperSolve uu w = do let q (_, i) = i == (- 1) nw = svDim w oops i = throwM (NeedsPivoting "triUpperSolve" (unwords ["U", show (i, i)]) :: MatrixException Double) uStep (xx, i) = do let uii = uu @@ (i, i) wi = w @@ i r = extractSubRow_RK uu i (i + 1, nw - 1) `dot` dropSV (i + 1) xx xi = (wi - r) / uii if isNz uii then return (insertSpVector i xi xx, i - 1) else oops i uInit = do let i = nw - 1 u00 = uu @@! (i, i) w0 = w @@ i x0 = w0 / u00 if isNz u00 then return (insertSpVector i x0 (zeroSV nw), i - 1) else oops (0 :: Int) u0 <- uInit (x, _) <- MTS.execStateT (modifyUntilM q uStep) u0 return $ sparsifySV x -- * Iterative linear solvers -- ** GMRES -- | Given a linear system `A x = b` where `A` is an (m x m) real-valued matrix, the GMRES method finds an approximate solution `xhat` such that the Euclidean norm of the residual `A xhat - b` is minimized. `xhat` is spanned by the order-`n` Krylov subspace of (A, b). -- In this implementation: -- 1) the Arnoldi iteration is carried out until numerical breakdown (therefore yielding _at_most_ `m+1` Krylov basis vectors) -- 2) the resulting Hessenberg matrix H is factorized in QR form (H = Q R) -- 3) the Krylov-subspace solution `yhat` is found by backsubstitution (since R is upper-triangular) -- 4) the approximate solution in the original space `xhat` is computed using the Krylov basis, `xhat = Q_n yhat` -- -- Many optimizations are possible, for example interleaving the QR factorization (and the subsequent triangular solve) with the Arnoldi process (and employing an updating QR factorization which only requires one Givens' rotation at every update). gmres :: (Scalar (SpVector t) ~ t, MatrixType (SpVector t) ~ SpMatrix t, Elt t, Normed (SpVector t), LinearVectorSpace (SpVector t), Epsilon t, MonadThrow m) => SpMatrix t -> SpVector t -> m (SpVector t) gmres aa b = do let m = ncols aa (qa, ha) <- arnoldi aa b m -- at most m steps of Arnoldi (aa, b) -- b' = (transposeSe qa) #> b let b' = norm2' b .* ei mp1 1 -- b rotated back to canonical basis by Q^T where mp1 = nrows ha -- = 1 + (# Arnoldi iterations) (qh, rh) <- qr ha let rhs' = takeSV (dim b' - 1) (transpose qh #> b') rh' = takeRows (nrows rh - 1) rh -- last row of `rh` is 0 yhat <- triUpperSolve rh' rhs' let qa' = takeCols (ncols qa - 1) qa -- we don't use last column of Krylov basis return $ qa' #> yhat -- ** CGNE data CGNE a = CGNE {_xCgne , _rCgne, _pCgne :: SpVector a} deriving Eq instance Show a => Show (CGNE a) where show (CGNE x r p) = "x = " ++ show x ++ "\n" ++ "r = " ++ show r ++ "\n" ++ "p = " ++ show p ++ "\n" cgneInit :: (MatrixType (SpVector a) ~ SpMatrix a, LinearVectorSpace (SpVector a)) => SpMatrix a -> SpVector a -> SpVector a -> CGNE a cgneInit aa b x0 = CGNE x0 r0 p0 where r0 = b ^-^ (aa #> x0) -- residual of initial guess solution p0 = transposeSM aa #> r0 cgneStep :: (MatrixType (SpVector a) ~ SpMatrix a, LinearVectorSpace (SpVector a), InnerSpace (SpVector a), Fractional (Scalar (SpVector a))) => SpMatrix a -> CGNE a -> CGNE a cgneStep aa (CGNE x r p) = CGNE x1 r1 p1 where alphai = (r `dot` r) / (p `dot` p) x1 = x ^+^ (alphai .* p) r1 = r ^-^ (alphai .* (aa #> p)) beta = (r1 `dot` r1) / (r `dot` r) p1 = transpose aa #> r ^+^ (beta .* p) -- ** BCG data BCG a = BCG { _xBcg, _rBcg, _rHatBcg, _pBcg, _pHatBcg :: SpVector a } deriving Eq bcgInit :: LinearVectorSpace (SpVector a) => MatrixType (SpVector a) -> SpVector a -> SpVector a -> BCG a bcgInit aa b x0 = BCG x0 r0 r0hat p0 p0hat where r0 = b ^-^ (aa #> x0) r0hat = r0 p0 = r0 p0hat = r0 bcgStep :: (MatrixType (SpVector a) ~ SpMatrix a, LinearVectorSpace (SpVector a), InnerSpace (SpVector a), Fractional (Scalar (SpVector a))) => SpMatrix a -> BCG a -> BCG a bcgStep aa (BCG x r rhat p phat) = BCG x1 r1 rhat1 p1 phat1 where aap = aa #> p alpha = (r `dot` rhat) / (aap `dot` phat) x1 = x ^+^ (alpha .* p) r1 = r ^-^ (alpha .* aap) rhat1 = rhat ^-^ (alpha .* (transpose aa #> phat)) beta = (r1 `dot` rhat1) / (r `dot` rhat) p1 = r1 ^+^ (beta .* p) phat1 = rhat1 ^+^ (beta .* phat) instance Show a => Show (BCG a) where show (BCG x r rhat p phat) = "x = " ++ show x ++ "\n" ++ "r = " ++ show r ++ "\n" ++ "r_hat = " ++ show rhat ++ "\n" ++ "p = " ++ show p ++ "\n" ++ "p_hat = " ++ show phat ++ "\n" -- ** CGS data CGS a = CGS { _x, _r, _p, _u :: SpVector a} deriving Eq cgsInit :: LinearVectorSpace (SpVector a) => MatrixType (SpVector a) -> SpVector a -> SpVector a -> CGS a cgsInit aa b x0 = CGS x0 r0 r0 r0 where r0 = b ^-^ (aa #> x0) -- residual of initial guess solution cgsStep :: (V (SpVector a), Fractional (Scalar (SpVector a))) => MatrixType (SpVector a) -> SpVector a -> CGS a -> CGS a cgsStep aa rhat (CGS x r p u) = CGS xj1 rj1 pj1 uj1 where aap = aa #> p alphaj = (r `dot` rhat) / (aap `dot` rhat) q = u ^-^ (alphaj .* aap) xj1 = x ^+^ (alphaj .* (u ^+^ q)) -- updated solution rj1 = r ^-^ (alphaj .* (aa #> (u ^+^ q))) -- updated residual betaj = (rj1 `dot` rhat) / (r `dot` rhat) uj1 = rj1 ^+^ (betaj .* q) pj1 = uj1 ^+^ (betaj .* (q ^+^ (betaj .* p))) instance (Show a) => Show (CGS a) where show (CGS x r p u) = "x = " ++ show x ++ "\n" ++ "r = " ++ show r ++ "\n" ++ "p = " ++ show p ++ "\n" ++ "u = " ++ show u ++ "\n" -- ** BiCGSTAB data BICGSTAB a = BICGSTAB { _xBicgstab, _rBicgstab, _pBicgstab :: SpVector a} deriving Eq bicgsInit :: LinearVectorSpace (SpVector a) => MatrixType (SpVector a) -> SpVector a -> SpVector a -> BICGSTAB a bicgsInit aa b x0 = BICGSTAB x0 r0 r0 where r0 = b ^-^ (aa #> x0) -- residual of initial guess solution bicgstabStep :: (V (SpVector a), Fractional (Scalar (SpVector a))) => MatrixType (SpVector a) -> SpVector a -> BICGSTAB a -> BICGSTAB a bicgstabStep aa r0hat (BICGSTAB x r p) = BICGSTAB xj1 rj1 pj1 where aap = aa #> p alphaj = (r <.> r0hat) / (aap <.> r0hat) sj = r ^-^ (alphaj .* aap) aasj = aa #> sj omegaj = (aasj <.> sj) / (aasj <.> aasj) xj1 = x ^+^ (alphaj .* p) ^+^ (omegaj .* sj) -- updated solution rj1 = sj ^-^ (omegaj .* aasj) betaj = (rj1 <.> r0hat)/(r <.> r0hat) * alphaj / omegaj pj1 = rj1 ^+^ (betaj .* (p ^-^ (omegaj .* aap))) instance Show a => Show (BICGSTAB a) where show (BICGSTAB x r p) = "x = " ++ show x ++ "\n" ++ "r = " ++ show r ++ "\n" ++ "p = " ++ show p ++ "\n" -- * Moore-Penrose pseudoinverse -- | Least-squares approximation of a rectangular system of equaitons. Uses <\\> for the linear solve pinv :: (MatrixType v ~ SpMatrix a, LinearSystem v, Epsilon a, MonadThrow m, MonadIO m) => SpMatrix a -> v -> m v pinv aa b = aa #~^# aa <\> atb where atb = transpose aa #> b -- | Interface method to individual linear solvers linSolve0 method aa b x0 | m /= nb = throwM (MatVecSizeMismatchException "linSolve0" dm nb) | otherwise = solve aa b where solve aa' b' | isDiagonalSM aa' = return $ reciprocal aa' #> b' -- diagonal solve | otherwise = xHat xHat = case method of BICGSTAB_ -> solver "BICGSTAB" nits _xBicgstab (bicgstabStep aa r0hat) (bicgsInit aa b x0) BCG_ -> solver "BCG" nits _xBcg (bcgStep aa) (bcgInit aa b x0) CGS_ -> solver "CGS" nits _x (cgsStep aa r0hat) (cgsInit aa b x0) GMRES_ -> gmres aa b CGNE_ -> solver "CGNE" nits _xCgne (cgneStep aa) (cgneInit aa b x0) r0hat = b ^-^ (aa #> x0) nits = 200 dm@(m,n) = dim aa nb = dim b solver fname nitermax fproj stepf initf = do xf <- untilConvergedG fname config (const True) stepf initf return $ fproj xf where config = IterConf nitermax True fproj prd -- * Linear solver interface -- -- TFQMR is in LinearSolvers.Experimental for now data LinSolveMethod = GMRES_ | CGNE_ | BCG_ | CGS_ | BICGSTAB_ deriving (Eq, Show) -- -- -- | linSolve using the GMRES method as default instance LinearSystem (SpVector Double) where aa <\> b = linSolve0 GMRES_ aa b (mkSpVR n $ replicate n 0.1) where n = ncols aa instance LinearSystem (SpVector (Complex Double)) where aa <\> b = linSolve0 GMRES_ aa b (mkSpVC n $ replicate n 0.1) where n = ncols aa -- | TODO : if system is poorly conditioned, is it better to warn the user or just switch solvers (e.g. via the pseudoinverse) ? -- linSolveQR aa b init f1 stepf -- | isInfinite k = do -- tell "linSolveQR : rank-deficient system" -- | otherwise = do -- solv aa b init -- where -- (q, r) = qr aa -- k = conditionNumberSM r -- solv aa b init = execState (untilConverged f1 stepf) init -- test data -- aa4 : eigenvalues 1 (mult.=2) and -1 aa4 :: SpMatrix Double aa4 = fromListDenseSM 3 [3,2,-2,2,2,-1,6,5,-4] aa4c :: SpMatrix (Complex Double) aa4c = toC <$> aa4 -- -- * Random arrays -- randArray :: PrimMonad m => Int -> Double -> Double -> m [Double] -- randArray n mu sig = do -- g <- MWC.create -- replicateM n (MWC.normal mu sig g) -- -- * Random matrices and vectors -- -- |Dense SpMatrix -- randMat :: PrimMonad m => Int -> m (SpMatrix Double) -- randMat n = do -- g <- MWC.create -- aav <- replicateM (n^2) (MWC.normal 0 1 g) -- let ii_ = [0 .. n-1] -- (ix_,iy_) = unzip $ concatMap (zip ii_ . replicate n) ii_ -- return $ fromListSM (n,n) $ zip3 ix_ iy_ aav -- -- | Dense SpVector -- randVec :: PrimMonad m => Int -> m (SpVector Double) -- randVec n = do -- g <- MWC.create -- bv <- replicateM n (MWC.normal 0 1 g) -- let ii_ = [0..n-1] -- return $ fromListSV n $ zip ii_ bv -- -- | Sparse SpMatrix -- randSpMat :: Int -> Int -> IO (SpMatrix Double) -- randSpMat n nsp | nsp > n^2 = error "randSpMat : nsp must be < n^2 " -- | otherwise = do -- g <- MWC.create -- aav <- replicateM nsp (MWC.normal 0 1 g) -- ii <- replicateM nsp (MWC.uniformR (0, n-1) g :: IO Int) -- jj <- replicateM nsp (MWC.uniformR (0, n-1) g :: IO Int) -- return $ fromListSM (n,n) $ zip3 ii jj aav -- -- | Sparse SpVector -- randSpVec :: Int -> Int -> IO (SpVector Double) -- randSpVec n nsp | nsp > n = error "randSpVec : nsp must be < n" -- | otherwise = do -- g <- MWC.create -- aav <- replicateM nsp (MWC.normal 0 1 g) -- ii <- replicateM nsp (MWC.uniformR (0, n-1) g :: IO Int) -- return $ fromListSV n $ zip ii aav