diff options
author | Gael Guennebaud <g.gael@free.fr> | 2012-02-14 22:07:19 +0100 |
---|---|---|
committer | Gael Guennebaud <g.gael@free.fr> | 2012-02-14 22:07:19 +0100 |
commit | 4cc6d7aa6233bf5d135ce43b46e9a258d08da6b5 (patch) | |
tree | 6ad6cd22467d4022c718daac115b2cdb5dea5062 | |
parent | ef448da57bdcb6fc9feb39454114acba11849489 (diff) |
clean a bit the ILUT code
-rw-r--r-- | Eigen/IterativeLinearSolvers | 6 | ||||
-rw-r--r-- | Eigen/src/IterativeLinearSolvers/IncompleteLUT.h | 503 |
2 files changed, 281 insertions, 228 deletions
diff --git a/Eigen/IterativeLinearSolvers b/Eigen/IterativeLinearSolvers index 8f2c13eb8..3bd298729 100644 --- a/Eigen/IterativeLinearSolvers +++ b/Eigen/IterativeLinearSolvers @@ -2,6 +2,7 @@ #define EIGEN_ITERATIVELINEARSOLVERS_MODULE_H #include "SparseCore" +#include "OrderingMethods" #include "src/Core/util/DisableStupidWarnings.h" @@ -15,6 +16,11 @@ namespace Eigen { * - ConjugateGradient for selfadjoint (hermitian) matrices, * - BiCGSTAB for general square matrices. * + * These iterative solvers are associated with some preconditioners: + * - IdentityPreconditioner - not really useful + * - DiagonalPreconditioner - also called JAcobi preconditioner, work very well on diagonal dominant matrices. + * - IncompleteILUT - incomplete LU factorization with dual thresholding + * * Such problems can also be solved using the direct sparse decomposition modules: SparseCholesky, CholmodSupport, UmfPackSupport, SuperLUSupport. * * \code diff --git a/Eigen/src/IterativeLinearSolvers/IncompleteLUT.h b/Eigen/src/IterativeLinearSolvers/IncompleteLUT.h index e8bde24b0..3f136cc4a 100644 --- a/Eigen/src/IterativeLinearSolvers/IncompleteLUT.h +++ b/Eigen/src/IterativeLinearSolvers/IncompleteLUT.h @@ -24,15 +24,13 @@ #ifndef EIGEN_INCOMPLETE_LUT_H #define EIGEN_INCOMPLETE_LUT_H -#include <bench/btl/generic_bench/utils/utilities.h> -#include <Eigen/src/OrderingMethods/Amd.h> /** * \brief Incomplete LU factorization with dual-threshold strategy * During the numerical factorization, two dropping rules are used : - * 1) any element whose magnitude is less than some tolerance is dropped. + * 1) any element whose magnitude is less than some tolerance is dropped. * This tolerance is obtained by multiplying the input tolerance @p droptol - * by the average magnitude of all the original elements in the current row. + * by the average magnitude of all the original elements in the current row. * 2) After the elimination of the row, only the @p fill largest elements in * the L part and the @p fill largest elements in the U part are kept * (in addition to the diagonal element ). Note that @p fill is computed from @@ -63,11 +61,15 @@ class IncompleteLUT public: typedef Matrix<Scalar,Dynamic,Dynamic> MatrixType; - IncompleteLUT() : m_droptol(NumTraits<Scalar>::dummy_precision()),m_fillfactor(10),m_analysisIsOk(false),m_factorizationIsOk(false),m_isInitialized(false) {} + IncompleteLUT() + : m_droptol(NumTraits<Scalar>::dummy_precision()), m_fillfactor(10), + m_analysisIsOk(false), m_factorizationIsOk(false), m_isInitialized(false) + {} template<typename MatrixType> - IncompleteLUT(const MatrixType& mat, RealScalar droptol, int fillfactor) - : m_droptol(droptol),m_fillfactor(fillfactor),m_analysisIsOk(false),m_factorizationIsOk(false),m_isInitialized(false) + IncompleteLUT(const MatrixType& mat, RealScalar droptol=NumTraits<Scalar>::dummy_precision(), int fillfactor = 10) + : m_droptol(droptol),m_fillfactor(fillfactor), + m_analysisIsOk(false),m_factorizationIsOk(false),m_isInitialized(false) { eigen_assert(fillfactor != 0); compute(mat); @@ -76,205 +78,23 @@ class IncompleteLUT Index rows() const { return m_lu.rows(); } Index cols() const { return m_lu.cols(); } - - template<typename MatrixType> - void analyzePattern(const MatrixType& amat) + + /** \brief Reports whether previous computation was successful. + * + * \returns \c Success if computation was succesful, + * \c NumericalIssue if the matrix.appears to be negative. + */ + ComputationInfo info() const { - /* Compute the Fill-reducing permutation */ - SparseMatrix<Scalar,ColMajor, Index> mat1 = amat; - SparseMatrix<Scalar,ColMajor, Index> mat2 = amat.transpose(); - SparseMatrix<Scalar,ColMajor, Index> AtA = mat2 * mat1; /* Symmetrize the pattern */ - AtA.prune(keep_diag()); - internal::minimum_degree_ordering<Scalar, Index>(AtA, m_P); /* Then compute the AMD ordering... */ - - m_Pinv = m_P.inverse(); /* ... and the inverse permutation */ - m_analysisIsOk = true; + eigen_assert(m_isInitialized && "IncompleteLUT is not initialized."); + return m_info; } template<typename MatrixType> - void factorize(const MatrixType& amat) - { - eigen_assert((amat.rows() == amat.cols()) && "The factorization should be done on a square matrix"); - int n = amat.cols(); /* Size of the matrix */ - m_lu.resize(n,n); - int fill_in; /* Number of largest elements to keep in each row */ - int nnzL, nnzU; /* Number of largest nonzero elements to keep in the L and the U part of the current row */ - /* Declare Working vectors and variables */ - int sizeu; /* number of nonzero elements in the upper part of the current row */ - int sizel; /* number of nonzero elements in the lower part of the current row */ - Vector u(n) ; /* real values of the row -- maximum size is n -- */ - VectorXi ju(n); /*column position of the values in u -- maximum size is n*/ - VectorXi jr(n); /* Indicate the position of the nonzero elements in the vector u -- A zero location is indicated by -1*/ - int j, k, jj, jpos, minrow, len; - Scalar fact, prod; - RealScalar rownorm; - - /* Apply the fill-reducing permutation */ - - eigen_assert(m_analysisIsOk && "You must first call analyzePattern()"); - SparseMatrix<Scalar,RowMajor, Index> mat; - mat = amat.twistedBy(m_Pinv); - - /* Initialization */ - fact = 0; - jr.fill(-1); - ju.fill(0); - u.fill(0); - fill_in = static_cast<int> (amat.nonZeros()*m_fillfactor)/n+1; - if (fill_in > n) fill_in = n; - nnzL = fill_in/2; - nnzU = nnzL; - m_lu.reserve(n * (nnzL + nnzU + 1)); - for (int ii = 0; ii < n; ii++) - { /* global loop over the rows of the sparse matrix */ - - /* Copy the lower and the upper part of the row i of mat in the working vector u */ - sizeu = 1; - sizel = 0; - ju(ii) = ii; - u(ii) = 0; - jr(ii) = ii; - rownorm = 0; - - typename FactorType::InnerIterator j_it(mat, ii); /* Iterate through the current row ii */ - for (; j_it; ++j_it) - { - k = j_it.index(); - if (k < ii) - { /* Copy the lower part */ - ju(sizel) = k; - u(sizel) = j_it.value(); - jr(k) = sizel; - ++sizel; - } - else if (k == ii) - { - u(ii) = j_it.value(); - } - else - { /* Copy the upper part */ - jpos = ii + sizeu; - ju(jpos) = k; - u(jpos) = j_it.value(); - jr(k) = jpos; - ++sizeu; - } - rownorm += internal::abs2(j_it.value()); - } /* end copy of the row */ - /* detect possible zero row */ - if (rownorm == 0) eigen_internal_assert(false); - rownorm = std::sqrt(rownorm); /* Take the 2-norm of the current row as a relative tolerance */ - - /* Now, eliminate the previous nonzero rows */ - jj = 0; len = 0; - while (jj < sizel) - { /* In order to eliminate in the correct order, we must select first the smallest column index among ju(jj:sizel) */ - - minrow = ju.segment(jj,sizel-jj).minCoeff(&k); /* k est relatif au segment */ - k += jj; - if (minrow != ju(jj)) { /* swap the two locations */ - j = ju(jj); - std::swap(ju(jj), ju(k)); - jr(minrow) = jj; jr(j) = k; - std::swap(u(jj), u(k)); - } - /* Reset this location to zero */ - jr(minrow) = -1; - - /* Start elimination */ - typename FactorType::InnerIterator ki_it(m_lu, minrow); - while (ki_it && ki_it.index() < minrow) ++ki_it; - if(ki_it && ki_it.col()==minrow) fact = u(jj) / ki_it.value(); - else { eigen_internal_assert(false); } - if( std::abs(fact) <= m_droptol ) { - jj++; - continue ; /* This element is been dropped */ - } - /* linear combination of the current row ii and the row minrow */ - ++ki_it; - for (; ki_it; ++ki_it) { - prod = fact * ki_it.value(); - j = ki_it.index(); - jpos = jr(j); - if (j >= ii) { /* Dealing with the upper part */ - if (jpos == -1) { /* Fill-in element */ - int newpos = ii + sizeu; - ju(newpos) = j; - u(newpos) = - prod; - jr(j) = newpos; - sizeu++; - if (sizeu > n) { eigen_internal_assert(false);} - } - else { /* Not a fill_in element */ - u(jpos) -= prod; - } - } - else { /* Dealing with the lower part */ - if (jpos == -1) { /* Fill-in element */ - ju(sizel) = j; - jr(j) = sizel; - u(sizel) = - prod; - sizel++; - if(sizel > n) { eigen_internal_assert(false);} - } - else { - u(jpos) -= prod; - } - } - } - /* Store the pivot element */ - u(len) = fact; - ju(len) = minrow; - ++len; - - jj++; - } /* End While loop -- end of the elimination on the row ii*/ - /* Reset the upper part of the pointer jr to zero */ - for (k = 0; k <sizeu; k++){ - jr(ju(ii+k)) = -1; - } - /* Sort the L-part of the row --use Quicksplit()*/ - sizel = len; - len = std::min(sizel, nnzL ); - typename Vector::SegmentReturnType ul(u.segment(0, len)); - typename VectorXi::SegmentReturnType jul(ju.segment(0, len)); - QuickSplit(ul, jul, len); - - - /* Store the largest m_fill elements of the L part */ - m_lu.startVec(ii); - for (k = 0; k < len; k++){ - m_lu.insertBackByOuterInnerUnordered(ii,ju(k)) = u(k); - } - - /* Store the diagonal element */ - if (u(ii) == Scalar(0)) - u(ii) = std::sqrt(m_droptol ) * rownorm ; /* NOTE This is used to avoid a zero pivot, because we are doing an incomplete factorization */ - m_lu.insertBackByOuterInnerUnordered(ii, ii) = u(ii); - /* Sort the U-part of the row -- Use Quicksplit() */ - len = 0; - for (k = 1; k < sizeu; k++) { /* First, drop any element that is below a relative tolerance */ - if ( std::abs(u(ii+k)) > m_droptol * rownorm ) { - ++len; - u(ii + len) = u(ii + k); - ju(ii + len) = ju(ii + k); - } - } - sizeu = len + 1; /* To take into account the diagonal element */ - len = std::min(sizeu, nnzU); - typename Vector::SegmentReturnType uu(u.segment(ii+1, sizeu-1)); - typename VectorXi::SegmentReturnType juu(ju.segment(ii+1, sizeu-1)); - QuickSplit(uu, juu, len); - /* Store the largest <fill> elements of the U part */ - for (k = ii + 1; k < ii + len; k++){ - m_lu.insertBackByOuterInnerUnordered(ii,ju(k)) = u(k); - } - } /* End global for-loop */ - m_lu.finalize(); - m_lu.makeCompressed(); /* NOTE To save the extra space */ - - m_factorizationIsOk = true; - } + void analyzePattern(const MatrixType& amat); + + template<typename MatrixType> + void factorize(const MatrixType& amat); /** * Compute an incomplete LU factorization with dual threshold on the matrix mat @@ -291,19 +111,15 @@ class IncompleteLUT return *this; } - void setDroptol(RealScalar droptol); void setFillfactor(int fillfactor); - - - template<typename Rhs, typename Dest> void _solve(const Rhs& b, Dest& x) const { x = m_Pinv * b; - x = m_lu.template triangularView<UnitLower>().solve(x);/* Compute L*x = P*b for x */ - x = m_lu.template triangularView<Upper>().solve(x); /* Compute U * z = y for z */ + x = m_lu.template triangularView<UnitLower>().solve(x); + x = m_lu.template triangularView<Upper>().solve(x); x = m_P * x; } @@ -315,19 +131,13 @@ class IncompleteLUT && "IncompleteLUT::solve(): invalid number of rows of the right hand side matrix b"); return internal::solve_retval<IncompleteLUT, Rhs>(*this, b.derived()); } - + protected: - FactorType m_lu; - RealScalar m_droptol; - int m_fillfactor; - bool m_analysisIsOk; - bool m_factorizationIsOk; - bool m_isInitialized; - template <typename VectorV, typename VectorI> - int QuickSplit(VectorV &row, VectorI &ind, int ncut); - PermutationMatrix<Dynamic,Dynamic,Index> m_P; /* Fill-reducing permutation */ - PermutationMatrix<Dynamic,Dynamic,Index> m_Pinv; /* Inverse permutation */ - + + template <typename VectorV, typename VectorI> + int QuickSplit(VectorV &row, VectorI &ind, int ncut); + + /** keeps off-diagonal entries; drops diagonal entries */ struct keep_diag { inline bool operator() (const Index& row, const Index& col, const Scalar&) const @@ -335,6 +145,18 @@ protected: return row!=col; } }; + +protected: + + FactorType m_lu; + RealScalar m_droptol; + int m_fillfactor; + bool m_analysisIsOk; + bool m_factorizationIsOk; + bool m_isInitialized; + ComputationInfo m_info; + PermutationMatrix<Dynamic,Dynamic,Index> m_P; // Fill-reducing permutation + PermutationMatrix<Dynamic,Dynamic,Index> m_Pinv; // Inverse permutation }; /** @@ -371,8 +193,9 @@ template <typename Scalar> template <typename VectorV, typename VectorI> int IncompleteLUT<Scalar>::QuickSplit(VectorV &row, VectorI &ind, int ncut) { + using std::swap; int mid; - int n = row.size(); /* lenght of the vector */ + int n = row.size(); /* length of the vector */ int first, last ; ncut--; /* to fit the zero-based indices */ @@ -386,23 +209,247 @@ int IncompleteLUT<Scalar>::QuickSplit(VectorV &row, VectorI &ind, int ncut) for (int j = first + 1; j <= last; j++) { if ( std::abs(row(j)) > abskey) { ++mid; - std::swap(row(mid), row(j)); - std::swap(ind(mid), ind(j)); + swap(row(mid), row(j)); + swap(ind(mid), ind(j)); } } /* Interchange for the pivot element */ - std::swap(row(mid), row(first)); - std::swap(ind(mid), ind(first)); + swap(row(mid), row(first)); + swap(ind(mid), ind(first)); if (mid > ncut) last = mid - 1; else if (mid < ncut ) first = mid + 1; } while (mid != ncut ); - - return 0; /* mid is equal to ncut */ - + return 0; /* mid is equal to ncut */ } +template <typename Scalar> +template<typename _MatrixType> +void IncompleteLUT<Scalar>::analyzePattern(const _MatrixType& amat) +{ + // Compute the Fill-reducing permutation + SparseMatrix<Scalar,ColMajor, Index> mat1 = amat; + SparseMatrix<Scalar,ColMajor, Index> mat2 = amat.transpose(); + // Symmetrize the pattern + // FIXME for a matrix with nearly symmetric pattern, mat2+mat1 is the appropriate choice. + // on the other hand for a really non-symmetric pattern, mat2*mat1 should be prefered... + SparseMatrix<Scalar,ColMajor, Index> AtA = mat2 + mat1; + AtA.prune(keep_diag()); + internal::minimum_degree_ordering<Scalar, Index>(AtA, m_P); // Then compute the AMD ordering... + + m_Pinv = m_P.inverse(); // ... and the inverse permutation + + m_analysisIsOk = true; +} + +template <typename Scalar> +template<typename _MatrixType> +void IncompleteLUT<Scalar>::factorize(const _MatrixType& amat) +{ + using std::sqrt; + using std::swap; + using std::abs; + + eigen_assert((amat.rows() == amat.cols()) && "The factorization should be done on a square matrix"); + int n = amat.cols(); // Size of the matrix + m_lu.resize(n,n); + // Declare Working vectors and variables + Vector u(n) ; // real values of the row -- maximum size is n -- + VectorXi ju(n); // column position of the values in u -- maximum size is n + VectorXi jr(n); // Indicate the position of the nonzero elements in the vector u -- A zero location is indicated by -1 + + // Apply the fill-reducing permutation + eigen_assert(m_analysisIsOk && "You must first call analyzePattern()"); + SparseMatrix<Scalar,RowMajor, Index> mat; + mat = amat.twistedBy(m_Pinv); + + // Initialization + jr.fill(-1); + ju.fill(0); + u.fill(0); + + // number of largest elements to keep in each row: + int fill_in = static_cast<int> (amat.nonZeros()*m_fillfactor)/n+1; + if (fill_in > n) fill_in = n; + + // number of largest nonzero elements to keep in the L and the U part of the current row: + int nnzL = fill_in/2; + int nnzU = nnzL; + m_lu.reserve(n * (nnzL + nnzU + 1)); + + // global loop over the rows of the sparse matrix + for (int ii = 0; ii < n; ii++) + { + // 1 - copy the lower and the upper part of the row i of mat in the working vector u + + int sizeu = 1; // number of nonzero elements in the upper part of the current row + int sizel = 0; // number of nonzero elements in the lower part of the current row + ju(ii) = ii; + u(ii) = 0; + jr(ii) = ii; + RealScalar rownorm = 0; + + typename FactorType::InnerIterator j_it(mat, ii); // Iterate through the current row ii + for (; j_it; ++j_it) + { + int k = j_it.index(); + if (k < ii) + { + // copy the lower part + ju(sizel) = k; + u(sizel) = j_it.value(); + jr(k) = sizel; + ++sizel; + } + else if (k == ii) + { + u(ii) = j_it.value(); + } + else + { + // copy the upper part + int jpos = ii + sizeu; + ju(jpos) = k; + u(jpos) = j_it.value(); + jr(k) = jpos; + ++sizeu; + } + rownorm += internal::abs2(j_it.value()); + } + + // 2 - detect possible zero row + if(rownorm==0) + { + m_info = NumericalIssue; + return; + } + // Take the 2-norm of the current row as a relative tolerance + rownorm = sqrt(rownorm); + + // 3 - eliminate the previous nonzero rows + int jj = 0; + int len = 0; + while (jj < sizel) + { + // In order to eliminate in the correct order, + // we must select first the smallest column index among ju(jj:sizel) + int k; + int minrow = ju.segment(jj,sizel-jj).minCoeff(&k); // k is relative to the segment + k += jj; + if (minrow != ju(jj)) + { + // swap the two locations + int j = ju(jj); + swap(ju(jj), ju(k)); + jr(minrow) = jj; jr(j) = k; + swap(u(jj), u(k)); + } + // Reset this location + jr(minrow) = -1; + + // Start elimination + typename FactorType::InnerIterator ki_it(m_lu, minrow); + while (ki_it && ki_it.index() < minrow) ++ki_it; + eigen_internal_assert(ki_it && ki_it.col()==minrow); + Scalar fact = u(jj) / ki_it.value(); + + // drop too small elements + if(abs(fact) <= m_droptol) + { + jj++; + continue; + } + + // linear combination of the current row ii and the row minrow + ++ki_it; + for (; ki_it; ++ki_it) + { + Scalar prod = fact * ki_it.value(); + int j = ki_it.index(); + int jpos = jr(j); + if (jpos == -1) // fill-in element + { + int newpos; + if (j >= ii) // dealing with the upper part + { + newpos = ii + sizeu; + sizeu++; + eigen_internal_assert(sizeu<=n); + } + else // dealing with the lower part + { + newpos = sizel; + sizel++; + eigen_internal_assert(sizel<ii); + } + ju(newpos) = j; + u(newpos) = -prod; + jr(j) = newpos; + } + else + u(jpos) -= prod; + } + // store the pivot element + u(len) = fact; + ju(len) = minrow; + ++len; + + jj++; + } // end of the elimination on the row ii + + // reset the upper part of the pointer jr to zero + for(int k = 0; k <sizeu; k++) jr(ju(ii+k)) = -1; + + // 4 - partially sort and insert the elements in the m_lu matrix + + // sort the L-part of the row + sizel = len; + len = (std::min)(sizel, nnzL); + typename Vector::SegmentReturnType ul(u.segment(0, sizel)); + typename VectorXi::SegmentReturnType jul(ju.segment(0, sizel)); + QuickSplit(ul, jul, len); + + // store the largest m_fill elements of the L part + m_lu.startVec(ii); + for(int k = 0; k < len; k++) + m_lu.insertBackByOuterInnerUnordered(ii,ju(k)) = u(k); + + // store the diagonal element + // apply a shifting rule to avoid zero pivots (we are doing an incomplete factorization) + if (u(ii) == Scalar(0)) + u(ii) = sqrt(m_droptol) * rownorm; + m_lu.insertBackByOuterInnerUnordered(ii, ii) = u(ii); + + // sort the U-part of the row + // apply the dropping rule first + len = 0; + for(int k = 1; k < sizeu; k++) + { + if(abs(u(ii+k)) > m_droptol * rownorm ) + { + ++len; + u(ii + len) = u(ii + k); + ju(ii + len) = ju(ii + k); + } + } + sizeu = len + 1; // +1 to take into account the diagonal element + len = (std::min)(sizeu, nnzU); + typename Vector::SegmentReturnType uu(u.segment(ii+1, sizeu-1)); + typename VectorXi::SegmentReturnType juu(ju.segment(ii+1, sizeu-1)); + QuickSplit(uu, juu, len); + + // store the largest elements of the U part + for(int k = ii + 1; k < ii + len; k++) + m_lu.insertBackByOuterInnerUnordered(ii,ju(k)) = u(k); + } + + m_lu.finalize(); + m_lu.makeCompressed(); + + m_factorizationIsOk = true; + m_info = Success; +} namespace internal { |