Idrs iterative linear solver

7 files changed, 473 insertions, 5 deletions

diff --git a/unsupported/Eigen/IterativeSolvers b/unsupported/Eigen/IterativeSolvers
index 0fa129a7b..08db3f163 100644
--- a/unsupported/Eigen/IterativeSolvers
+++ b/unsupported/Eigen/IterativeSolvers
@@ -15,11 +15,14 @@
 #include "../../Eigen/Householder"
 
 /**
-  * \defgroup IterativeSolvers_Module Iterative solvers module
+  * \defgroup IterativeLinearSolvers_Module Iterative solvers module
   * This module aims to provide various iterative linear and non linear solver algorithms.
   * It currently provides:
   *  - a constrained conjugate gradient
   *  - a Householder GMRES implementation
+  *  - an IDR(s) implementation
+  *  - a DGMRES implementation
+  *  - a MINRES implementation
   * \code
   * #include <unsupported/Eigen/IterativeSolvers>
   * \endcode
@@ -38,6 +41,7 @@
 #include "src/IterativeSolvers/DGMRES.h"
 //#include "src/IterativeSolvers/SSORPreconditioner.h"
 #include "src/IterativeSolvers/MINRES.h"
+#include "src/IterativeSolvers/IDRS.h"
 
 #include "../../Eigen/src/Core/util/ReenableStupidWarnings.h"
 
diff --git a/unsupported/Eigen/src/IterativeSolvers/ConstrainedConjGrad.h b/unsupported/Eigen/src/IterativeSolvers/ConstrainedConjGrad.h
index 21031a706..e7d70f39d 100644
--- a/unsupported/Eigen/src/IterativeSolvers/ConstrainedConjGrad.h
+++ b/unsupported/Eigen/src/IterativeSolvers/ConstrainedConjGrad.h
@@ -37,7 +37,7 @@ namespace Eigen {
 
 namespace internal {
 
-/** \ingroup IterativeSolvers_Module
+/** \ingroup IterativeLinearSolvers_Module
   * Compute the pseudo inverse of the non-square matrix C such that
   * \f$ CINV = (C * C^T)^{-1} * C \f$ based on a conjugate gradient method.
   *
@@ -96,7 +96,7 @@ void pseudo_inverse(const CMatrix &C, CINVMatrix &CINV)
 
 
 
-/** \ingroup IterativeSolvers_Module
+/** \ingroup IterativeLinearSolvers_Module
   * Constrained conjugate gradient
   *
   * Computes the minimum of \f$ 1/2((Ax).x) - bx \f$ under the constraint \f$ Cx \le f \f$
diff --git a/unsupported/Eigen/src/IterativeSolvers/DGMRES.h b/unsupported/Eigen/src/IterativeSolvers/DGMRES.h
index 2ab56b5e7..5ae011b75 100644
--- a/unsupported/Eigen/src/IterativeSolvers/DGMRES.h
+++ b/unsupported/Eigen/src/IterativeSolvers/DGMRES.h
@@ -57,7 +57,7 @@ void sortWithPermutation (VectorType& vec, IndexType& perm, typename IndexType::
 
 }
 /**
- * \ingroup IterativeLInearSolvers_Module
+ * \ingroup IterativeLinearSolvers_Module
  * \brief A Restarted GMRES with deflation.
  * This class implements a modification of the GMRES solver for
  * sparse linear systems. The basis is built with modified 
diff --git a/unsupported/Eigen/src/IterativeSolvers/IDRS.h b/unsupported/Eigen/src/IterativeSolvers/IDRS.h
new file mode 100755
index 000000000..90d20fad4
--- /dev/null
+++ b/unsupported/Eigen/src/IterativeSolvers/IDRS.h
@@ -0,0 +1,436 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2020 Chris Schoutrop <c.e.m.schoutrop@tue.nl>
+// Copyright (C) 2020 Jens Wehner <j.wehner@esciencecenter.nl>
+// Copyright (C) 2020 Jan van Dijk <j.v.dijk@tue.nl>
+//
+// 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_IDRS_H
+#define EIGEN_IDRS_H
+
+namespace Eigen
+{
+
+	namespace internal
+	{
+		/**     \internal Low-level Induced Dimension Reduction algoritm
+		        \param A The matrix A
+		        \param b The right hand side vector b
+		        \param x On input and initial solution, on output the computed solution.
+		        \param precond A preconditioner being able to efficiently solve for an
+		                  approximation of Ax=b (regardless of b)
+		        \param iter On input the max number of iteration, on output the number of performed iterations.
+		        \param relres On input the tolerance error, on output an estimation of the relative error.
+		        \param S On input Number of the dimension of the shadow space.
+				\param smoothing switches residual smoothing on.
+				\param angle small omega lead to faster convergence at the expense of numerical stability
+				\param replacement switches on a residual replacement strategy to increase accuracy of residual at the expense of more Mat*vec products
+		        \return false in the case of numerical issue, for example a break down of IDRS.
+		*/
+		template<typename Vector, typename RealScalar>
+		typename Vector::Scalar omega(const Vector& t, const Vector& s, RealScalar angle)
+		{
+			using numext::abs;
+			typedef typename Vector::Scalar Scalar;
+			const RealScalar ns = s.norm();
+			const RealScalar nt = t.norm();
+			const Scalar ts = t.dot(s);
+			const RealScalar rho = abs(ts / (nt * ns));
+
+			if (rho < angle) {
+				if (ts == Scalar(0)) {
+					return Scalar(0);
+				}
+				// Original relation for om is given by
+				// om = om * angle / rho;
+				// To alleviate potential (near) division by zero this can be rewritten as
+				// om = angle * (ns / nt) * (ts / abs(ts)) = angle * (ns / nt) * sgn(ts)
+  				return angle * (ns / nt) * (ts / abs(ts));
+			}
+			return ts / (nt * nt);
+		}
+
+		template <typename MatrixType, typename Rhs, typename Dest, typename Preconditioner>
+		bool idrs(const MatrixType& A, const Rhs& b, Dest& x, const Preconditioner& precond,
+			Index& iter,
+			typename Dest::RealScalar& relres, Index S, bool smoothing, typename Dest::RealScalar angle, bool replacement)
+		{
+			typedef typename Dest::RealScalar RealScalar;
+			typedef typename Dest::Scalar Scalar;
+			typedef Matrix<Scalar, Dynamic, 1> VectorType;
+			typedef Matrix<Scalar, Dynamic, Dynamic, ColMajor> DenseMatrixType;
+			const Index N = b.size();
+			S = S < x.rows() ? S : x.rows();
+			const RealScalar tol = relres;
+			const Index maxit = iter;
+
+			Index replacements = 0;
+			bool trueres = false;
+
+			FullPivLU<DenseMatrixType> lu_solver;
+
+			DenseMatrixType P;
+			{
+				HouseholderQR<DenseMatrixType> qr(DenseMatrixType::Random(N, S));
+			    P = (qr.householderQ() * DenseMatrixType::Identity(N, S));
+			}
+
+			const RealScalar normb = b.norm();
+
+			if (internal::isApprox(normb, RealScalar(0)))
+			{
+				//Solution is the zero vector
+				x.setZero();
+				iter = 0;
+				relres = 0;
+				return true;
+			}
+			 // from http://homepage.tudelft.nl/1w5b5/IDRS/manual.pdf
+			 // A peak in the residual is considered dangerously high if‖ri‖/‖b‖> C(tol/epsilon).
+			 // With epsilon the
+             // relative machine precision. The factor tol/epsilon corresponds to the size of a
+             // finite precision number that is so large that the absolute round-off error in
+             // this number, when propagated through the process, makes it impossible to
+             // achieve the required accuracy.The factor C accounts for the accumulation of
+             // round-off errors. This parameter has beenset to 10−3.
+			 // mp is epsilon/C
+			 // 10^3 * eps is very conservative, so normally no residual replacements will take place. 
+			 // It only happens if things go very wrong. Too many restarts may ruin the convergence.
+			const RealScalar mp = RealScalar(1e3) * NumTraits<Scalar>::epsilon();
+
+
+
+			//Compute initial residual
+			const RealScalar tolb = tol * normb; //Relative tolerance
+			VectorType r = b - A * x;
+
+			VectorType x_s, r_s;
+
+			if (smoothing)
+			{
+				x_s = x;
+				r_s = r;
+			}
+
+			RealScalar normr = r.norm();
+
+			if (normr <= tolb)
+			{
+				//Initial guess is a good enough solution
+				iter = 0;
+				relres = normr / normb;
+				return true;
+			}
+
+			DenseMatrixType G = DenseMatrixType::Zero(N, S);
+			DenseMatrixType U = DenseMatrixType::Zero(N, S);
+			DenseMatrixType M = DenseMatrixType::Identity(S, S);
+			VectorType t(N), v(N);
+			Scalar om = 1.;
+
+			//Main iteration loop, guild G-spaces:
+			iter = 0;
+
+			while (normr > tolb && iter < maxit)
+			{
+				//New right hand size for small system:
+				VectorType f = (r.adjoint() * P).adjoint();
+
+				for (Index k = 0; k < S; ++k)
+				{
+					//Solve small system and make v orthogonal to P:
+					//c = M(k:s,k:s)\f(k:s);
+					lu_solver.compute(M.block(k , k , S -k, S - k ));
+					VectorType c = lu_solver.solve(f.segment(k , S - k ));
+					//v = r - G(:,k:s)*c;
+					v = r - G.rightCols(S - k ) * c;
+					//Preconditioning
+					v = precond.solve(v);
+
+					//Compute new U(:,k) and G(:,k), G(:,k) is in space G_j
+					U.col(k) = U.rightCols(S - k ) * c + om * v;
+					G.col(k) = A * U.col(k );
+
+					//Bi-Orthogonalise the new basis vectors:
+					for (Index i = 0; i < k-1 ; ++i)
+					{
+						//alpha =  ( P(:,i)'*G(:,k) )/M(i,i);
+						Scalar alpha = P.col(i ).dot(G.col(k )) / M(i, i );
+						G.col(k ) = G.col(k ) - alpha * G.col(i );
+						U.col(k ) = U.col(k ) - alpha * U.col(i );
+					}
+
+					//New column of M = P'*G  (first k-1 entries are zero)
+					//M(k:s,k) = (G(:,k)'*P(:,k:s))';
+					M.block(k , k , S - k , 1) = (G.col(k ).adjoint() * P.rightCols(S - k )).adjoint();
+
+					if (internal::isApprox(M(k,k), Scalar(0)))
+					{
+						return false;
+					}
+
+					//Make r orthogonal to q_i, i = 0..k-1
+					Scalar beta = f(k ) / M(k , k );
+					r = r - beta * G.col(k );
+					x = x + beta * U.col(k );
+					normr = r.norm();
+
+					if (replacement && normr > tolb / mp)
+					{
+						trueres = true;
+					}
+
+					//Smoothing:
+					if (smoothing)
+					{
+						t = r_s - r;
+						//gamma is a Scalar, but the conversion is not allowed
+						Scalar gamma = t.dot(r_s) / t.norm();
+						r_s = r_s - gamma * t;
+						x_s = x_s - gamma * (x_s - x);
+						normr = r_s.norm();
+					}
+
+					if (normr < tolb || iter == maxit)
+					{
+						break;
+					}
+
+					//New f = P'*r (first k  components are zero)
+					if (k < S-1)
+					{
+						f.segment(k + 1, S - (k + 1) ) = f.segment(k + 1 , S - (k + 1)) - beta * M.block(k + 1 , k , S - (k + 1), 1);
+					}
+				}//end for
+
+				if (normr < tolb || iter == maxit)
+				{
+					break;
+				}
+
+				//Now we have sufficient vectors in G_j to compute residual in G_j+1
+				//Note: r is already perpendicular to P so v = r
+				//Preconditioning
+				v = r;
+				v = precond.solve(v);
+
+				//Matrix-vector multiplication:
+				t = A * v;
+
+				//Computation of a new omega
+				om = internal::omega(t, r, angle);
+
+				if (om == RealScalar(0.0))
+				{
+					return false;
+				}
+
+				r = r - om * t;
+				x = x + om * v;
+				normr = r.norm();
+
+				if (replacement && normr > tolb / mp)
+				{
+					trueres = true;
+				}
+
+				//Residual replacement?
+				if (trueres && normr < normb)
+				{
+					r = b - A * x;
+					trueres = false;
+					replacements++;
+				}
+
+				//Smoothing:
+				if (smoothing)
+				{
+					t = r_s - r;
+					Scalar gamma = t.dot(r_s) /t.norm();
+					r_s = r_s - gamma * t;
+					x_s = x_s - gamma * (x_s - x);
+					normr = r_s.norm();
+				}
+
+				iter++;
+
+			}//end while
+
+			if (smoothing)
+			{
+				x = x_s;
+			}
+			relres=normr/normb;
+			return true;
+		}
+
+	}  // namespace internal
+
+	template <typename _MatrixType, typename _Preconditioner = DiagonalPreconditioner<typename _MatrixType::Scalar> >
+	class IDRS;
+
+	namespace internal
+	{
+
+		template <typename _MatrixType, typename _Preconditioner>
+		struct traits<Eigen::IDRS<_MatrixType, _Preconditioner> >
+		{
+			typedef _MatrixType MatrixType;
+			typedef _Preconditioner Preconditioner;
+		};
+
+	}  // namespace internal
+
+
+/** \ingroup IterativeLinearSolvers_Module
+  * \brief The Induced Dimension Reduction method (IDR(s)) is a short-recurrences Krylov method for sparse square problems.
+  *
+  * This class allows to solve for A.x = b sparse linear problems. The vectors x and b can be either dense or sparse.
+  * he Induced Dimension Reduction method, IDR(), is a robust and efficient short-recurrence Krylov subspace method for
+  * solving large nonsymmetric systems of linear equations.
+  *
+  * For indefinite systems IDR(S) outperforms both BiCGStab and BiCGStab(L). Additionally, IDR(S) can handle matrices
+  * with complex eigenvalues more efficiently than BiCGStab.
+  *
+  * Many problems that do not converge for BiCGSTAB converge for IDR(s) (for larger values of s). And if both methods 
+  * converge the convergence for IDR(s) is typically much faster for difficult systems (for example indefinite problems). 
+  *
+  * IDR(s) is a limited memory finite termination method. In exact arithmetic it converges in at most N+N/s iterations,
+  * with N the system size.  It uses a fixed number of 4+3s vector. In comparison, BiCGSTAB terminates in 2N iterations 
+  * and uses 7 vectors. GMRES terminates in at most N iterations, and uses I+3 vectors, with I the number of iterations. 
+  * Restarting GMRES limits the memory consumption, but destroys the finite termination property.
+  *
+  * \tparam _MatrixType the type of the sparse matrix A, can be a dense or a sparse matrix.
+  * \tparam _Preconditioner the type of the preconditioner. Default is DiagonalPreconditioner
+  *
+  * \implsparsesolverconcept
+  *
+  * The maximal number of iterations and tolerance value can be controlled via the setMaxIterations()
+  * and setTolerance() methods. The defaults are the size of the problem for the maximal number of iterations
+  * and NumTraits<Scalar>::epsilon() for the tolerance.
+  *
+  * The tolerance corresponds to the relative residual error: |Ax-b|/|b|
+  *
+  * \b Performance: when using sparse matrices, best performance is achied for a row-major sparse matrix format.
+  * Moreover, in this case multi-threading can be exploited if the user code is compiled with OpenMP enabled.
+  * See \ref TopicMultiThreading for details.
+  *
+  * By default the iterations start with x=0 as an initial guess of the solution.
+  * One can control the start using the solveWithGuess() method.
+  *
+  * IDR(s) can also be used in a matrix-free context, see the following \link MatrixfreeSolverExample example \endlink.
+  *
+  * \sa class SimplicialCholesky, DiagonalPreconditioner, IdentityPreconditioner
+  */
+	template <typename _MatrixType, typename _Preconditioner>
+	class IDRS : public IterativeSolverBase<IDRS<_MatrixType, _Preconditioner> >
+	{
+
+		public:
+			typedef _MatrixType MatrixType;
+			typedef typename MatrixType::Scalar Scalar;
+			typedef typename MatrixType::RealScalar RealScalar;
+			typedef _Preconditioner Preconditioner;
+
+		private:
+			typedef IterativeSolverBase<IDRS> Base;
+			using Base::m_error;
+			using Base::m_info;
+			using Base::m_isInitialized;
+			using Base::m_iterations;
+			using Base::matrix;
+			Index m_S;
+			bool m_smoothing;
+			RealScalar m_angle;
+			bool m_residual;
+
+		public:
+			/** Default constructor. */
+			IDRS(): m_S(4), m_smoothing(false), m_angle(RealScalar(0.7)), m_residual(false) {}
+
+			/**     Initialize the solver with matrix \a A for further \c Ax=b solving.
+
+			        This constructor is a shortcut for the default constructor followed
+			        by a call to compute().
+
+			        \warning this class stores a reference to the matrix A as well as some
+			        precomputed values that depend on it. Therefore, if \a A is changed
+			        this class becomes invalid. Call compute() to update it with the new
+			        matrix A, or modify a copy of A.
+			*/
+			template <typename MatrixDerived>
+			explicit IDRS(const EigenBase<MatrixDerived>& A) : Base(A.derived()), m_S(4), m_smoothing(false),
+															   m_angle(RealScalar(0.7)), m_residual(false) {}
+
+
+			/** \internal */
+			/**     Loops over the number of columns of b and does the following:
+			                1. sets the tolerence and maxIterations
+			                2. Calls the function that has the core solver routine
+			*/
+			template <typename Rhs, typename Dest>
+			void _solve_vector_with_guess_impl(const Rhs& b, Dest& x) const
+			{
+				m_iterations = Base::maxIterations();
+				m_error = Base::m_tolerance;
+
+				bool ret = internal::idrs(matrix(), b, x, Base::m_preconditioner, m_iterations, m_error, m_S,m_smoothing,m_angle,m_residual);
+
+				m_info = (!ret) ? NumericalIssue : m_error <= Base::m_tolerance ? Success : NoConvergence;
+			}
+
+			/** Sets the parameter S, indicating the dimension of the shadow space. Default is 4*/
+			void setS(Index S)
+			{
+				if (S < 1)
+				{
+					S = 4;
+				}
+
+				m_S = S;
+			}
+
+			/** Switches off and on smoothing.
+			Residual smoothing results in monotonically decreasing residual norms at
+			the expense of two extra vectors of storage and a few extra vector
+			operations. Although monotonic decrease of the residual norms is a
+			desirable property, the rate of convergence of the unsmoothed process and
+			the smoothed process is basically the same. Default is off */
+			void setSmoothing(bool smoothing)
+			{
+				m_smoothing=smoothing;
+			}
+
+			/** The angle must be a real scalar. In IDR(s), a value for the
+			iteration parameter omega must be chosen in every s+1th step. The most
+			natural choice is to select a value to minimize the norm of the next residual.
+			This corresponds to the parameter omega = 0. In practice, this may lead to
+			values of omega that are so small that the other iteration parameters
+			cannot be computed with sufficient accuracy. In such cases it is better to
+			increase the value of omega sufficiently such that a compromise is reached
+			between accurate computations and reduction of the residual norm. The
+			parameter angle =0.7 (”maintaining the convergence strategy”)
+			results in such a compromise. */
+			void setAngle(RealScalar angle)
+			{
+				m_angle=angle;
+			}
+
+			/** The parameter replace is a logical that determines whether a
+			residual replacement strategy is employed to increase the accuracy of the
+			solution. */
+			void setResidualUpdate(bool update)
+			{
+				m_residual=update;
+			}
+
+	};
+
+}  // namespace Eigen
+
+#endif /* EIGEN_IDRS_H */
diff --git a/unsupported/Eigen/src/IterativeSolvers/IterationController.h b/unsupported/Eigen/src/IterativeSolvers/IterationController.h
index c9c1a4be2..a116e09e2 100644
--- a/unsupported/Eigen/src/IterativeSolvers/IterationController.h
+++ b/unsupported/Eigen/src/IterativeSolvers/IterationController.h
@@ -60,7 +60,7 @@
 
 namespace Eigen { 
 
-/** \ingroup IterativeSolvers_Module
+/** \ingroup IterativeLinearSolvers_Module
   * \class IterationController
   *
   * \brief Controls the iterations of the iterative solvers
diff --git a/unsupported/test/CMakeLists.txt b/unsupported/test/CMakeLists.txt
index 15c21098a..181919361 100644
--- a/unsupported/test/CMakeLists.txt
+++ b/unsupported/test/CMakeLists.txt
@@ -104,6 +104,7 @@ ei_add_test(splines)
 ei_add_test(gmres)
 ei_add_test(dgmres)
 ei_add_test(minres)
+ei_add_test(idrs)
 ei_add_test(levenberg_marquardt)
 ei_add_test(kronecker_product)
 ei_add_test(bessel_functions)
diff --git a/unsupported/test/idrs.cpp b/unsupported/test/idrs.cpp
new file mode 100644
index 000000000..f88c01632
--- /dev/null
+++ b/unsupported/test/idrs.cpp
@@ -0,0 +1,27 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2011 Gael Guennebaud <g.gael@free.fr>
+// Copyright (C) 2012 Kolja Brix <brix@igpm.rwth-aaachen.de>
+//
+// 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/.
+
+#include "../../test/sparse_solver.h"
+#include <Eigen/IterativeSolvers>
+
+template<typename T> void test_idrs_T()
+{
+  IDRS<SparseMatrix<T>, DiagonalPreconditioner<T> > idrs_colmajor_diag;
+  IDRS<SparseMatrix<T>, IncompleteLUT<T> >           idrs_colmajor_ilut;
+
+  CALL_SUBTEST( check_sparse_square_solving(idrs_colmajor_diag)  );
+  CALL_SUBTEST( check_sparse_square_solving(idrs_colmajor_ilut)     );
+}
+
+EIGEN_DECLARE_TEST(idrs)
+{
+  CALL_SUBTEST_1(test_idrs_T<double>());
+  CALL_SUBTEST_2(test_idrs_T<std::complex<double> >());
+}