add a conjugate gradient solver

2 files changed, 75 insertions, 0 deletions

diff --git a/unsupported/test/CMakeLists.txt b/unsupported/test/CMakeLists.txt
index e0df35177..a14b57cb9 100644
--- a/unsupported/test/CMakeLists.txt
+++ b/unsupported/test/CMakeLists.txt
@@ -139,3 +139,4 @@ endif(GSL_FOUND)
 ei_add_test(polynomialsolver " " "${GSL_LIBRARIES}" )
 ei_add_test(polynomialutils)
 ei_add_test(kronecker_product)
+ei_add_test(cg)
diff --git a/unsupported/test/cg.cpp b/unsupported/test/cg.cpp
new file mode 100644
index 000000000..aede84d58
--- /dev/null
+++ b/unsupported/test/cg.cpp
@@ -0,0 +1,74 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2011 Gael Guennebaud <gael.guennebaud@inria.fr>
+//
+// Eigen is free software; you can redistribute it and/or
+// modify it under the terms of the GNU Lesser General Public
+// License as published by the Free Software Foundation; either
+// version 3 of the License, or (at your option) any later version.
+//
+// Alternatively, you can redistribute it and/or
+// modify it under the terms of the GNU General Public License as
+// published by the Free Software Foundation; either version 2 of
+// the License, or (at your option) any later version.
+//
+// Eigen is distributed in the hope that it will be useful, but WITHOUT ANY
+// WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+// FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License or the
+// GNU General Public License for more details.
+//
+// You should have received a copy of the GNU Lesser General Public
+// License and a copy of the GNU General Public License along with
+// Eigen. If not, see <http://www.gnu.org/licenses/>.
+
+#include "sparse.h"
+#include <Eigen/IterativeSolvers>
+
+template<typename Scalar,typename Index> void cg(int size)
+{
+  double density = std::max(8./(size*size), 0.01);
+  typedef Matrix<Scalar,Dynamic,Dynamic> DenseMatrix;
+  typedef Matrix<Scalar,Dynamic,1> DenseVector;
+  typedef SparseMatrix<Scalar,ColMajor,Index> SparseMatrixType;  
+
+  SparseMatrixType m2(size,size);
+  DenseMatrix refMat2(size,size);
+
+  DenseVector b = DenseVector::Random(size);
+  DenseVector ref_x(size), x(size);
+
+  initSparse<Scalar>(density, refMat2, m2, ForceNonZeroDiag|MakeLowerTriangular, 0, 0);
+//   for(int i=0; i<rows; ++i)
+//     m2.coeffRef(i,i) = refMat2(i,i) = internal::abs(internal::real(refMat2(i,i)));
+    
+  SparseMatrixType m3 = m2 * m2.adjoint(), m3_lo(size,size), m3_up(size,size);
+  DenseMatrix refMat3 = refMat2 * refMat2.adjoint();
+
+  m3_lo.template selfadjointView<Lower>().rankUpdate(m2,0);
+  m3_up.template selfadjointView<Upper>().rankUpdate(m2,0);
+
+  ref_x = refMat3.template selfadjointView<Lower>().llt().solve(b);
+
+  x = ConjugateGradient<SparseMatrixType, Lower>().compute(m3).solve(b);
+  VERIFY(ref_x.isApprox(x,test_precision<Scalar>()) && "ConjugateGradient: solve, full storage, lower");
+
+  x = ConjugateGradient<SparseMatrixType, Upper>().compute(m3).solve(b);
+  VERIFY(ref_x.isApprox(x,test_precision<Scalar>()) && "ConjugateGradient: solve, full storage, upper, single dense rhs");
+
+  x = ConjugateGradient<SparseMatrixType, Lower>(m3_lo).solve(b);
+  VERIFY(ref_x.isApprox(x,test_precision<Scalar>()) && "SimplicialCholesky: solve, lower only, single dense rhs");
+
+  x = ConjugateGradient<SparseMatrixType, Upper>(m3_up).solve(b);
+  VERIFY(ref_x.isApprox(x,test_precision<Scalar>()) && "SimplicialCholesky: solve, upper only, single dense rhs");
+}
+
+void test_cg()
+{
+  for(int i = 0; i < g_repeat; i++) {
+    CALL_SUBTEST_1( (cg<double,int>(8)) );
+    CALL_SUBTEST_1( (cg<double,long int>(8)) );
+    CALL_SUBTEST_2( (cg<std::complex<double>,int>(internal::random<int>(1,300))) );
+    CALL_SUBTEST_1( (cg<double,int>(internal::random<int>(1,300))) );
+  }
+}